Economics, Econometrics and Finance
4 years ago

Oil Price Volatility in Nigeria Impacts Monetary Variables, Leverage Effect Revealed

Energy Economics Letters
Modelling the Monetary Impact of Oil Price Volatility in Nigeria: Evidence from GARCH Models
Nzeh Innocent Chile, Innocent U. Duru, Abubakar Yusuf, Bartholomew O.N. Okafor, Millicent Adanne Eze

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The article studied how changes in oil prices affect money-related factors in Nigeria using GARCH models. By analyzing data from 2006 to 2019, the researchers found that using different error distributions improved the accuracy of the models. They also discovered that oil price volatility has a significant impact on the volatility of monetary variables in Nigeria. The study suggests that considering various error distributions is important when modeling oil price and monetary variables in Nigeria.