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Full-Text Articles in Social and Behavioral Sciences
Oil Price Shocks And Macroeconomic Dynamics In An Oil-Exporting Emerging Economy: A New Keynesian Dsge Approach, Sunday Oladunni
Oil Price Shocks And Macroeconomic Dynamics In An Oil-Exporting Emerging Economy: A New Keynesian Dsge Approach, Sunday Oladunni
CBN Journal of Applied Statistics (JAS)
The global oil dynamics has significant implications for both oil exporting and importing small open economies. However, much of the literature on oil shocks is oriented towards advanced oil-importing economies. Micro-founded studies that explore the effects of oil shocks from the standpoint of oil-endowed emerging economies are rather sparse, compared to the preponderance of studies on developed oil importers and exporters. Thus, resulting to a consequential knowledge gap on oil price transmission mechanism and a limited appreciation of the growing policy dilemmas in these economies. The paper, therefore, sets up a new Keynesian dynamic stochastic general equilibrium (DSGE) model to …
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
CBN Journal of Applied Statistics (JAS)
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 …
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
CBN Journal of Applied Statistics (JAS)
This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered (real gross domestic product, interest rate, exchange rate and oil price) are highly volatile; the asymmetric models (TGARCH and EGARCH) outperform the symmetric models (GARCH (1 1) and GARCH – M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is vulnerable to both internal shocks (interest rate volatility, real …