Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121071
Authors: 
Muhammad, Zahid
Suleiman, Hassan
Kouhy, Reza
Year of Publication: 
2011
Series/Report no.: 
FIW Working Paper 71
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.
Subjects: 
Exchange rate
oil price
Nigeria
GARCH/EGARCH
JEL: 
F31
E44
Document Type: 
Working Paper

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