FACULTY OF THE SOCIAL SCIENCES
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Item An Empirical Re-examination of Exchange Rate-Trade Balance Nexus in Nigeria(African Journal Online (AJOL), 2013) Oyinlola, M. A.; Omisakin, O.; Adeniyi, O. A.The Nigerian exchange rate-trade balance nexus was re-examined. The long run relationship between these variables was explored using the Gregory-Hansen cointegration approach on a data sample between 1980:Q1 and 2010:Q4. Prior to this, three efficient integration tests that can overcome potentially severe finite sample power and size problems suffered by the standard methods were tactfully pursued for robustness. The short run impact analysis was done in the error correction framework. The analyses showed that exchange rate depreciation led to trade balance deterioration in both the short run and the long run. Thus, this study could not find support for J-curve in Nigeria. Some suggestions on the way forward were put forth.Item Dependence Between Foreign Trade Performance and Exchange Rate Volatility: Panel ARDL Approach(Croatian Statistical Association (CSA), 2023) Oyinlola, M.A.; Adeniyi, O. A.; Kumeka, T.The purpose of this study is to analyse the influence of exchange rate shocks on foreign trade (exports and imports) of fifteen economies within the ECOWAS sub region. To accomplish the goal of this paper, Autoregressive Distributed Lag (ARDL) procedure was employed to investigate the impact volatility in the exchange rate market has on foreign trade in both long- and short-term with data between 1980 and 2020. To compute volatility, it relied on the GARCH (1, 1) model which predicted the conditional variances as proxy for volatility. Our empirical results are distinguished into export model and import model, and reveal that volatility in exchange rate influence foreign trade performance (exports and imports) negatively in the short run, though statistically insignificant. The impact however becomes positive in the long run, and statistically significant for the two models. These results signpost that while the volatilities in foreign exchange market appear to deteriorate the international trade of these economies in the short-term, it substantially and significantly causes its improvement in the long-term. Hence, our results validate the J curve effect in the case of these ECOWAS economies. Policy implication from the findings suggests that to develop a robust international trade and ultimate economic growth, it is recommended that policymakers of these economies maintain a short-term stability in their foreign currency markets by way of adopting some intervention measures.Item Is Stock Market in Sub Saharan Africa Resilient to Health Shocks?(Emerald Publishing Limited, 2022) Kumeka, T.; Ajayi, P.; Adeniyi, O. A.Purpose - This paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic. Design/methodology/approach - This paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks in COVID-19, commodity markets and exchange rate. For robustness, the authors also analysed the panel Granger causality test. Data was obtained for the period ranging from 2 January 2020 to 31 December 2020. Findings - The results show that the growth in COVID-19 cases and deaths do not have any substantial impact on the stock market returns of these economies. In terms of commodity markets, the authors find that gold price has a negative contemporaneous effect on stock returns, but the effect fizzles out around the fifth day while crude oil price, on the other hand, has a significant positive simultaneous impact on stock returns and also converges around the fifth day. The authors further find that the exchange rate has a contemporaneous and nonlinear effect on stock returns and seems to be more dramatic when compared with the other variables. Overall, the results show that stock markets in Africa appear to be flexible and resilient against the COVID-19 outbreak but are affected by other exogenous shocks such as volatile commodity prices and the foreign exchange market. The effect is, however, short-lived-between one to five days. Practical implications - Following the study's findings, policies should be put in place to support financial markets by way of hedging against commodity instability and securing domestic currency financing. Policymakers are also recommended to concentrate on managing the uncertainties around their exchange rate markets and develop robust and efficient domestic financial markets to encourage local and foreign investors. Originality/value - Several studies have been carried out on the effects of disasters (such as the COVID-19 pandemic) on stock markets, but only a few studies have examined the resilience of stock markets to health and other exogenous shocks. This study's attempt is not only to examine the impact of COVID-19 health shocks on stock markets but also to analyse the resilience of the sampled stock markets. The authors also analyse the resilience of stock markets to commodity markets and exchange rates shocks.Item Exchange Rate and Stock Prices in Nigeria: Firm-level Evidence(Routledge / Taylor & Francis, 2020) Adeniyi, O. A.; Kumeka, T.This study examined the symmetry and asymmetry of the exchange rate-stock price nexus for 54 firms listed on the Nigerian Stock Exchange (NSE). We employed asymmetric Auto Regressive Distributed Lag (ARDL) model proposed for time series, using daily data for the period from December 12, 2001 to December 8, 2017. For comparative purposes, we also estimated the symmetric version. In the linear model, we found insignificant relationship between exchange rate and stock prices in most of the firms. Similarly, in the NARDL estimations, we observed that exchange rate movements do not have asymmetric impacts on stock prices in almost all the firms. In line with these findings, we recommend that financiers cannot make informed investment decisions using information obtained from the exchange rate market. In addition, the monetary authorities may need to reconsider the strict use of exchange rate as a policy tool to attract foreign portfolio investmentItem An Empirical Re-examination of Exchange Rate-Trade Balance Nexus in Nigeria(African Journal Online (AJOL), 2013) Oyinlola, M. A.; Omisakin, O. A.; Adeniyi, O. A.The Nigerian exchange rate-trade balance nexus was re-examined. The long run relationship between these variables was explored using the Gregory-Hansen cointegration approach on a data sample between 1980:Q1 and 2010:Q4. Prior to this, three efficient integration tests that can overcome potentially severe finite sample power and size problems suffered by the standard methods were tactfully pursued for robustness. The short run impact analysis was done in the error correction framework. The analyses showed that exchange rate depreciation led to trade balance deterioration in both the short run and the long run. Thus, this study could not find support for J-curve in Nigeria. Some suggestions on the way forward were put forth.Item The Dynamics of Stock Prices and Exchange Rate: Evidence from Nigeria(West African Monetary Institute, 2012) Oyinlola, M. A.; Adeniyi, O. A.; Omisakin, O.This paper probed the long-run and short-run dynamics between stock prices and exchange rates in Nigeria using the Johansen and Gregory-Hansen cointegration analyses, causality test and Exponentional General Autoregressive Conditional Heteroskedasticity modeling on daily data from January 2, 2002 to August 11, 2011.The results showed that there is no long run relationship between stock prices and exchange rate in Nigeria, albeit, with a structural break date of mid April 2007, which coincides with the period when the stock prices plumped precipitously from the impact of global financial crisis in early 2007. In addition, the results indicated that there is a unidirectional relationship from stock prices to exchange rate and that the EGARCH modeling suggested that a 100% increase in stock prices would lead to a 1.66% appreciation of the exchange rate. Thus, it is imperative for monetary authorities in Nigeria to take into account the role of stock market development in the conduct of its exchange rate policy.Item Responsiveness of Trade Flows to Changes in Exchange rate and Relative prices: Evidence from Nigeria(Eastern Macedonia and Thrace Institute of Technology, 2010) Oyinlola, M. A.; Adeniyi, O. A.; Omisakin, O."This paper examines the long-run and short-run impacts of exchange rate and price changes on trade flows in Nigeria using exports and imports functions. The bounds testing (ARDL) approach to cointegration is applied on a quarterly data from 1980Q1 to 2007Q4. The results indicate that in both the short-run and long-run Nigeria’s trade flows are chiefly influenced by income- both domestic and foreign-, relative prices, nominal effective exchange rates and the stock of external reserves. The results also reveal that in the long-run, devaluation is more effective than relative prices in altering imports demand at both baseline and augmented models. The reverse is, however, the case for exports demand. Furthermore, the sum of the estimated price elasticities of export and import demand in Nigeria exceeds unity indicating that the Marshall-Lerner (ML) condition holds thus implying that a devalued naira might hold considerable promise as the panacea to rising trade deficits."Item Responsiveness of Trade Flows to Changes in Exchange rate and Relative prices: Evidence from Nigeria(Eastern Macedonia and Thrace Institute of Technology, 2010) Oyinlola, M. A.; Adeniyi, O. A.; Omisakin, O.This paper examines the long-run and short-run impacts of exchange rate and price changes on trade flows in Nigeria using exports and imports functions. The bounds testing (ARDL) approach to cointegration is applied on a quarterly data from 1980Q1 to 2007Q4. The results indicate that in both the short-run and long-run Nigeria’s trade flows are chiefly influenced by income- both domestic and foreign-, relative prices, nominal effective exchange rates and the stock of external reserves. The results also reveal that in the long-run, devaluation is more effective than relative prices in altering imports demand at both baseline and augmented models. The reverse is, however, the case for exports demand. Furthermore, the sum of the estimated price elasticities of export and import demand in Nigeria exceeds unity indicating that the Marshall-Lerner (ML) condition holds thus implying that a devalued naira might hold considerable promise as the panacea to rising trade deficits.