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Oil Price Dynamics and Business Cycles in Nigeria:A Bayesian Time Varying Analysis

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  • Lartey, Abraham

Abstract

The study investigated the dynamic relationship between oil prices and Real GDP growth in Nigeria over time by making use of time varying Bayesian VAR with Stochastic volatility. I distinguished between supply and demand shocks by means of a sign restriction. First, the study found that, the response of the Nigerian economy has been varying overtime. Also, GDP growth responds positively to both supply and demand shocks. However, the magnitude of the response to demand shock is larger compared to that of supply shocks. This suggests that overtime an increase in oil prices due to shocks in demand matter most for the Nigerian economy.

Suggested Citation

  • Lartey, Abraham, 2018. "Oil Price Dynamics and Business Cycles in Nigeria:A Bayesian Time Varying Analysis," MPRA Paper 90038, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:90038
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    File URL: https://mpra.ub.uni-muenchen.de/90038/1/MPRA_paper_90038.pdf
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    References listed on IDEAS

    as
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    7. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
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    Cited by:

    1. Omotosho, Babatunde S., 2019. "Business Cycle Fluctuations in Nigeria: Some Insights from an Estimated DSGE Model," MPRA Paper 98351, University Library of Munich, Germany.

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    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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