International Journal of Financial Management and Economics
Vol. 2, Issue 2 (2019)
Asymmetric cointegration and threshold adjustment between exchange rate and non-crude oil exports in Nigeria
Aliyu Alhaji Jibrilla
This paper empirically examines the long-run pass-through of the official exchange rate into non-crude oil exports in Nigeria utilizing threshold cointegration and asymmetric error-correction modeling for the sample period from June 1996M01 to December 2018M12. The study provides evidence for nonlinear cointegration between exchange rates and non-crude oil exports, in a form of upward rigidity. This finding shows that the response of non-crude oil exports to any decrease in the official exchange rate is faster than its response when there is a fall in the value of the domestic currency.