1. Asymmetric effects of exchange rate on money demand in Nigeria: evidence from the new broad money aggregate (M3)
- Author
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Sanusi Muhammad Yakubu, Victor Unekwu Ocheni, Udoma Johnson Afangideh, Nuruddeen Usman, Farida Bello Umar, and Tuwe Soro Garbobiya
- Subjects
Transaction cost ,Distributed lag ,050208 finance ,05 social sciences ,Aggregate (data warehouse) ,Broad money ,General Business, Management and Accounting ,Exchange rate ,Autoregressive model ,Demand curve ,0502 economics and business ,Econometrics ,Economics ,Demand for money ,050207 economics ,General Economics, Econometrics and Finance - Abstract
PurposeThis paper is focused on determining the asymmetric effects of exchange rate on money demand function in Nigeria.Design/methodology/approachIt employs the empirical model of Baumol–Tobin. Baumol (1952), which was founded on the opportunity and transaction cost of holding money. Monetary aggregates, M1, M2 and M3, are used for the real money balances based on the nonlinear Autoregressive Distributed Lag bound testing procedure.FindingsThe results indicate that the positive and negative partial sum of exchange rate changes differ in magnitude and size, supporting the hypothesis of asymmetric effects of exchange rate changes on the demand for money in Nigeria.Originality/valueThis is the first paper to consider the new broad money aggregate (M3).
- Published
- 2021
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