Evaluating the Relationship between Foreign Exchange Buying Rates of Naira/SDR and Naira/WAUA: A Cointegration Approach

摘要

Generally, the value at which one currency may be exchanged for another at any given time is refered to as Exchange rate. This article illustrates cointegration using the foriegn Exchange buying rates of Naira~(1)/SDR~(2) and Naira/WAUA~(3) for a period of 119 days. The time-plot and the Augmented Dickey-Fuller test shows that both time series are integrated I (1), also, the Johansen test shows that the two time series are cointegrated with cointegration vector (1, - 1.010124)' and the cointegration relationship results to a stationary white noise process. Hence, the foriegn Exchange buying rates of Naira/SDR and Naira/WAUA has a long-run relationship.