•  
  •  
 

Economic and Financial Review

Authors

C.N.O. Mordi

Publisher

Central Bank of Nigeria, Research Department

Keywords

Exchange rate, Inflation, Exchange rate pass-through, Foreign exchange markets, Inflation theory

Abstract

This paper attempts to examine the link between exchange rate and domestic price level in Nigeria. Employing the VAR technique, the study used monthly series of inter-bank rate, world export prices, real gross domestic product, oil prices and consumer price index from 2000MI to 2015MI. The results from the study show that exchange rate pass-through to price level is high. a shock to exchange rate (depreciation) would increase domestic price by 0.72 per cent in the first month. The effect rose to 0.82, 0.85 and 0.86 per cent in month 2,4 and 6, respectively, before it began to fall. By the sixth month, it stood at around 0.84 per cent, on the average. Also the results of the VAR model and exchange rate pass-through coefficients indicate that pass-through to price level in Nigeria is partial or incomplete.

Issue

52

Volume

4

Recommended Citation

Mordi, C.N.O. (2014). Exchange rate and inflation: is there a relationship in Nigeria. CBN Economic and Financial Review. 52(4), 105-123.

Share

COinS
 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.