Daily Ethiopian Birr/Nigerian Naira Exchange Rates Intervention Analysis
Igboye Simon Aboko & Ette Harrison Etuk
Department of Mathematics
Rivers State University, Port Harcourt
Email: etuk.ette@ust.edu.ng
ABSTRACT
Daily Ethiopian Birr / Nigerian Naira exchange rates are the subject of this research work. It has been observed that in the realization between 20th March 2017 and 12th September 2017 that there is a hike in the time plot of the amounts of the Naira in a Birr as from 4th August 2017, and there is no return of the upward movement. This is an intervention scenario with 4th August 2017 as the point of intervention. An augmented Dickey Fuller unit root test adjudges the pre-intervention series as stationary at 5% significance level. The correlogram suggests a 12-monthly seasonal ARMA model which is fitted as Xt = 0.7772Xt-1 + 0.2228Xt-12 – 0.6691et-1+0.0239et-12 + et, where Xt is the series at time t and {et} a white noise process. On the
basis of this model post-intervention forecasts are obtained. An intervention model is obtained and the post-intervention forecasts closely agree with the real post-intervention series. The cause of this
intervention is assumed to be the recession in the Nigerian economy. This intervention model shall help in the devising of an intervention to redeem the Naira.
Keywords: Ethiopian Birr, Nigerian Naira, Exchange rates, Intervention modeling, ARIMA model
