Asymmetric, Exchange Rate, MTAR, Nigeria, Oil Price, SVAR, TAR
This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It speciﬁcally determines asymmetries in the relationship between oil price and exchange rate and the eﬀect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models conﬁrm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price and exchange rate. Findings from the SVAR model show gradual appreciation (though with some time lag) of naira following positive shocks to oil price. The study recommends among others the need for diversiﬁcation of foreign exchange earnings base of the economy, so as to minimise the eﬀect of negative shocks to oil price.
CBN Journal of Applied Statistics
Abubakar, Attahir B.
"Oil Price and Exchange Rate Nexus in Nigeria: are there asymmetries,"
CBN Journal of Applied Statistics (JAS): Vol. 10
, Article 1.
Available at: https://dc.cbn.gov.ng/jas/vol10/iss1/1