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The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy

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  • Emenike Kalu O.

    (Kampala International University)

Abstract

This study evaluates the interrelationship between crude oil price volatility and money market rate volatility in a developing, crude oil producing economy using monthly time series observations from January 2002 to December 2014. The results obtained from a BEKK specification of a multivariate GARCH (1,1) model indicate that shocks and increased volatility from crude oil prices and money market rates influence their current volatilities. The result also show evidence of volatility persistence in crude oil prices and money market rates in Nigeria. The results further provide evidence of significant unidirectional volatility spillovers from crude oil prices to the money market in Nigeria. These findings are important because they provide a strong indication that crude oil price volatility is a very strong variable in determining the money market rates volatility in Nigeria.

Suggested Citation

  • Emenike Kalu O., 2017. "The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 3(1), pages 28-47.
    • Handle: RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47
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    References listed on IDEAS

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