AshEse Journal of Economics
Vol. 2(3), pp. 089-102, September, 2016
© 2016 AshEse Visionary Limited
Nwogwugwu Uche C.1*, Ijomah, Maxwell A.2, and Uzoechina, Benedict I.3
1Department of Economics, Nnamdi Azikiwe University, Awka, Nigeria.
2Department of Mathematics and Statistics, University of Port Harcourt, Nigeria.
3Department of Economics, Renaissance University, Enugu, Nigeria.
Received March, 2016; Accepted May, 2016.
This study mainly aimed at investigating the symmetric and asymmetric effects of crude oil shocks on key macroeconomic variables for the Nigerian economy. The exponential EGARCH (p,q) model was used to estimate the volatility while VAR model was used to estimate the dynamic structural relationships between oil price volatility and macroeconomic variables. Empirical results suggest that volatility in all the selected macroeconomic variables except interest rate, takes long time to die out following a crisis in the oil price market. Symmetry shocks to oil price significantly influence exchange rate, output, unemployment rate and government spending while for the asymmetric specification, both positive and negative oil price granger causes exchange rate of the naira also, positive rather than negative shocks to oil price explain more variations in unemployment rate in the long run.
Key words: Oil price, Volatility, Macroeconomic Variables, EGARCH model, VAR model.