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Exploring oil price – exchange rate nexus for Nigeria

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  • Zahid Muhammad
  • Hassan Suleiman
  • Reza Kouhy
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    Abstract

    This paper investigates the oil price – exchange rate nexus for Nigeria during the period 2007-2010 using daily data. The generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH) models are employed to examine the impact of oil price changes on the nominal exchange rate .The outcome of this research indicates that a rise in oil prices leads to a depreciation of the Nigerian Naira vis-à-vis the US dollar over the study period.

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    Bibliographic Info

    Paper provided by FIW in its series FIW Working Paper series with number 071.

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    Length: 24
    Date of creation: Sep 2011
    Date of revision:
    Handle: RePEc:wsr:wpaper:y:2011:i:071

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    Postal: FIW Project Office Austrian Institute of Economic Research Arsenal Objekt 20 A-1030 Vienna
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    Related research

    Keywords: Exchange rate; oil price; Nigeria; GARCH/EGARCH;

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    17. François Lescaroux & Valérie Mignon, 2008. "On the influence of oil prices on economic activity and other macroeconomic and financial variables ," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 32(4), pages 343-380, December.
    18. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April.
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