Agricultural Response to Prices and Exchange Rate in Nigeria: Application of Co-integration and Vector Error Correction Model (VECM)

The Impact of Exchange Rate Dynamics on Agricultural Output Performance in Nigeria

“…While maximum lending rate is the only significant negative driver of agricultural output, the ACGSF loan does not become a positive determinant of agricultural output share until the asymmetric effect of real exchange rate movement was accounted for, though the loan has not yet yielded the desired outcome. As far as the linear relation between exchange rate and agricultural output/exports is concerned, these results gave empirical support to the previous findings of Obayelu and Salau (2010), Omojimite (2014), Akpan et al (2015). In addition, though the effect of real appreciation is larger than the effect of real depreciation, the present study could not find any evidence in support of the asymmetric effect of real exchange rate dynamics on agricultural output performance in the Nigerian economy.…”

“…Olarinde and Abdullahi (2014) examined the implications for food security of the role of macroeconomic policy in agricultural sector performance in Nigeria over the period of 1978 to 2011 by employing the VECM technique. Obayelu and Salau (2010) reported that in the short run and long run, total agricultural output responds positively to increases in exchange rate (that is, exchange rate depreciation), but begatively to increases in food prices. On the other hand, Olarinde and Abdullahi (2014) found that the long-run determinants of agricultural output include government spending, agricultural credit, inflation rate, interest rate and exchange rate.…”

“…In addition, Obayelu and Salau (2010) applied the techniques of cointegration and VECM to response of agricultural output to price and exchange rate between 1970 and 2007. Olarinde and Abdullahi (2014) examined the implications for food security of the role of macroeconomic policy in agricultural sector performance in Nigeria over the period of 1978 to 2011 by employing the VECM technique.…”

“…Also, appreciation in exchange rate has a negative impact on non-oil exports 11. Obayelu and Salau (2010) Nigeria Aggregate agricultural output, real exchange rate, real price of domestic food crop, and real price of export crop…”

Household Debts-and Macroeconomic factors Nexus in the United States: A Cointegration and Vector Error Correction Approach

“…One important prerequisite for the VECM estimation is to determine the characteristics of time series variables in the model, as to whether they are stationary or nonstationary. As defined by Obayelu and Salau (2010), the VECM is a restricted vector autoregression (VAR) designed for use with non stationary variables that are known to be cointegrated. These authors further state that the specification of the VECM restricts the long-run performance of endogenous variables to converge to their cointegrating relationships while allowing for short-run adjustment dynamics.…”