Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate

Salisu, Afees A.; Mobolaji, Hakeem

doi:10.1016/j.eneco.2013.05.003

Cited by 113 publications

(80 citation statements)

References 33 publications

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“…The model is a Glosten, Jagannathan, and Runkle (GJR)‐type that allows for asymmetric effect of unconditional shock in the conditional variances. Both models have been applied in several works including Hammoudeh et al (2009), Arouri and Rault (2011), Salisu and Mobolaji (2013), and Salisu and Oloko (2015). The asymmetric VARMA‐GARCH model has been proved to have some advantages over other models like the Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) models.…”

Section: Introductionmentioning

confidence: 99%

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Tule¹,

Ndako²,

Onipede³

2017

Rev Financ Econ

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This paper investigates volatility spillover in the Nigerian sovereign bond market arising from oil price shocks, using Vector Autoregressive Moving Average ‐ Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (VARMA‐AGARCH) model. The paper covers the period March 22, 2011 to April 14, 2016 and makes use of the daily data of the Nigerian Sovereign Bond, Brent oil and West Texas Intermediate (WTI), respectively. We endogenously and sequentially detect structural break points using the test of Bai and Perron (2003) framework. In order to accurately estimate the model, we modify it by incorporating the break points into the VARMA‐AGARCH model, a process which if ignored would lead to model misspecification. The results obtained demonstrate a significant cross‐market volatility transmission between oil and sovereign bond market with ample sensitivity to structural breaks. The study also computes optimum weight portfolio and hedge ratio both with and without structural breaks and results equally indicate sensitivity to structural breaks.

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Section: Introductionmentioning

confidence: 99%

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Tule¹,

Ndako²,

Onipede³

2017

Rev Financ Econ

View full text Add to dashboard Cite

show abstract

“…Salisu and Mobolaji (2013) found support for evidence of bi-directional returns and volatility spillovers between oil price and US dollar-Nigeria Naira exchange rate, and the results of their study called for effective hedging strategy between oil price and FOREX rates in Nigeria. In the midst of scarce literature on oil-FOREX returns and volatility spillovers among oil-exporting and oil-importing countries, we therefore consider the framework proposed in Salisu and Mobolaji (2013) in studying the transmission of returns and volatility, and building effective oil-FOREX hedging strategy among OPEC member countries of importance for this study. Herein lies the significance of this present study to knowledge and literature on the dynamics relationship that exists between oil price and FOREX and how volatility in oil price is transmitted through to the FOREX market especially in OPEC member states.…”

mentioning

confidence: 92%

Oil Price-US Dollars Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period's Analysis

Yaya¹,

Saka²,

Akinlana³

et al. 2017

AJAS

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Abstract. We investigate returns and volatility spillovers from oil to foreign exchange (FOREX) markets in oil-exporting countries using VARMA-GARCH framework with particular focus on OPEC members. The results indicate significant bi-directional return spillovers between oil and FOREX markets in OPEC countries. Local currencies of oil exporting countries appreciated against the US dollar with increases in oil prices, and vice versa. These findings are of importance to decision makers in the control of oil price inflationary shocks and exchange rates management in oil-exporting countries, as the framework provides proxy measurement for comparing oil-FOREX management in those countries.

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“…Ding and Vo (2012) applied both stochastic volatility and multivariate GARCH models in analyzing oil and FOREX volatility interactions under structural breaks and found bi-directional spillover effects during the 2007/2008 global financial crisis. Salisu and Mobolaji (2013) found support for evidence of bi-directional returns and volatility spillovers between oil price and US dollar-Nigeria Naira exchange rate, and the results of their study called for effective hedging strategy between oil price and FOREX rates in Nigeria. In the midst of scarce literature on oil-FOREX returns and volatility spillovers among oil-exporting and oil-importing countries, we therefore consider the framework proposed in Salisu and Mobolaji (2013) in studying the transmission of returns and volatility, and building effective oil-FOREX hedging strategy among OPEC member countries of importance for this study.…”

mentioning

confidence: 92%

Maternal Mortality and Associated Obstetric Risk Factors at Mother and Child Hospitals, Ondo State, Nigeria

Ewemooje¹,

Omoniyi²

2017

AJAS

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Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate

Cited by 113 publications

References 33 publications

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Oil Price-US Dollars Exchange Returns and Volatility Spillovers in OPEC Member Countries: Post Global Crisis Period's Analysis

Maternal Mortality and Associated Obstetric Risk Factors at Mother and Child Hospitals, Ondo State, Nigeria

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