This paper constructs an early warning system for currency crises in Nigeria based on selected key macroeconomic indicators. It estimates the probabilities of currency crises as a logistic function of the included variables within the framework of a logit model. Particularly, the extent to which...

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a...

This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...

This study examines the dynamics of naira real exchange rate (RER) during the period 2000Q1 – 2016Q1 as well as the extent to which it deviated from its long run equilibrium path. To achieve this, we adopt the Behavioural Equilibrium Exchange Rate (BEER) model approach and incorporate the...

This study investigates the long run relationship between exchange rate andexternal reserves in Nigeria during 1990Q1 - 2012Q4. We confirm theexistence of threshold cointegration between the variables in Nigeria, asagainst linear cointegration. Consequently, a two-regime threshold vector error...

This paper investigates the size and adjustment pattern of the interest rate pass-through (IRPT) between the policy-controlled interest rate (MPR) and seven (7) retail interest rates (lending and deposit rates) in Nigeria. This study departs from previous studies on Nigeria in the sense that it...