Oil price shocks and real exchange rate movement in Nigeria

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dc.contributor.authorTule, M. K.
dc.contributor.authorOsude, D.
dc.date.accessioned2018-08-23T08:54:22Z
dc.date.available2018-08-23T08:54:22Z
dc.date.issued2014-03
dc.description.abstractThis paper investigated the relationship between oil price and real exchange rate movement in Nigeria. Crude oil exports account for over 90 per cent of Nigeria's foreign exchange earnings hence, the economy may be vulnerable to instability in international oil prices, which the country as a small open economy, cannot influence. Using monthly data covering the period 2000 to 2013, this study employs GARCH process to test the relationship between oil price and exchange rate volatility in Nigeria. The results of GARCH (1,1) and EGARCH (1,1) suggest the persistence of volatility between real oil prices and the real exchange rate. The Smooth Transition Regression (STR) results also show the expected reaction from the exchange rate following changes in oil prices. Thus, it concluded that oil price fluctuations lead exchange rates movement in Nigeria.en_US
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dc.description.provenanceMade available in DSpace on 2018-08-23T08:54:22Z (GMT). No. of bitstreams: 1 CBN Economic & Finanacial Review Vol. 52, No. 1-2.pdf: 2895119 bytes, checksum: 84922ed28fd74d921e5f8e4f9acf76ab (MD5) Previous issue date: 2014-03en
dc.description.sponsorshipCentral Bank of Nigeriaen_US
dc.identifier.citationTule M. K. and D. Osude (2014). Oil price shocks and real exchange rate movement in Nigeria. Economic and Financial Review, 52(1),en_US
dc.identifier.issn1957-2968
dc.identifier.urihttp://repo.cbn.gov.ng/jspui/handle/123456789/276
dc.language.isoenen_US
dc.publisherResearch Department, Central Bank of Nigeriaen_US
dc.relation.ispartofseriesVol.52;No.1
dc.subjectOil Price Shocken_US
dc.subjectExchange Rate Movementen_US
dc.titleOil price shocks and real exchange rate movement in Nigeriaen_US
dc.typeArticleen_US

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