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Exploring oil price – exchange rate nexus for Nigeria

Author

Listed:
  • Zahid Muhammad
  • Hassan Suleiman
  • Reza Kouhy

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.

Suggested Citation

  • Zahid Muhammad & Hassan Suleiman & Reza Kouhy, 2011. "Exploring oil price – exchange rate nexus for Nigeria," FIW Working Paper series 071, FIW.
    • Handle: RePEc:wsr:wpaper:y:2011:i:071
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    References listed on IDEAS

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    Cited by:

    1. Alley, Ibrahim, 2018. "Oil price and USD-Naira exchange rate crash: Can economic diversification save the Naira?," Energy Policy, Elsevier, vol. 118(C), pages 245-256.
    2. repec:eco:journ2:2017-04-05 is not listed on IDEAS

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    More about this item

    Keywords

    Exchange rate; oil price; Nigeria; GARCH/EGARCH;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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