Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling
Oyelami, Lukman O
University of Tehran, Faculty of Economics
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.
Macroeconomics , NARDL , Shock , Price
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.