Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling
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Date
2018-11-20
Authors
Oyelami, Lukman O
Journal Title
Journal ISSN
Volume Title
Publisher
University of Tehran, Faculty of Economics
Abstract
The study seeks to investigate both linear and nonlinear effects of oil
price movement on critical macroeconomic variables (output, price
and exchange rate) in Nigeria using ARDL modelling approach.
Previous studies substantially relied on linear methods using a VAR
approach to unravel these links without a clear conclusion. In an attempt to
seek better results in this study, we employ both linear and nonlinear
ARDL modelling techniques that inherently allows for asymmetric effect.
Based on the theoretical proposition of ARDL methods that do require
that all data are either stationary at the level or at first difference or the
combination of the two. We perform unit root tests and other required
econometrics tests. Consequently, linear and nonlinear ARDL estimation
techniques were carried out. The results from linear and non-linear
estimations indicate that oil price movement has statistically significant
effects on critical macroeconomic variables in Nigeria (output, price and
exchange rate) both in the short-run and long-run but there is evidence of
asymmetric effect for output and exchange rate only. Therefore the study
concludes there is no asymmetric effect of oil price movement on general
price level in Nigeria but there are statistically significant asymmetric
effects of oil price movement on output and exchange rate in the country.
Description
Keywords
Macroeconomics , NARDL , Shock , Price
Citation
Oyelami, L. O. (2018). Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling. Iranian Economic Review, 22(4), 908-933.