Exploring oil price – exchange rate nexus for Nigeria
AbstractThis 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 InfoPaper provided by FIW in its series FIW Working Paper series with number 071.
Date of creation: Sep 2011
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Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-AFR-2011-10-01 (Africa)
- NEP-ALL-2011-10-01 (All new papers)
- NEP-MON-2011-10-01 (Monetary Economics)
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