Abstract
This study sets out to achieve two things majorly. First, is to scrutinize the performance of nominal exchange rates persistence in Nigeria, during the Pre-GFC and Post-GFC periods, in addition to using the full sample. The second is to ascertain whether, or not, the nominal exchange rates are fractionally cointegrated using the FCVAR model recently developed by Nielsen and Popiel (2018). The empirical results from the study depict higher exchange rates persistence in the post GFC period across all the currencies. The outcome lays credence to the need for stronger coordination between the fiscal and monetary authorities to adequately manage the exchange rates in the post-GFC period. We also find the presence of long-run properties in the Nominal exchange rates, where the CVAR is superior to the FCVAR for the full sample, and the FCVAR is superior to the CVAR for the Pre-GFC and Post-GFC periods, respectively.
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