Economic policy uncertainty and exchange market pressure in Nigeria: a quantile regression analysis

Terver Theophilus Kumeka, Olabusuyi Rufus Falayi, Adeniyi Jimmy Adedokun and Francis Olayinka Adeyemi

International Journal of Sustainable Economy, 2023, vol. 15, issue 2, 135-166

Abstract: The present study examines the relationship between economic policy uncertainty (EPU) and exchange market pressure (EMP) in Nigeria using the quantile regression econometric technique, and monthly data from 1996 to 2019. For robust analysis, this study investigates the effect of both global and domestic economic policy uncertainties on EMP in Nigeria. The evidence from the results implies that there is structural independence between global EPU and EMP in Nigeria on one hand and between domestic EPU and EMP on the other hand, especially in periods when the market is experiencing bearish and tranquility conditions. Regardless of the possible impacts global and domestic EPU may have on EMP, the co-movement of EPU and EMP in Nigeria is unaffected. However, the effect of the association strengthens for the upper quantiles.

Keywords: exchange market pressure; EMP; economic policy uncertainty; EPU; quantile regression; Nigeria; exchange rate. (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijsuse:v:15:y:2023:i:2:p:135-166

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