APPLICATION OF STOCHASTIC-MARKOV TRANSITION ANALYSIS TO PREDICT EXCHANGE RATE MOVEMENT IN NIGERIA

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dc.contributor.authorOMOLEKAN, O.J.
dc.date.accessioned2024-05-02T12:02:55Z
dc.date.available2024-05-02T12:02:55Z
dc.date.issued2015
dc.description.abstractThe Nigerian economy has faced a lot of disruptive, sharp and volatile movements in its exchange rate since 1986 when Naira lost its value. The unstable nature of the exchange rate has serious effect on the business activities either positive or negative which in turn affect the nation growth and development. Understanding the dynamism and control of exchange rate movement is paramount but predicting exchange rate behaviour poses a serious problem that needs a lasting solution. This study is designed to apply stochastic markov transition model to predict exchange rate behaviour in Nigeria. The variable of concerned is Naira - dollar exchange rate with emphasis on post Structural Adjustment Programme (SAP) era when naira lost its value. Cross sectional survey was adopted while secondary data was used which comprises of information obtained from Federal office of statistics, Central Bank of Nigeria and daily financial news papers. Asymptotic Chi-square distribution and predictive models were used to test the formulated hypotheses. Based on the findings, it was revealed that; the Nigeria exchange rate movement is memoryless, would converge in the ninth month and that Box Jenkins is best model at predicting exchange rate in Nigeria. The model was recommended for the policy makers to control the volatility of exchange rate in Nigeria.
dc.identifier.citation OMOLEKAN, O.J. (2015) Application of Stochastic-Markov Transition Analysis to predict Exchange rate movement in Nigeria. Advances in Management. Published by University of Ilorin, 14(1), 128 - 142
dc.identifier.issn0795-6967
dc.identifier.urihttps://uilspace.unilorin.edu.ng/handle/123456789/13221
dc.language.isoen
dc.publisherDEPARTMENT OF BUSINESS ADMINISTRATION, UNIVERSITY OF ILORIN, ILORIN, NIGERIA
dc.subjectExchange rate
dc.subjectNaira-dollar
dc.subjectMarkov chain
dc.subjectPost SAP
dc.subjectVolatility
dc.titleAPPLICATION OF STOCHASTIC-MARKOV TRANSITION ANALYSIS TO PREDICT EXCHANGE RATE MOVEMENT IN NIGERIA
dc.typeArticle

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