Research Department, Central Bank of Nigeria
Oil prices Shocks, Asymmelry ond Slruclurol VAR, Nigeria
The paper develops a structural VAR model in which the asymmetric impact of oil shocks on output and price is analyzed in a unifying model. The model is applied to Nigeria using monthly data spanning 1999:01 to 2008:12 and the empirical results shows that the impact of oil price shocks on output and prices in asymmetric in nature; with the impact of oil price decrease significantly greater than oil price increase. Also from the variance decompositions, oil price changes play a significant role in determining the variance decompositions of output and prices. The implication is that any policy that is aimed at moving the economy forward must focus on price stability in which changes in oil price play a significant role.
Mordi, C.N.O., & Adebiyi, M.A. (2010). The assymmetric effects of oil price shocks on output and prices in Nigeria using a Structural VAR model. Economic and Financial Review. 48(1), 1-32.