The Influence of Oil Price Volatility on Selected Macroeconomic Variables in Nigeria

Umoru, David; Ohiomu, Sylvester; Akpeke, Richard

doi:10.1515/acta-2018-0001

Cited by 5 publications

(4 citation statements)

References 21 publications

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“…They found weak significant links between oil price and exchange rate in Nigeria for the period under review. Umoru et al ( 2018 ) examined the effects of oil price volatility on exchange rate variability, foreign exchange reserve, real gross domestic product and government expenditure. They used vector auto-regressive as well as impulse response analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Many studies on the nexus between oil price and exchange rate in Nigeria employed traditional methods of analysis, such as OLS, Co-integration, Vector autoregressive and autoregressive distributed lag method (Ademola and David 2011 ; Umoru et al 2018 ; Bankole and Shuaibu 2013 ; Olanipekun 2016 ; Olayungbo 2019 ). However, the relationship might not necessarily be linear.…”

Section: Introductionmentioning

confidence: 99%

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Shocks and volatility transmission between oil price and Nigeria’s exchange rate

Agya¹,

Samuel²,

Amadi³

2022

SN Bus Econ

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The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and volatility; (ii) examining the nature of shock impact in oil price and exchange rate market; (iii) adopting of two measured of oil price (WTI and Brent); (iv) employing two measures of the exchange rate (USD/Naira and effective/Naira). The study revealed that past own shocks and volatilities significantly contribute to current volatilities in exchange rate and oil price markets. Also, there is bidirectional shock and volatility spillover between the exchange rate (USD/Naira and effective/Naira) and WTI oil price markets. There were bidirectional shock and volatility spillover between USD/Naira and Brent oil price and unidirectional shock and volatility from Brent oil price to effective exchange rate market. We found asymmetric shocks impacting exchange rates and WTI oil price while symmetric shock was observed in Brent oil price. Including innovation in oil price is essential in exchange rate policy formulation and modelling exchange rate shock and volatility.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Shocks and volatility transmission between oil price and Nigeria’s exchange rate

Agya¹,

Samuel²,

Amadi³

2022

SN Bus Econ

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“…In another study, Umoru et al (2018) contributed to the oil price volatility-growth nexus. The paper analyses the influence of oil price volatility on Exchange Rate Variability, External Reserves, Government Expenditure, and real Gross Domestic Product.…”

Section: Literature Reviewmentioning

confidence: 97%

How Oil Price Changes Affect Foreign Direct Investment Inflows in South Africa? An ARDL Approach

Tala

Hlongwane

2023

IJEFI

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The study examined how oil price changes affect Foreign Direct Investment (FDI) inflow in South Africa. The study used annual quantitative data, obtained from the South African Reserve Bank (SARB) and World Bank development indicators. With the exception of real exchange rate, Augmented Dicky Fuller (ADF) and Phillips-Peron (PP) tests for stationarity indicated variables become stationary after first differencing. Stationarity test results suggested application of ARDL bounds test for cointegration. ARDL bounds test for co-integration confirms that variables of the study have long-run relationship with F-statistic of 6.59, which is higher than the lower (2.98) and upper (3.78) boundaries at least 5% level of significance. In the long - run oil prices coefficient found to have negative and significant influence in foreign direct investment inflows during 1980-2020 period. Empirical results provide practical implications for South Africa, as oil importing country can hedge crude oil price changes to maintain future quantity of crude oil to be imported. The study recommends expansion of renewable energy sources to reduce South Africa’s vulnerability to oil price fluctuations. Moreover, since oil prices are exogenously determined, setting up forward looking institutions such as sovereign wealth funds and short- term stabilization funds will be better.

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“…Under the framework of the Auto Regressive Distributed Lag (ARDL) bounds test and the Error Correction Model (ECM) for a period covering 1970-2015, the study finds positive and significant short-run effect of oil price volatility on real GDP but no significant long-run effect. Umoru, Ohiomu, and Akpeke (2018) investigated the influence of oil price volatility on exchange rate variability, external reserves, government expenditure and real GDP. By applying the VAR framework, findings show that oil price variability exerts varying degrees of effect on exchange rate variability, external reserves, government expenditure and real GDP.…”

Section: Empirical Literature From Nigeriamentioning

confidence: 99%

Modelling the Monetary Impact of Oil Price Volatility in Nigeria: Evidence from GARCH Models

Chile

Duru

Yusuf³

et al. 2021

Energy Economics Letters

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This paper investigated the impact of oil price volatility on some monetary variables in Nigeria under the framework of the GARCH models. The paper utilized three alternative error distributions in order to assist in providing better model fits and thus avoid biased results. Using monthly series over a period of 2006-2019, our findings revealed that, apart from the usual normal error distribution other error distributions perform better in the modelling of the impact of oil price volatility on monetary variables in Nigeria. The findings of the study also revealed that the asymmetric parameters of the models show evidence of leverage effect and oil price volatility plays a significant role in the determination of volatility of monetary variables. We, therefore, recommend that in modelling volatility of oil price and monetary variables in Nigeria, different error distributions should be considered. Contribution/ Originality: In this study, we contribute to the literature by exploring various error distributions. This approach is pertinent because restricting the study to only normal distribution which is the usual practice could lead to biased outcomes as other error distributions can perform better. Our study can be affirmed to have evidence of originality; therefore the validity, reliability and uniqueness cannot be contested.

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The Influence of Oil Price Volatility on Selected Macroeconomic Variables in Nigeria

Cited by 5 publications

References 21 publications

Shocks and volatility transmission between oil price and Nigeria’s exchange rate

Shocks and volatility transmission between oil price and Nigeria’s exchange rate

How Oil Price Changes Affect Foreign Direct Investment Inflows in South Africa? An ARDL Approach

Modelling the Monetary Impact of Oil Price Volatility in Nigeria: Evidence from GARCH Models

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