Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/219297
Authors: 
Abubakar, Attahir B.
Year of Publication: 
2019
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 10 [Year:] 2019 [Issue:] 1 [Pages:] 1-28
Abstract: 
This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price and exchange rate. Findings from the SVAR model show gradual appreciation (though with some time lag) of naira following positive shocks to oil price. The study recommends among others the need for diversification of foreign exchange earnings base of the economy, so as to minimise the effect of negative shocks to oil price.
Subjects: 
Asymmetric
Exchange Rate
MTAR
Nigeria
Oil Price
SVAR
TAR
JEL: 
F31
Q41
Persistent Identifier of the first edition: 
Document Type: 
Article

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