The study investigates the association between causality effect of exchange rate and the Nigeria’s Balance of Payment. The main motivation is to empirically determine if there is exchange rate Granger causes Balance of deficits or surplus. The study used annual data from 1980-2016 and the variables are Balance of Payments, exchange rate, money supply, net exports, interest rate and trade openness. We engaged Unit Root test for stationarity for long-run, Co-integration test and ECM test to determine the speed of adjustment from the short to its long run and undertook a trend analysis of the data in the model. Additionally, post diagnostic test were carried out to estimate the stability of the variables. The linear Ordinary least square result indicates that R2 is 17 per cent and that given the F* value of 2.694262, the entire model is internally consistent. There no auto-correlation in the model since DW is 1.876067 close to two. The results shows variables are integrated of order 1(1) and established a long run link among the variables. The ECM value of -63 per cent is able to correct, adjust and tie the short run dynamics with the long run equilibrium. The study concludes that causality runs from exchange rate to BOP and vice-versa within the economy.