Please use this identifier to cite or link to this item: http://library.cbn.gov.ng:8092/jspui/handle/123456789/471
Title: Oil price shocks and real exchange rate movement in Nigeria
Authors: Tule, Moses K.
Osude, D.
Keywords: Oil price shocks
Real exchange rate
Crude oil exports
Oil prices
Issue Date: Mar-2014
Publisher: Central Bank of Nigeria, Research Department.
Citation: Tule, M. K. & Osude, D. (2014). Oil price shocks and real exchange rate movement in Nigeria, Economic and Financial Review (EFR), 52(1), 29-45.
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 result 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, we conclude that oil price fluctuations lead exchange roles movement in Nigeria.
URI: http://library.cbn.gov.ng:8092/jspui/handle/123456789/471
ISSN: 1957-2968
Appears in Collections:Economic and Financial Review

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