IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF ECONOMICS AND FINANCIAL MANAGEMENT (IJEFM )

E-ISSN 2545-5966
P-ISSN 2695-1932
VOL. 10 NO. 2 2025
DOI: 10.56201/ijefm.v10.no2.2025.pg116.133

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Vector Autoregressive Modeling of Exchange Rate, Interest Rate and Agricultural Prices in Nigeria

Godwin Lebari TUANEH, and Chinwe Roseline OKOYE

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Abstract

The study modelled the Interaction among Exchange rate, interest Rate and Agricultural Prices in Nigeria. In details, the study determined the effects of exchange rate and interest rate on agricultural prices (cocoa beans price, cotton prices) the effect of on agricultural prices. The study adopted an ex-post-facto design. The data for the study spanning from May 1991 to May 2022 was sourced from the Central Bank of Nigeria (CBN) statistical bulletin. Sequel to the pretest conducted, the study used the Vector Auto-Regression (VAR) Model. The results of the model estimation showed that all the studied variables had significant own effects (PV < 0.05). However, the lags of the cotton prices, exchange rate and interest rate had insignificant positive and negative effects on cocoa beans price. Exchange rate, interest rate, and cocoa beans price had insignificant positive and negative effects on cotton prices. The Post estimation test showed that the VAR Model was Stable, there was absence of serial correlation, and the normality test confirmed that the residual was multivariate normal. The Variance Decomposition results confirmed the very weak influence of the independent variables in predicting the corresponding dependent variables. The variables were however strongly endogenous. It was recommended that government should ensure policies, which will consequently stabilize exchange rate and interest rate to also stabilize agricultural prices in Nigeria.

keywords:

Agricultural Prices, Exchange Rate, Interest Rate, Interaction, and VAR modelling

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