Oil Price Dynamics and Business Cycles in Nigeria: A Bayesian Time Varying Analysis

20 Pages Posted: 17 Nov 2018

See all articles by Abraham Lartey

Abraham Lartey

University of Alicante, Faculty of Economic and Business Sciences, Department of Economics, Students

Date Written: October 25, 2018

Abstract

The study investigated the dynamic relationship between oil prices and Real GDP growth in Nigeria over time by making use of time varying Bayesian VAR with Stochastic volatility. I distinguished between supply and demand shocks by means of a sign restriction. First, the study found that, the response of the Nigerian economy has been varying overtime. Also, GDP growth responds positively to both supply and demand shocks. However, the magnitude of the response to demand shock is larger compared to that of supply shocks. This suggests that overtime an increase in oil prices due to shocks in demand matter most for the Nigerian economy.

Keywords: Crude oil Price, Real GDP growth, Time Varying Coefficients, Stochastic Volatility

Suggested Citation

Lartey, Abraham, Oil Price Dynamics and Business Cycles in Nigeria: A Bayesian Time Varying Analysis (October 25, 2018). Available at SSRN: https://ssrn.com/abstract=3272841 or http://dx.doi.org/10.2139/ssrn.3272841

Abraham Lartey (Contact Author)

University of Alicante, Faculty of Economic and Business Sciences, Department of Economics, Students ( email )

Alicante
Spain

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