EXCHANGE RATE PASS-THROUGH TO IMPORT AND CONSUMER PRICES IN NIGERIA: EVIDENCE FROM THRESHOLD REGRESSION MODELS
EXCHANGE RATE PASS-THROUGH TO IMPORT AND CONSUMER PRICES IN NIGERIA: EVIDENCE FROM THRESHOLD REGRESSION MODELS
No Thumbnail Available
Date
2016-11
Authors
ALIYU, BASHIR
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This study examined the exchange rate pass-through effect at the aggregate level into import and consumer prices in Nigeria between the periods 1986 and 2014. The study used the Threshold Regression statistical technique to ascertain the possibility of the presence of nonlinearity and asymmetry in the behaviour of exchange rate pass-through in Nigeria. It also considered the pass-through from exchange rate to import prices, using import data, and then the pass-through from import prices to consumer prices. The study found that Exchange Rate Pass-Through in Nigeria is incomplete, low, nonlinear, slow in speed and symmetric. The effect was discovered to be higher on import than consumer prices, implying that the pass-through effect declines along the pricing chain. These findings are useful in the design and implementation of monetary and exchange rate policies by the Central Bank of Nigeria.
Description
Being a Masters Thesis submitted to the School of Postgraduate Studies, Ahmadu Bello University, Zaria in partial fulfillment of the requirements for the Award of Masters Degree of Science in Economics. Department of Economics, Faculty of Social Sciences, Ahmadu Bello University, Zaria, Nigeria.
Keywords
EXCHANGE RATE, IMPORT, CONSUMER PRICES, NIGERIA, EVIDENCE, THRESHOLD REGRESSION MODELS