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Oil Price And Exchange Rate Volatility In Nigeria

Author

Listed:
  • Lawson E. Igbinovia

    (Banking and Finance Department, Faculty of Management Sciences University of Benin, Benin City, Nigeria)

  • Omorose A. Ogiemudia

    (Banking and Finance Department, Faculty of Management Sciences University of Benin, Benin City, Nigeria.)

Abstract

This study examined oil price influence on the Nigeria exchange rate volatility spanning the retro of thirty five (35) years. The Simultaneous equation modeling of Granger causality test and Vector Error Correction Model (VECM) techniques were adopted, to analyzed the data stream from 1983 – 2019. A dynamic framework analysis that includes test of unit root, descriptive statistics and co-integration preliminary test were carried out. Specifically, the empirical findings show that the coefficient of oil price and other variables (rate of interest, inflation rate and external reserve) considered has varying degree of significant relationship with volatility of exchange rate in Nigeria both in the succinct and long run during the retro under review. The study concludes that oil price has a long run positive non-significant influence on exchange rate volatility and a short run negative non-significant influence on exchange rate volatility in Nigeria during the sample retro under concern.

Suggested Citation

  • Lawson E. Igbinovia & Omorose A. Ogiemudia, 2021. "Oil Price And Exchange Rate Volatility In Nigeria," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 6(1), pages 74-86, March.
    • Handle: RePEc:ora:jrojbe:v:6:y:2021:i:1:p:74-86
    DOI: http://doi.org/10.47535/1991ojbe123
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    References listed on IDEAS

    as
    1. 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, September.
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    More about this item

    Keywords

    Oil Price; Exchange Rate Volatility; Co-integration; Causality; VECM; Nigeria;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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