A Cointegrated Vector Autoregressive Model of Determinants of Balance of Payment Fluctuations in Nigeria

摘要

This study examines the long-run determinants of balance of payment fluctuations in Nigeria. Annual data spanning the period 1970 - 2002 are used in the analysis. The methodology of the study begins with unit root and stationarity tests of the data. The variables are then examined for long-run cointegration relationships and a cointegrated vector autoregressive model is fitted to the data. It is found that all the variables are nonstationarity and have unit roots. The cointegrated vector autoregressive model approach found balance of payments, balance of trade, exchange-rate, terms of trade, and inflation rate to be cointegrated with three cointegrated relationship and thus share long-run equilibrium relationships. The implication of this result is that in fighting inflation, government should take into cognizance the exchange rate, balance of trade, terms of trade and balance of payment.