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Volatility and Commodity Price Dynamics in Nigeria

Author

Listed:
  • Charles O. Manasseh

    (Department of Economics, University of Nigeria Nsukka, Enugu State, South-East, Nigeria,)

  • Jonathan E. Ogbuabor

    (Department of Economics, University of Nigeria Nsukka, Enugu State, South-East, Nigeria,)

  • Obiorah K. Obinna

    (Department of Economics, University of Nigeria Nsukka, Enugu State, South-East, Nigeria.)

Abstract

This study examines volatility and commodity price dynamics in Nigeria. This was estimated with the generalized autoregressive conditional heteroschedasticity (GARCH) and exponential GARCH, while granger causality test was used to examine the causality direction between domestic commodity prices and spot price of commodity derivatives. The result shows that 30% of volatility in the spot international commodity market can be explained by volatility in domestic and international export commodity prices, while international oil spot prices explains 7% volatility in prices of goods consumed locally and export commodity price index explains 16% of spot price of international commodity between 2000 and 2013 in Nigeria. Inflation and exchange rate is shown to be significantly related to spot price volatility which accounts for its volatility also. Hence, as such, the clamor for a more stable and robust revenue generating sector cannot be over emphasized - the so much talked about diversification.

Suggested Citation

  • Charles O. Manasseh & Jonathan E. Ogbuabor & Obiorah K. Obinna, 2016. "Volatility and Commodity Price Dynamics in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1599-1607.
    • Handle: RePEc:eco:journ1:2016-04-41
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    References listed on IDEAS

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    Cited by:

    1. Arief Daryanto & Diani Aliya Sofia & Sahara Sahara & Antonya Rumondang Sinaga, 2020. "Climate Change and Milk Price Volatility in Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(2), pages 282-288.
    2. Onyinye Maria David-Wayas & Joseph I. Amuka & Chukwudi F. Ezeudeka & Iyenge Mhir Aii & Micheal C. Nwankwo, 2021. "Oil Price Volatility and Macroeconomic Performance in Nonoil Exporting Countries in Sub-Saharan Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 221-230.
    3. Korhan K. Gokmenoglu & Hasan Güngör & Festus Victor Bekun, 2021. "Revisiting the linkage between oil and agricultural commodity prices: Panel evidence from an Agrarian state," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5610-5620, October.

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    More about this item

    Keywords

    Volatility; Dynamics; Spot Price; Causality; Inflation; Exchange Rate;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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