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- Title
Oil price and exchange rate volatilities: implications on the cost of living in an OPEC member country—Nigeria.
- Authors
Okolo, Chimaobi Valentine; Udabah, Sylvester Ike
- Abstract
This study investigates the dynamics of crude oil price and exchange rate volatilities, and implications of these volatilities on the cost of living in Nigeria. Consequently, it provides two key innovations: (i) It augments the structural equation modelling to include three stage Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model; (ii) It employs this methodology to uniquely measure the significance of simultaneous paths from Bonny Light crude oil price predictors through exchange rate of the Naira vis‐à‐vis the USD to consumer price index in Nigeria. It finds that crude oil price and exchange rate volatilities did not significantly pass‐through to the consumer price index in Nigeria. More importantly, it shows that information is a significant determinant of future volatilities. Therefore, the media becomes crucial in predicting exchange rate and inflation in Nigeria.
- Subjects
NIGERIA; COST of living; FOREIGN exchange rates; CONSUMER price indexes; ORGANIZATION of Petroleum Exporting Countries; PETROLEUM sales &; prices; STRUCTURAL equation modeling
- Publication
OPEC Energy Review, 2019, Vol 43, Issue 4, p413
- ISSN
1753-0229
- Publication type
Article
- DOI
10.1111/opec.12157