Oil Export Earnings, Exchange Rate Variability, and Economic Growth in Nigeria

2014 ◽  
Vol 3 (4) ◽  
pp. 11-23
Author(s):  
Folorunso Sunday Ayadi ◽  
Olubunmi Elizabeth Oluwagbemi
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rate ◽  
Price Index ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Exchange Rate Variability ◽  
Oil Export ◽  
Effective Exchange ◽  
Effective Exchange Rate

This paper investigates oil revenue and exchange rate volatility and as well as their impacts on Nigerian economic growth which is examined from 1980 – 2010. Exchange rate volatility was captured using standard deviationof monthly nominal effective exchange rate. During this period, Nigeria recorded high levels of volatility (in oil receipt and effective exchange rate) as can be seen from the Autoregressive Conditional Heteroskedasticity (ARCH) and the General Autoregressive Conditional Heteroskedasticity (GARCH) - ARCH/GARCH results. Also, the Augmented Dickey-Fuller test indicate that some of the variables exhibit unit root, this research further makes use of vector autoregressive process (VAR) using the variance decomposition of Choleski factorisation in which forecast error variance of some systems of equations has innovations which is credited to each variable and the method of impulse response function. The authors established that exchange rate in Nigeria due to its volatility causes revenue volatility from oil and this has a daring consequence on Nigeria's economic growth (being a monoculture economy). They found that change in oil price index, change in interest rate, proportion of export to GDP and exchange rate variability bears some negative impacts on change in the rate of output growth in Nigeria. Moreover, government size and exchange rate variability created some disturbances to change in the rate of output, these changes were not as substantial as those created by change in interest rate, ratio of oil export to GDP and change in oil price index. In addition, change in output responds negatively for some time horizon to one-standard deviation shocks in change in oil price index, change in interest rate, oil export to GDP and exchange rate variability. The authors recommend economic diversification and sound macroeconomic management among others.

scholarly journals Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis.

2011 ◽  
Vol 50 (4II) ◽  
pp. 491-511 ◽  
Author(s):  
Muhammad Arshad Khan ◽  
Ayaz Ahmed
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Food Price ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Impulse Response Functions ◽  
Price Shocks ◽  
Effective Exchange ◽  
Effective Exchange Rate

This study examines the transmission channels through which the global food and oil price shocks affects selected macroeconomic variables including inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1-2011M7. An empirical analysis is carried out by employing structural vector autoregressive (SVAR) framework. Generalised Impulse Response Functions and Generalised Forecast Variance Decompositions are employed to track the impact of oil and food price shocks to Pakistan‘s economy. Results suggest that oil price shock affects industrial production, appreciates real effective exchange rate negatively and affect inflation and interest rate positively. Whereas, following food price shocks, industrial output increases. Similarly, interest rate and inflation rate responds positively following food price shocks. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The result clearly reveals that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and real effective exchange rate. However, among all, real effective exchange rate has seen a dominant source of variations in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of inflation (stagflation) in Pakistan. Keywords: Oil and Food Price Shocks, SVAR, GIRFs, GFEVDs, Pakistan

scholarly journals MEKANISME TRANSMISI GONCANGAN HARGA MINYAK DAN HARGA PANGAN DUNIA TERHADAP PEREKONOMIAN MAKRO INDONESIA: PENDEKATAN STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR)

2017 ◽  
Vol 11 (2) ◽  
Author(s):  
Abdul Khaliq
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Industrial Production ◽  
Food Price ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Price Shocks ◽  
Price Shock ◽  
Effective Exchange ◽  
Effective Exchange Rate

<p>This study examines the transmission channels of oil and food price shocks to selected Indonesian macroeconomic variables including Indonesia industrial production index, world interest rate, inflation, domestic interest rate, real effective exchange rate, and Jakarta Composite Index using monthly data over the period 2001M01-2013M08. An empirical analysis is carried out by utilizing structural vector autoregressive (SVAR) framework. Impulse response functions (IRFs) and forecast variance decompositions (FEVDs) are employed to track the impact of oil and food price shock to Indonesian economy. The empirical findings of IRFs suggest that oil price shock negatively affects industrial production, depreciates real effective exchange rate, increases inflation and interest rate, and negatively affects aset price. However, following food price shocks, industrial production increases, depreciates real effective exchange rate, increase stock return. Moreover, inflation and interest rate respond positively following food price shocks. The FEVDs results clearly reveals that the variation in industrial production growth, inflation, interest rate, real effective exchange rate, and aset price due to oil price shock is relatively larger than the food price shocks. This implies that oil price is most important source of disturbances in Indonesian macroeconomy. As a whole, this study recommend that world oil and food price should be considered for policy analysis and forecasting an Indonesian macroeconomy.<br />Key Words : Oil and food price shocks, SVAR, IRFs, FEVDs, Indonesia</p>

scholarly journals Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch

2021 ◽  
Vol 9 (6) ◽  
pp. 1180-1185
Author(s):  
Turgut Orman ◽  
İlkay Dellal
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Cointegration Analysis ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Producer Price ◽  
Agricultural Exports ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real effective exchange rate have a statistically significant positive influence on the export volume whereas exchange rate volatility has negative impact on it.

scholarly journals Impacts of the monetary policy on the exchange rate: case study of Vietnam

2019 ◽  
Vol 26 (2) ◽  
pp. 220-237
Author(s):  
Van Anh Pham
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Real Effective Exchange Rate ◽  
Content Type ◽  
Effective Exchange ◽  
Quantitative Results ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam. Design/methodology/approach The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches. Findings The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER. Originality/value The quantitative results imply that the MP affects the REER considerably.

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