Oil Prices and the Real Exchange Rate in Nigeria

Oriavwote, Victor E.; Eriemo, Nathanael O.

doi:10.5539/ijef.v4n6p198

Cited by 14 publications

(14 citation statements)

References 12 publications

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“…Moreover, analysis of generalized impulse response function reveals that impact of oil price on exchange rate is significant after 2008 financial crisis. Adeniyi et al [58] analyzed the relationship between oil prices and exchange rate using GARCH and exponential GARCH (EGARCH) in case of Nigeria. They found that oil price rise appreciates Nigerian currency against US dollar and same inference was drawn by Olomola and Adejumo, [10] and latter on by Oriavwote and Eriemo, [59] 12 .…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets

Shahbaz

Tiwari

Tahir

2014

Journal of Applied Statistics

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Abstract:This study analyzes the time-frequency relationship between oil price and exchange rate for Pakistan by using measures of continuous wavelet such as wavelet power, cross-wavelet power, and cross-wavelet coherency. The results of cross-wavelet analysis indicate that covariance between oil price and exchange rate are unable to give clear-cut results but both variables have been in phase and out phase (i.e. they are anti-cyclical and cyclical in nature) in some or other durations. However, results of squared wavelet coherence disclose that both variables are out of phase and real exchange rate was leading during the entire period studied, corresponding to the 10~15 months scale. These results are the unique contribution of the present study, which would have not been drawn if one would have utilized any other time series or frequency domain based approach. This finding provides evidence of anti-cyclical relationship between oil price and real effective exchange rate. However; in most of the period studied, real exchange rate was leading and passing anti-cycle effects on oil price shocks which is the major contribution of the study.

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Section: Literature Reviewmentioning

confidence: 99%

Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets

Shahbaz

Tiwari

Tahir

2014

Journal of Applied Statistics

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“…Furthermore, the consequence of oil prices on exchange rate movements has been emphasized by Amano and Van Norden (1998) and recently has been renewed by several authors, as Kin and Courage (2014), Oriavwote and Eriemo (2012), Basher et al (2011), Aziz (2009). Such studies argue that increases in the oil price of the oil-exporter (oil importer) lead to an increase (decrease) in the relative price of commodities.…”

Section: Introductionmentioning

confidence: 99%

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira¹,

Amor²,

Rault³

2019

The Quarterly Review of Economics and Finance

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The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia, and UAE). Using daily time series data covering the period from January 1, 2001 to December 29, 2017, we implement the test for asymmetric non-causality of Hatemi-J (2012), the asymmetric generalized impulse response functions of Hatemi-J (2014), and the test for noncausality-in-variance of Hafner and Herwartz (2006) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric investigation reveals in particular that i) when prices are rising in Tunisia and Saudi Arabia, oil prices cause change in exchange rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the selected MENA countries. These findings have important implications both from the investor's and from the policy-maker's perspective.

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“…This oil price volatility is so severe that the Nigerian budget is even at some point in time tied up to a particular benchmark price of crude oil. The budget has been adjusted in so many occasions when there is a sudden change in crude oil prices such as the reduction of budget due to a fall in oil prices during the global financial crisis (Oriavwote and Eriemo, 2012).…”

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confidence: 99%

On the Crude Oil Price, Stock Market Movement and Economic Growth Nexus in Nigeria Evidence from Cointegration and Var Analysis

Ekong

Ebong

2016

Asian Journal of Economic Modelling

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This work focuses majorly on modelling the dynamic relationship that exists between crude oil prices, stock market indicators and the economic growth in Contribution/ OriginalityThe paper's primary contribution is finding that there exists a causal relationship between oil price, stock market indicators and economic growth in a core oil dependent economy like Nigeria. It also shows that oil price dictates the movement of market indicators and economic growth rate in an oil dependent economy.

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Oil Prices and the Real Exchange Rate in Nigeria

Cited by 14 publications

References 12 publications

Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets

Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets

Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests

On the Crude Oil Price, Stock Market Movement and Economic Growth Nexus in Nigeria Evidence from Cointegration and Var Analysis

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