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Oil price volatility spillover effects on food prices in Nigeria

Rasheed Oluwaseyi Azeez

MPRA Paper from University Library of Munich, Germany

Abstract: Studies have been done on oil price volatility spillover effects on the prices of food in both pre-crisis and post-crisis periods. However, what has been sparingly studied is oil price volatility spillover effects on urban prices of food and rural prices of food. The disparity in the rural-urban spending in Nigeria is an area that can further be explored by evaluating the effects of oil price volatility spillover on prices of food in these areas. This study therefore adopts GARCH (1, 1)-TY model to evaluate the impulse response function and variance decomposition of these effects on prices of food in pre-crisis and post-crisis periods. Findings show that in full sample and post-crisis periods both aggregate price of food (APF) and urban average price of food (APFU) positively respond to oil price shocks while rural average price of food (APFR) responds negatively to oil price shocks. However, the response of the urban average price of food proves to be more significant in the post-crisis periods as it appears relatively most affected in this period by a greater percentage of oil price shocks.

Keywords: GARCH (1; 1); TY; APF; APFR; APFU; Oil price volatility spillover; Impulse Response Function; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: Q18 Q3 Q31 Q43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr, nep-ene and nep-ets
Date: 2018-09
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