International records / OpenAlex research

Financial stress and exchange rate volatility in Nigeria: a predictability approach

Abstract This study investigates the predictability of financial stress (FS) for the volatility of the naira exchange rate amid recent instability, focusing on key foreign currencies like the USD, British pound, and Euro. To achieve the study’s objective, we formulate two distinct models. The first is a single-factor model based solely on FS to assess its independent predictability for exchange rate volatility in Nigeria. Given Nigeria’s status as a net oil exporter and oil’s influence on economic crises, the second model enhances the single-factor model by incorporating oil prices. Thus, we u…