ABSTRACT

In this paper, we model the relationship between oil price and exchange rate for Nigeria using monthly data from January 1997 to December 2019. The contributions of this paper are twofold: (i) we employ both the Symmetric ARDL and Asymmetric ARDL, and (ii) we also account for multiple structural changes in regression models. The following findings are apparent from our analyses. First, an increase in oil prices leads to depreciation of the Naira relative to the US dollar. Second, oil price asymmetries seem to matter both in the short run and in the long run. Third, the findings indicate evidence of structural breaks in the oil and exchange rate markets which coincides with the 2000 US invasion of Iraq, 2005 Asian demand soars, 2008 global financial crisis and 2015 Arab springs. Finally, we establish that disregarding the role of structural breaks and asymmetry will lead to serious biases and misleading results.

摘要

在本文中，我们使用 1997 年 1 月至 2019 年 12 月的月度数据对尼日利亚的油价和汇率之间的关系进行建模。本文的贡献有两个：（i）我们同时使用对称 ARDL 和非对称 ARDL，以及（ii ) 我们还考虑了回归模型中的多个结构变化。从我们的分析中可以明显看出以下发现。首先，油价上涨导致奈拉相对于美元贬值。其次，石油价格的不对称性似乎在短期和长期都很重要。第三，调查结果表明石油和汇率市场出现结构性中断的迹象，这与 2000 年美国入侵伊拉克、2005 年亚洲需求飙升、2008 年全球金融危机和 2015 年阿拉伯之春相吻合。最后，