Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138
This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study...