文章基本信息

标题：ANALYSIS OF PARALLEL CURRENCY MARKET PREMIUM AND MACROECONOMIC PERFORMANCE IN NIGERIA: STRUCTURAL AUTOREGRESSIVE APPROACH (SVAR)
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作者：Temidayo Oladiran Akinbobola ; Musbau Olaniyan Fatai ; Rebecca Folake Bank-Ola 等
期刊名称：The Journal of Sustainable Development in Africa (JSDA)
电子版ISSN：1520-5509
出版年度：2018
卷号：20
期号：3
页码：1-42
出版社：Institute of Sustainable Development in Africa
摘要：The paper investigates the relationship between Parallel Currency Market Premium (PCMP) and macroeconomic variables (such as Inflation, Interest Rate and the growth rate of Gross Domestic Product) in Nigeria. Annual secondary data covering the period 1986-2015 and were obtained from the World Development Indicators (WDI) published by the World Bank and Statistical Bulletin published by the Central Bank of Nigeria (CBN). Annual data on Parallel Currency Market Premium (PCMP), Inflation (INF), Interest Rate (INT) and the growth rate of Gross Domestic Product (GDP). Data collected were analysed using Structural Vector Autoregressive (SVAR). Results, based on the Impulse Response Function (IRF) and Variance Decomposition (VD) obtained from the SVAR models indicated that, shocks to PCMP on average explained more variations in macroeconomic variables than shocks to macroeconomic variables explained PCMP variance in Nigeria. The (GCT) test carried out revealed that, of all the key macroeconomic variables examined, inflation is the only one that has causal relationship with PCMP and it is uni-directional. The study concluded that, the best approach to constraints to the effective performance of the macroeconomic fundamentals and ensure crucial attainment of sustainable growth and development in Nigeria need to be eliminated through further easing of foreign exchange rationing gradually in the official market and consequently eliminating the PCMP.
关键词：PCMP; Macroeconomic fundamentals; Impulse Response; Variance Decomposition; SVAR; Exchange Rate; GCT