Artikel
Oil price and exchange rate nexus in Nigeria: Are there asymmetries
This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price and exchange rate. Findings from the SVAR model show gradual appreciation (though with some time lag) of naira following positive shocks to oil price. The study recommends among others the need for diversification of foreign exchange earnings base of the economy, so as to minimise the effect of negative shocks to oil price.
- Language
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Englisch
- Bibliographic citation
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Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 10 ; Year: 2019 ; Issue: 1 ; Pages: 1-28 ; Abuja: The Central Bank of Nigeria
- Classification
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Wirtschaft
Foreign Exchange
Energy: Demand and Supply; Prices
- Subject
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Asymmetric
Exchange Rate
MTAR
Nigeria
Oil Price
SVAR
TAR
- Event
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Geistige Schöpfung
- (who)
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Abubakar, Attahir B.
- Event
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Veröffentlichung
- (who)
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The Central Bank of Nigeria
- (where)
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Abuja
- (when)
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2019
- DOI
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doi:10.33429/Cjas.10119.1/6
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Abubakar, Attahir B.
- The Central Bank of Nigeria
Time of origin
- 2019
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