Page 132 - Contributed Paper Session (CPS) - Volume 5

CPS1144 Adeniji Nike Abosede et al.
th
Now, the n period forecast of total export (aggregate level) in favour of naira/
th
dollar exchange rate is given as: Now, the n period forecast of total export
(aggregate level) in favour of naira/ dollar exchange rate is given as:

Where its variance is given as:

Proportion due to its own shock Proportion of variance due to naira dollar Now,
the n period forecast of total export (aggregate level) in favour of naira/ dollar
th
exchange rate is given as:

Where its variance is given as:

Proportion due to its own shock Proportion of variance due to naira dollar
If Z (error due naira dollar exchange rate) explains none of the forecast error
variance of the sequence total export (at aggregate level) at all forecast error
2
,
horizon 0, then total export is treated as pure exogenous.
2
But if  Z (error due naira dollar exchange rate) explains the forecast error
variance of the sequence (at aggregate level) at all forecast time horizon
2
, 0.9, then total export is treated as pure endogenous variable.
2

This means that a proportion was explained by naira/dollar exchange rate
in favour total export. For disaggregate level, the same procedure is followed.
A time series data for foreign exchange rate (Naira/US dollar), export were
collected from the central bank of Nigeria statistical bulletin from the period
1980 to 2017. The export data is segregated into non- oil, total, oil exports.

3. Result
From analysis results the dynamic relationship between total export and
naira/ dollar exchange rate showed a positive relationship, this means that one
unit change in one time period of naira/dollar exchange rate at aggregate level
(total export) will increase by 16932.16 units. This value indicates a large
magnitude. Also at disaggregate level (non-oil, oil export), a positive
relationship to naira/dollar Page 6 of 6 exchange rate was present; a one unit
change in naira/dollar will lead to 17190.48 increase in non-oil export while
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