Oil Price Dynamics and Business Cycles in Nigeria:A Bayesian Time Varying Analysis

Abraham Lartey

MPRA Paper from University Library of Munich, Germany

Abstract: The study investigated the dynamic relationship between oil prices and Real GDP growth in Nigeria over time by making use of time varying Bayesian VAR with Stochastic volatility. I distinguished between supply and demand shocks by means of a sign restriction. First, the study found that, the response of the Nigerian economy has been varying overtime. Also, GDP growth responds positively to both supply and demand shocks. However, the magnitude of the response to demand shock is larger compared to that of supply shocks. This suggests that overtime an increase in oil prices due to shocks in demand matter most for the Nigerian economy.

Keywords: Crude oil Price; Real GDP growth; Time Varying Coefficients; Stochastic Volatility (search for similar items in EconPapers)
JEL-codes: E30 (search for similar items in EconPapers)
Date: 2018-10-01
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:90038

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