Abstract
This paper investigates the oil price – exchange rate nexus for Nigeria during
the period 2007-2010 using daily data. The generalised autoregressive
conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH)
models are employed to examine the impact of oil price changes on the
nominal exchange rate .The outcome of this research indicates that a rise in
oil prices leads to a depreciation of the Nigerian Naira vis-à-vis the US dollar
over the study period.
the period 2007-2010 using daily data. The generalised autoregressive
conditional heteroscedasticity (GARCH) and exponential GARCH (EGARCH)
models are employed to examine the impact of oil price changes on the
nominal exchange rate .The outcome of this research indicates that a rise in
oil prices leads to a depreciation of the Nigerian Naira vis-à-vis the US dollar
over the study period.
| Original language | English |
|---|---|
| Pages (from-to) | 383-395 |
| Journal | OPEC Energy Review |
| Volume | 36 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 3 Dec 2012 |
| Externally published | Yes |