Exploring oil price – exchange rate nexus for Nigeria
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.
|Date of creation:||Sep 2011|
|Date of revision:|
|Contact details of provider:|| |
|Order Information:|| Postal: FIW Project Office Austrian Institute of Economic Research Arsenal Objekt 20 A-1030 Vienna|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Iikka Korhonen & Tuuli Juurikkala, 2009. "Equilibrium exchange rates in oil-exporting countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(1), pages 71-79, January.
- O. Felix Ayadi, 2005. "Oil price fluctuations and the Nigerian economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(3), pages 199-217, 09.
- Aliyu, Shehu Usman Rano, 2009. "Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation," MPRA Paper 16319, University Library of Munich, Germany, revised 10 Jun 2009.
- Habib, Maurizio Michael & Kalamova, Margarita Manolova, 2007. "Are there oil currencies? The real exchange rate of oil exporting countries," Working Paper Series 0839, European Central Bank.
- 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.
- Simeon Coleman & Juan C. Cuestas & Estefania Mourelle, 2012.
"Investigating the oil price exchange rate nexus: evidence from Africa,"
NCID Working Papers
03/2012, Navarra Center for International Development, University of Navarra.
- Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011. "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers 2011015, The University of Sheffield, Department of Economics, revised May 2011.
- Eisa Aleisa & Sel Dibooĝlu, 2002. "Sources of real exchange rate movements in Saudi Arabia," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 101-110, March.
- Ghosh, Sajal, 2011. "Examining crude oil price - Exchange rate nexus for India during the period of extreme oil price volatility," Applied Energy, Elsevier, vol. 88(5), pages 1886-1889, May.
- Huang, Ying & Guo, Feng, 2007. "The role of oil price shocks on China's real exchange rate," China Economic Review, Elsevier, vol. 18(4), pages 403-416.
- Q. Farooq Akram, 2004. "Oil prices and exchange rates: Norwegian evidence," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 476-504, December.
- Chen, Shiu-Sheng & Chen, Hung-Chyn, 2007. "Oil prices and real exchange rates," Energy Economics, Elsevier, vol. 29(3), pages 390-404, May.
- Chaudhuri, Kausik & Daniel, Betty C., 1998. "Long-run equilibrium real exchange rates and oil prices," Economics Letters, Elsevier, vol. 58(2), pages 231-238, February.
- Chuku A. Chuku & Usenobong F. Akpan & Ndifreke R. Sam & Ekpeno L. Effiong, 2011. "Oil price shocks and the dynamics of current account balances in Nigeria," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 35(2), pages 119-139, 06.
- 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.
- François Lescaroux & Valérie Mignon, 2008. "On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables," Working Papers 2008-05, CEPII research center.
- Iwayemi, Akin & Fowowe, Babajide, 2011. "Impact of oil price shocks on selected macroeconomic variables in Nigeria," Energy Policy, Elsevier, vol. 39(2), pages 603-612, February.
- Golub, Stephen S, 1983. "Oil Prices and Exchange Rates," Economic Journal, Royal Economic Society, vol. 93(371), pages 576-93, September.
- Mahmud, Hassan, 2009. "Oil Price Shocks and Monetary Policy Aggregates in Nigeria: A Structural VAR Approach," MPRA Paper 25908, University Library of Munich, Germany.
- Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, vol. 30(5), pages 2686-2696, September.
- Aliyu, Shehu Usman Rano, 2009. "Oil Price Shocks and the Macroeconomy of Nigeria: A Non-linear Approach," MPRA Paper 18726, University Library of Munich, Germany, revised 16 Nov 2009.
When requesting a correction, please mention this item's handle: RePEc:wsr:wpaper:y:2011:i:071. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.