Oil Price-Exchange Rate Nexus in Nigeria: Further Evidence from an Oil Exporting Economy

International Journal of Humanities and Social Science (Special Issue) Vol. 2 No. 8, April 2012

14 Pages Posted: 6 Oct 2012

See all articles by Oluwatosin Ademola Adeniyi

Oluwatosin Ademola Adeniyi

University of Ibadan, Department of Economics, Students

Dr. Olusegun A. Omisakin

The Nigerian Economic Summit Group (NESG); Independent

Jameelah Yaqub

affiliation not provided to SSRN

Abimbola Oyinlola

affiliation not provided to SSRN

Date Written: 2012

Abstract

This study queries the oil price-exchange rate linkage in Nigeria deploying data at daily frequency spanning January 2, 2009 to September 28, 2010. Two volatility models – the generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH) – were deployed to estimate the influence of oil price on the nominal exchange rate. The study finds that an increase in the price of oil culminates in an appreciation of the Nigerian currency against the US dollar. We also establish the asymmetric effect, with regards magnitude, of positive and negative oil price shocks on exchange rate volatility.

Keywords: Oil price, Exchange rate, Volatility, GARCH/EGARCH models, Nigeria

JEL Classification: E44, G14, G15

Suggested Citation

Adeniyi, Oluwatosin Ademola and Omisakin, Olusegun A. and Omisakin, Olusegun A. and Yaqub, Jameelah and Oyinlola, Abimbola, Oil Price-Exchange Rate Nexus in Nigeria: Further Evidence from an Oil Exporting Economy (2012). International Journal of Humanities and Social Science (Special Issue) Vol. 2 No. 8, April 2012, Available at SSRN: https://ssrn.com/abstract=2157047

Oluwatosin Ademola Adeniyi

University of Ibadan, Department of Economics, Students

Department of Economics
University of Ibadan
Ibadan, Oyo 200284
Nigeria

The Nigerian Economic Summit Group (NESG) ( email )

The Summit House,
6, Oba Elegunshi Street
Ikoyi, Lagos, 234
Nigeria

HOME PAGE: http://www.olusegunomisakin.com

Jameelah Yaqub

affiliation not provided to SSRN

Abimbola Oyinlola

affiliation not provided to SSRN

No Address Available

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