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Shocks and volatility transmission between oil price and Nigeria’s exchange rate
The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and v...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer International Publishing
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9085555/ https://www.ncbi.nlm.nih.gov/pubmed/35573222 http://dx.doi.org/10.1007/s43546-022-00228-z |
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author | Adi, Agya Atabani Adda, Samuel Paabu Wobilor, Amadi Kingsley |
author_facet | Adi, Agya Atabani Adda, Samuel Paabu Wobilor, Amadi Kingsley |
author_sort | Adi, Agya Atabani |
collection | PubMed |
description | The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and volatility; (ii) examining the nature of shock impact in oil price and exchange rate market; (iii) adopting of two measured of oil price (WTI and Brent); (iv) employing two measures of the exchange rate (USD/Naira and effective/Naira). The study revealed that past own shocks and volatilities significantly contribute to current volatilities in exchange rate and oil price markets. Also, there is bidirectional shock and volatility spillover between the exchange rate (USD/Naira and effective/Naira) and WTI oil price markets. There were bidirectional shock and volatility spillover between USD/Naira and Brent oil price and unidirectional shock and volatility from Brent oil price to effective exchange rate market. We found asymmetric shocks impacting exchange rates and WTI oil price while symmetric shock was observed in Brent oil price. Including innovation in oil price is essential in exchange rate policy formulation and modelling exchange rate shock and volatility. |
format | Online Article Text |
id | pubmed-9085555 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Springer International Publishing |
record_format | MEDLINE/PubMed |
spelling | pubmed-90855552022-05-10 Shocks and volatility transmission between oil price and Nigeria’s exchange rate Adi, Agya Atabani Adda, Samuel Paabu Wobilor, Amadi Kingsley SN Bus Econ Original Article The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and volatility; (ii) examining the nature of shock impact in oil price and exchange rate market; (iii) adopting of two measured of oil price (WTI and Brent); (iv) employing two measures of the exchange rate (USD/Naira and effective/Naira). The study revealed that past own shocks and volatilities significantly contribute to current volatilities in exchange rate and oil price markets. Also, there is bidirectional shock and volatility spillover between the exchange rate (USD/Naira and effective/Naira) and WTI oil price markets. There were bidirectional shock and volatility spillover between USD/Naira and Brent oil price and unidirectional shock and volatility from Brent oil price to effective exchange rate market. We found asymmetric shocks impacting exchange rates and WTI oil price while symmetric shock was observed in Brent oil price. Including innovation in oil price is essential in exchange rate policy formulation and modelling exchange rate shock and volatility. Springer International Publishing 2022-05-10 2022 /pmc/articles/PMC9085555/ /pubmed/35573222 http://dx.doi.org/10.1007/s43546-022-00228-z Text en © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022, corrected publication 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. |
spellingShingle | Original Article Adi, Agya Atabani Adda, Samuel Paabu Wobilor, Amadi Kingsley Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title | Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title_full | Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title_fullStr | Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title_full_unstemmed | Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title_short | Shocks and volatility transmission between oil price and Nigeria’s exchange rate |
title_sort | shocks and volatility transmission between oil price and nigeria’s exchange rate |
topic | Original Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9085555/ https://www.ncbi.nlm.nih.gov/pubmed/35573222 http://dx.doi.org/10.1007/s43546-022-00228-z |
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