The aim of this paper is to examine the direction of causality among some exchange rate of Nigeria Naira to US Dollar, Pounds Sterling and Euro. It made use of a time series data from the year 2005 to 2014. Toda and Yamamoto (1995) procedure was used in analyzing the data. Augmented Dickey-Fuller, KPSS unit root test, the VAR selection method, Error correction model and Granger causality test based on Toda-Yamamoto procedure were used in this study as methods of analysis. The empirical analysis provides enough grounds to conclude that no causality relationship exists between the exchange rates.

Keywords: Causality test, Exchange rate, VAR model, Toda-Yamamoto test, unit root test, Co-integration and time series model