Intervention analysis of Daily Brazilian Real / Nigerian Naira Exchange Rates Because of the 2020 Nigerian Recession
Ette Harrison Etuk; Imoh Udo Moffat & Unyime Patrick Udoudo
Department of Mathematics, Rivers State University, Port Harcourt, Nigeria
Department of Statistics, University of Uyo, Uyo, Nigeria
Department of Statistics, Akwa Ibom State Polytechnic, Ikot Osurua, Nigeria
Email: etuk.ette@ust.edu.ng, moffitto2011@gmail.com; udoudogeno@gmail.com
ABSTRACT
This paper is an attempt to model intervention between daily Brazilian real (BRL) and Nigerian naira (NGN) exchange rates. A look at the time plot of the exchange rates series shows that there is an intervention believed to have been caused by the announced economic recession of the year 2020 in Nigeria induced by the advent of covid-19 pandemic. The data are therefore from September 2020 to December
- It is clear that the exchange rates rose sharply from November 20 up to 31 December, 2020. The pre-intervention data are non-stationary. This necessitates its differencing; the first differences are now stationary. The correlogram of the differences shows an autocorrelation structure of a white noise process. Postintervention
forecasts of the model are each equal to the last pre-intervention rate of 72.2711. The transfer function of the model has been estimated and the fitted model has been shown to closely agree with the post-intervention data. This is a testimony to its adequacy. Pearson chi-square goodness-of-fit test confirms its adequacy. It may
be found useful by planners and administrators. Keywords: Brazilian real, Nigerian naira, exchange rates, intervention, 2020 Nigerian
recession, covid-19
