Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria

Nenubari Ikue, Emeka Nkoro and Jeremiah Anietie
Additional contact information
Emeka Nkoro: Department of Economics, Faculty of Social Sciences, University of Port Harcourt, Nigeria
Jeremiah Anietie: Emerald Energy Institute, University of Port Harcourt, Nigeria

Bussecon Review of Social Sciences (2687-2285), 2021, vol. 3, issue 3, 31-44

Abstract: There is a pool of techniques and methods in addressing dynamics behaviors in higher frequency data, prominent among them is the ARCH/GARCH techniques. In this paper, the various types and assumptions of the ARCH/GARCH models were tried in examining the dynamism of exchange rate and international crude oil prices in Nigeria. And it was observed that the Nigerian foreign exchange rates behaviors did not conform with the assumptions of the ARCH/GARCH models, hence this paper adopted Lag Variables Autoregressive (LVAR) techniques originally developed by Agung and Heij multiplier to examine the dynamic response of the Nigerian foreign exchange rates to crude oil prices. The Heij coefficient was used to calculate the dynamic multipliers while the Engel & Granger two-step technique was used for cointegration analysis. The results revealed an insignificant dynamic long-term response of the exchange rate to crude oil prices within the periods under review. The coefficient of dynamism was insignificantly in most cases of the sub-periods. The paper equally revealed that the significance of the dynamic multipliers depends greatly on external information about both market indicators which are two-way interactions. Thus, the paper recommends periodic intervention in the foreign exchange market by the monetary authorities to stabilize the market against any shocks in the international crude oil market, since crude oil is the main source of foreign exchange in Nigeria.

Keywords: Heij-Coefficient; Dynamic-Multiplier; LVAR-Causal-Model; Forcing-Process.; Exchange-Rate (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.bussecon.com/ojs/index.php/brss/article/view/296/133 (application/pdf)
https://doi.org/10.36096/brss.v3i3.296 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adi:bsrsss:v:3:y:2021:i:3:p:31-44

Access Statistics for this article

Bussecon Review of Social Sciences (2687-2285) is currently edited by Umit Hacioglu

More articles in Bussecon Review of Social Sciences (2687-2285) from Bussecon International Academy Bussecon International Academy, School of Business, IHU, Ordu cad. F-05 Blok No 3, 34480 Basaksehir, Istanbul, Turkey. Contact information at EDIRC.
Bibliographic data for series maintained by Umit Hacioglu ().