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Real Output and Oil Price Uncertainty in an Oil Producing Country

Author

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  • Bernard Njindan Iyke

    (Deakin University)

Abstract

We assess the effects of oil price uncertainty on Nigeria’s real output from the first quarter of 1980 to the first quarter of 2019. We achieve this objective by decomposing oil price uncertainty into positive and negative uncertainties. We then quantify the responses of output to these uncertainties. Using the conditional variance of real returns in composite refiners’ acquisition cost of crude oil as our measure of oil price uncertainty, we find that positive uncertainty leads to a decline in output, whereas negative uncertainty leads to a rise in output. The response of output to these uncertainties is asymmetric.

Suggested Citation

  • Bernard Njindan Iyke, 2019. "Real Output and Oil Price Uncertainty in an Oil Producing Country," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 163-176, July.
    • Handle: RePEc:idn:journl:v:22:y:2019:i:2b:p:163-176
    DOI: https://doi.org/10.21098/bemp.v22i2.1095
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    References listed on IDEAS

    as
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    Keywords

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    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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