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Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model

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  • Emmanuel Uche
  • Lionel Effiom

Abstract

The pass-through of oil price to various macroeconomic aggregates, including the exchange rates and stock prices have been vigorously studied in the past albeit varying submissions. More so, these studies considered the relationship only within the conditional mean. To pro-vide fresh insights about the heterogeneous impacts, this study re-examines the dynamic pass-through of international oil prices to exchange rates and stock prices in Nigeria using the Quantile ARDL model. The quantile ARDL accounts for locational asymmetries among varia-bles. Findings indicate that the spillover effects of oil price shocks on both the exchange rate and stock prices in Nigeria are heterogeneous and differ significantly across the quantile dis-tributions of the foreign exchange and stock markets. The impact increases over time with greater impacts recorded at quantiles below the median. On this background, specific policies targeting the peculiar effects at each quantile of exchange rate and stock prices will ensure op-timal performance leading to higher returns to investors and market practitioners.

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  • Emmanuel Uche & Lionel Effiom, 2021. "Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2021(1), pages 59-79.
    • Handle: RePEc:fan:efeefe:v:html10.3280/efe2021-001004
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    1. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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