Please use this identifier to cite or link to this item: http://library.cbn.gov.ng:8092/jspui/handle/123456789/276
Title: Oil price shocks and real exchange rate movement in Nigeria
Authors: Tule, M. K.
Osude, D.
Keywords: Oil Price Shock
Exchange Rate Movement
Issue Date: Mar-2014
Publisher: Research Department, Central Bank of Nigeria
Citation: Tule M. K. and D. Osude (2014). Oil price shocks and real exchange rate movement in Nigeria. Economic and Financial Review, 52(1),
Series/Report no.: Vol.52;No.1
Abstract: This paper investigated the relationship between oil price and real exchange rate movement in Nigeria. Crude oil exports account for over 90 per cent of Nigeria's foreign exchange earnings hence, the economy may be vulnerable to instability in international oil prices, which the country as a small open economy, cannot influence. Using monthly data covering the period 2000 to 2013, this study employs GARCH process to test the relationship between oil price and exchange rate volatility in Nigeria. The results of GARCH (1,1) and EGARCH (1,1) suggest the persistence of volatility between real oil prices and the real exchange rate. The Smooth Transition Regression (STR) results also show the expected reaction from the exchange rate following changes in oil prices. Thus, it concluded that oil price fluctuations lead exchange rates movement in Nigeria.
URI: http://library.cbn.gov.ng:8092/jspui/handle/123456789/276
ISSN: 1957-2968
Appears in Collections:Economic and Financial Review

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