ISSN: 2226-3624
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This study investigates the time-series relationship on the impact of oil price volatility on macroeconomic activity in Nigeria using exponential generalized autoregressive conditional heteroskedasticity (EGARCH), impulse response function and lag-augmented VAR (LA-VAR) models. We found evidence that there is a unidirectional relationship exists between the interest rate, exchange rate and oil prices, with the direction from oil prices to both exchange rate and the interest rate. However, a significant relationship between oil prices and real GDP was not found.
Our results suggest a potentially important role for energy prices in future research on exchange rate modelling.
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(ThankGod & Maxwell, 2013)
ThankGod, A. O., & Maxwell, I. A. (2013). Macroeconomic Impact of Oil Price Levels and Volatility in Nigeria. International Journal of Academic Research in Economics and Management Sciences, 2(4), 14–23.
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