Does non-linearity in exchange rate hold in Nigeria evidence from smooth transition autoregressive model

Dada, James Temitope; Olomola, Philip Akanni; Adedokun, Adebayo

doi:10.1504/ijmef.2021.114024

Cited by 6 publications

(10 citation statements)

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“…Apart from the above result, domestic income, proxy by gross domestic product, has a positive and significant effect on trade in the region. This is in tandem with existing studies (Arize et al, 2017;Olomola and Dada, 2017;Dada and Olomola, 2017;Okoro, 2013;Yuen-Ling et al, 2008;Hayakawa and Kimura, 2009) that an increase in domestic income boosts trade activities. Furthermore, this result confirms the income effect on trade.…”

Section: Empirical Results and Discussionsupporting

confidence: 83%

Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries

Dada

2020

JEAS

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PurposeThe purpose of this study is to examine the effect of asymmetric structure inherent in exchange rate volatility on trade in sub-Saharan African countries from 2005 to 2017.Design/methodology/approach17 countries in sub-Saharan African Countries are used for the study. Exchange rate volatility is generated using generalised autoregressive conditional heteroscedacity (1,1), while the asymmetric components of exchange rate volatility are generated using a refined approach of cumulative partial sum developed by Granger and Yoon (2002). Two-step generalised method of moments is used as the estimation technique in order to address the problem of endogeneity, commonly found in panel data.FindingsThe result from the study shows the evidence of exchange rate volatility clustering which is strictly persistent in sub-Saharan African countries. The asymmetric components (positive and negative shocks) of exchange rate volatility have negative and significant effect on trade in the region. Meanwhile, the effect of negative exchange rate volatility is higher on trade when compared with the positive exchange rate volatility. Furthermore, real exchange rate has negative and significant effect on trade in sub-Saharan African countries.Research limitations/implicationsThe outcomes of this study are important for participants in foreign exchange market. As investors in foreign exchange market react more to the negative news than positive news, investors need to diversify their risk. Also, regulators in the market need to formulate appropriate macroeconomic policies that will stabilize exchange rate in the region.Originality/valueThis study deviates from extant studies in the literature by incorporating asymmetric structure into the exchange rate trade nexus using a refined approach.

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Section: Empirical Results and Discussionsupporting

confidence: 83%

Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries

Dada

2020

JEAS

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“…James Temitope Dada https://orcid.org/0000-0002-8434-6660 Taiwo Akinlo https://orcid.org/0000-0002-1415-4241 ENDNOTE 1 For detail on factors responsible for nonlinearity in macroeconomic variables see Dada et al (2021) and Herrera et al (2015).…”

Section: Acknowledgementmentioning

confidence: 99%

“…Recently, the concept of asymmetric has gained momentum in economic literature. Several factors, such as asymmetry information, transaction cost, regime shifts, or the data‐generating process, could make macroeconomic variables exhibit nonlinear in their mean (Alqaralleh, 2020; Dada et al, 2021; Shin et al, 2014). 1 Oil‐importing and ‐exporting nations respond differently to movements in oil prices (Herrera et al, 2015; Kilian & Vigfusson, 2011).…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric relationship between oil prices and remittances in oil‐importing and ‐exporting countries: Evidence from sub‐Saharan Africa

Dada

Akinlo²

2022

OPEC Energy Review

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This study investigated the asymmetric impact of oil price on remittances in oil‐exporting and ‐importing nations in sub‐Saharan Africa (SSA). The study adopted the nonlinear autoregressive distributed lag (NARDL) technique for 22 SSA countries. The study found that in oil‐importing countries, positive shocks in oil prices boost the influx of remittances, whereas a fall in oil prices reduces remittances. For oil‐exporting nations, the result indicates that the influence of a positive shock in oil price on remittances, in the long‐run, is sensitive to the measure of oil price (Brent and West Texas Intermediate). However, in the short‐run, adverse oil price shocks decrease the inflow of oil‐importing nations' remittances while it enhances the inflow of remittances into oil‐exporting nations. Based on these findings, the study recommends that oil‐importing nations use the increase in remittances to promote economic activities to lessen the adverse effect of an upsurge in international oil prices. By contrast, oil‐exporting nations need to use the rise in oil revenue to cushion the decrease in remittances due to oil price shock.

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“…Godil et al (2020) [36] used the quantile autoregressive distributed lag (QARDL) model to research the dynamic nonlinear effect of ICT, financial development, and institutional quality on CO 2 emission in Pakistan. Dada et al (2021) [37] employed the STAR model to investigate the nonlinearity in exchange rate process in Nigeria. Babangida and Jamilu (2021) [38] examined the nonlinear effect of monetary policy decisions on the performance of the Nigerian stock exchange market by employing the STAR model.…”

Section: Introductionmentioning

confidence: 99%

Nonlinear Effects of Eco-Industrial Parks on Sulfur Dioxide and Carbon Dioxide Emissions—Estimation Based on Nonlinear DID

Cao

Dai

et al. 2023

Sustainability

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Eco-industrial parks (EIPs) promote the coordination of economic development and environmental protection. This paper uses the nonlinear DID method, with the data of 288 cities spanning from 2003–2019, to study the nonlinear effects of EIPs on SO2 and CO2 emissions, aiming to portray the nonlinear and heterogeneous characteristics of EIP’s effects. Meanwhile, this paper examines the effects of EIPs more accurately and completely. The main results are as follows: 1. EIPs can significantly reduce CO2 and SO2 emissions, but there is significant heterogeneity between the effects. 2. The effect of EIPs on SO2 and CO2 emissions is nonlinear. In addition, it shows significant nonlinear characteristics as the change of foreign investment and population density in cities. Therefore, it is important to consider these nonlinear characteristics when establishing and evaluating EIPs. This paper accurately identifies the nonlinear effects of EIPs and provides some suggestions for the future development of EIPs.

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Does non-linearity in exchange rate hold in Nigeria evidence from smooth transition autoregressive model

Cited by 6 publications

References 0 publications

Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries

Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries

Asymmetric relationship between oil prices and remittances in oil‐importing and ‐exporting countries: Evidence from sub‐Saharan Africa

Nonlinear Effects of Eco-Industrial Parks on Sulfur Dioxide and Carbon Dioxide Emissions—Estimation Based on Nonlinear DID

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