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Exploring oil price – exchange rate nexus for Nigeria

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.
Year of publication:
2011
Authors: Muhammad, Zahid ; Suleiman, Hassan ; Kouhy, Reza
Publisher: Vienna : FIW - Research Centre International Economics
Subject: Exchange rate | oil price | Nigeria | GARCH/EGARCH
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Series:
Type of publication: Book / Working Paper
Type of publication (narrower categories): Working Paper
Language: English
Other identifiers:
837186161 [GVK]
hdl:10419/121071 [Handle]
RePEc:wsr:wpaper:y:2011:i:071 [RePEc]
Classification: F31 - Foreign Exchange ; E44 - Financial Markets and the Macroeconomy
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Persistent link: https://www.econbiz.de/10011345475
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