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Effect of COVID-19 Pandemic on Foreign Exchange Rate Volatility: The Nigeria experience

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  • Abraham Oketooyin Gbadebo

    (Osun State University Osogbo)

Abstract

The outburst of the Covid-19 brought anxiety that led to social distancing, staying at home, restrictions in traveling locally and internationally, and finally, the financial instability globally as many economic activities shut down. Consequently, the study examined the effect of the coronavirus pandemic on exchange rate volatility from February 29, 2020, to March 31, 2021. The study utilized two-time series data which were sourced from daily reports on covid-19 from the Nigerian Centre for Disease Control (NCDC) and daily exchange rates US$/NigerianN from the Central Bank of Nigeria (CBN) statistical bulletin. The study used Error Correction Model (ECM) to analyze the data. The bound test was used in the survey to establish a level of association between the independent variables and the regressor set. The findings revealed that daily reported COVID-19 instances, daily death cases, and cumulative death cases had a positive effect on Nigerian exchange rate volatility. Conversely, confirmed cumulative coronavirus cases do not impact the exchange rate in Nigeria in the short run. Coronavirus significantly affected all macroeconomic indices, including the exchange rate. The study will be helpful to the government and its agencies in the determination of the palliatives for the needy citizens. It will also help the policymakers to develop strategies that can stabilize the economy and health sector to reduce the effect of the pandemic on the citizenry.

Suggested Citation

  • Abraham Oketooyin Gbadebo, 2022. "Effect of COVID-19 Pandemic on Foreign Exchange Rate Volatility: The Nigeria experience," ACTA VSFS, University of Finance and Administration, vol. 16(1), pages 43-62.
    • Handle: RePEc:prf:journl:v:16:y:2022:i:1:p:43-62
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    COVID-19 Pandemic; Foreign Exchange Rate Volatility; Error Correction Model;
    All these keywords.

    JEL classification:

    • I15 - Health, Education, and Welfare - - Health - - - Health and Economic Development
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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