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Exploring oil price—exchange rate nexus for Nigeria
Author(s) -
Muhammad Zahid,
Suleiman Hassan,
Kouhy Reza
Publication year - 2012
Publication title -
opec energy review
Language(s) - English
Resource type - Journals
eISSN - 1753-0237
pISSN - 1753-0229
DOI - 10.1111/j.1753-0237.2012.00219.x
Subject(s) - autoregressive conditional heteroskedasticity , depreciation (economics) , nexus (standard) , economics , heteroscedasticity , oil price , exchange rate , us dollar , econometrics , autoregressive model , liberian dollar , monetary economics , financial economics , volatility (finance) , finance , microeconomics , engineering , profit (economics) , financial capital , embedded system , capital formation
This paper investigates the oil price—exchange rate nexus for Nigeria using daily data over the period 2 January 2007–31 December 2010. The generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH models are employed to examine the impact of oil price changes on 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.