This study was set out to investigate the impact of cross-border activities and financial development on exchange rate volatilities of Nigeria NAIRA and CFA of its neighbours. The study used monthly data from the year 2000 to 2017 obtained from the International Monetary Fund and the World Bank databanks. The data for cross border activities were obtained via a dummy variable. The Multi-variate Generalized Autoregressive Conditional Heteroskedastic (Multi GARCH) model was implemented in the procedural analysis. The results showed that the extent of the impact of cross-border activities was much greater in the neighbouring countries of Nigeria than in Nigeria. For every 1% increment in cross-border activities, there tend to be an increase of over 1820 % increment in the volatility of the CFA. Financial development of the neighbouring countries of Nigeria has no impact on the volatility of the NAIRA as obtained from the results.
Key words: NAIRA, CFA, Multi GARCH, Innovation, Volatility, Francophone Block
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