This study examines the time series properties of co-integration and causal relationship between oil (non-agricultural) and non-oil (agricultural) import and export in Africa's largest economy. We employed Granger causality and Johansen and Juselius's co-integration methods to investigate causal relationships among the variables Naira-US dollars exchange rate (USD), Naira-Pounds exchange rates (GBP), Oil Import (OI), Non-Oil import (NO), Oil Export (OE) and Non-Oil export (NE). We found empirical evidence for co-integration between oil and non-oil import. Our result reveals the existence of long run equilibrium between exchange rates, oil import and export, and non-oil import (agriculture) and export. Non-oil import and export involves those of agricultural products like Cocoa, Timber, Cassava and Groundnut. We show that there is bidirectional Granger causality from import and export of both agricultural (non-oil) and non-agricultural (oil) goods and vice-versa. This empirical relationship followed closely to what economic theory have suggested. The study recommends amongst others, that government should adopt appropriate monetary and fiscal policies that will ensure realistic and stable exchange rates and foster economic growth through import and export of agricultural products.
Abstract. We investigate returns and volatility spillovers from oil to foreign exchange (FOREX) markets in oil-exporting countries using VARMA-GARCH framework with particular focus on OPEC members. The results indicate significant bi-directional return spillovers between oil and FOREX markets in OPEC countries. Local currencies of oil exporting countries appreciated against the US dollar with increases in oil prices, and vice versa. These findings are of importance to decision makers in the control of oil price inflationary shocks and exchange rates management in oil-exporting countries, as the framework provides proxy measurement for comparing oil-FOREX management in those countries.
This study investigates trade foreign exchange nexus in Nigeria. This study is also done with a view to detecting the kind of relationship that exists between the two and also to investigate their co-integration. Annual time series data for the period 1996 – 2010 was used for the study. The Vector Correction Model (VECM) approach was employed to determine both the short and long run relationships. Results showed that the series becomes stationary after second difference. The co – integration test reveals five co – integrating vectors in the model, implying that the variables have the same stochastic drift. The study concludes that a long-term relationship exists between foreign trade and exchange rates implying that foreign trade flows have a strong link with exchange rates in Nigeria.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.