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Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling

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  • Lukman Oyeyinka Oyelami

    (Economics Distance Learning Institute, University of Lagos, Lagos, Nigeria.)

Abstract

The study seeks to investigate both linear and nonlinear effects of oil price movement on critical macroeconomic variables (output, price and exchange rate) in Nigeria using ARDL modeling approach. Previous studies substantially relied on linear methods using VAR approach to unravel this links without a clear conclusion. In an attempt to seek better results in this study, we employ both linear and nonlinear ARDL modeling techniques that inherently allows for asymmetric effect. Based on the theoretical proposition of ARDL methods that does require that all data are either stationary at level or at first difference or the combination of the two. We perform unit root tests and other required econometrics tests. Consequently, linear and nonlinear ARDL estimation techniques were carried out. The results from linear and non-linear estimations indicate that oil price movement has statistical significant effects on critical macroeconomic variables in Nigeria (output, price and exchange rate) both in the short-run and long-run but there is evidence of asymmetric effect for output and exchange rate only. Therefore the study concludes there is no asymmetric effect of oil price movement on general price level in Nigeria but there are statistically significant asymmetric effects of oil price movement on output and exchange rate in the country.

Suggested Citation

  • Lukman Oyeyinka Oyelami, 2018. "Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(4), pages 908-933, Autumn.
    • Handle: RePEc:eut:journl:v:22:y:2018:i:4:p:908
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    Citations

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    Cited by:

    1. La Ode Saidi & Hasan Aedy & Fajar Saranani & Rosnawintang Rosnawintang & Pasrun Adam & La Ode Arsad Sani, 2020. "Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in ," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 104-108.
    2. Okunoye, Ismaila & Hammed, Sabuur, 2020. "Oil Price Shock and Fiscal-Monetary Policy Variables in Nigeria: A Structural VAR Approach," MPRA Paper 104145, University Library of Munich, Germany, revised 15 Sep 2020.
    3. D. O. Olayungbo & T. A. Ojeyinka, 2022. "Crude oil prices pass-through to retail petroleum product prices in Nigeria: evidence from hidden cointegration approach," Economic Change and Restructuring, Springer, vol. 55(2), pages 951-972, May.
    4. Arodh Lal Karn & Bhavana Raj Kondamudi & Ravi Kumar Gupta & Denis A. Pustokhin & Irina V. Pustokhina & Meshal Alharbi & Subramaniyaswamy Vairavasundaram & Vijayakumar Varadarajan & Sudhakar Sengan, 2022. "An Empirical Analysis of the Effects of Energy Price Shocks for Sustainable Energy on the Macro-Economy of South Asian Countries," Energies, MDPI, vol. 16(1), pages 1-19, December.

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