Paper Title :Crude Oil Price Fluctuation and Exchange Rate in Nigeria
Author :Apere, Thankgod, Oyinpreye
Article Citation :Apere ,Thankgod ,Oyinpreye ,
(2018 ) " Crude Oil Price Fluctuation and Exchange Rate in Nigeria " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 81-87,
Volume-4,Issue-2
Abstract : This research empirically investigated the impact of oil price fluctuations on exchange rate in Nigeria with
quarterly secondary time series data over the period 1980:1 to 2015:4 obtained from the Central Bank of Nigeria (CBN)
Statistical Bulletin and Energy Information Administration (EIA) short-term outlook December, 2016. The Vector Auto
regression (VAR) model was used as data analysis technique. Firstly it was observed that all the variables were stationary at
their first differences, using the Phillip-Perron unit root test, and having determined the stationarity of the variables we
further employed the Lag length selection of which the fifth lag was selected The VAR stability tests result affirmed that
VAR model is dynamically stable and useful for policy analysis. VAR LM test for serial correlation indicates that the model
has no serial correlation problem. While the granger causality test, the impulse response function and Forecast Error
Variance Decomposition results show that an increase in real oil price volatility leads to increase in real exchange rate
volatility which has harmful effects on trade and that a proportionate change in oil price will lead to a more than
proportionate change in exchange rate volatility. From the results there is bi-directional causality between oil price and real
exchange rate. This study therefore recommends that Nigerian government should ensure that policies that are geared toward
stabilizing fluctuations in real exchange rate are implemented knowing that oil price shocks has a strong relationship with
exchange rate.
Keywords - Exchange rate systems, Oil price fluctuations, oil crisis, Vector auto regression (VAR)
Type : Research paper
Published : Volume-4,Issue-2
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-11034
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Published on 2018-04-06 |
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