The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy

Emenike Kalu O. ()
Additional contact information
Emenike Kalu O.: Kampala International University
Authors registered in the RePEc Author Service: Emenike Kalu O.

Eastern European Business and Economics Journal, 2017, vol. 3, issue 1, 28-47

Abstract: This study evaluates the interrelationship between crude oil price volatility and money market rate volatility in a developing, crude oil producing economy using monthly time series observations from January 2002 to December 2014. The results obtained from a BEKK specification of a multivariate GARCH (1,1) model indicate that shocks and increased volatility from crude oil prices and money market rates influence their current volatilities. The result also show evidence of volatility persistence in crude oil prices and money market rates in Nigeria. The results further provide evidence of significant unidirectional volatility spillovers from crude oil prices to the money market in Nigeria. These findings are important because they provide a strong indication that crude oil price volatility is a very strong variable in determining the money market rates volatility in Nigeria.

Keywords: Money market rate; crude oil price; volatility interrelationship; multivariate BEKK-GARCH model; oil producing economy; developing country (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://eebej.eu/Emenike-K-O-2017-The-Interrelation ... conomics-Journal-31/ (text/html)
http://eebej.eu/2017v3n1/28-47.pdf (application/pdf)
for print copy of the journal 50 Euro, preview on web - free

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:eeb:articl:v:3:y:2017:n:1:p:28-47

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Eastern European Business and Economics Journal from Eastern European Business and Economics Studies Centre
Bibliographic data for series maintained by Valerijs ( this e-mail address is bad, please contact ).