Simulation of Exchange Rates of Nigerian Naira Against US Dollar, British Pound and the Euro Currency

Oyelami Benjamin Oyediran, Edooghogho Afieroho

Abstract


In this paper a simulation is carried out to study the exchange rate of the Nigerian Naira against the exchange rates of the US dollar, British pound and the Euro currency. Monte Carlo simulation is made for three factors exchange rate model using Euler--Maruyama forward difference approximation. The model was calibrated using polynomial regression analysis. The Naira is found to be appreciated more in value when compared to the dollar, the pound and euro. The result obtained shows that the interest does not have much influence on the value of the exchange rates.

Keywords


Exchange rate model; Random walk model; Euler--Maruyama scheme; Regression analysis; Monte Carlo simulation

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DOI: http://dx.doi.org/10.3968%2Fj.sms.1923845220130602.2696

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