ANALYSING THE IMPACT OF CRUDE OIL PRICE VOLATILITY ON MONETARY POLICY IN NIGERIA
ANALYSING THE IMPACT OF CRUDE OIL PRICE VOLATILITY ON MONETARY POLICY IN NIGERIA
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Date
2012-11
Authors
CELESTINA, GLORY OFUJE OKOMAYIN
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Abstract
The study analyzed the impact of crude oil price volatility on monetary policy in Nigeria for the
period 1980:1 to 2010:4. The study was undertaken with two main objectives. The first objective
was to estimate the extent of crude oil price volatility. And secondly, to analyze the impact of
crude oil price volatility on monetary policy in Nigeria. The study used quarterly secondary data
and ARCH and GARCH method to analyze the data. The results of the study shows that crude
oil prices are volatile and that crude oil price volatility have significant negative impact on
monetary policy, net foreign assets and crude oil export in Nigeria. However, the impact of crude
oil price volatility on crude oil import was insignificantly negative. The sum of ARCH and
GARCH coefficients in the money supply, net foreign asset, and crude oil export models showed
that volatility is persistent (i.e. the error terms have infinite variance) while it was not persistent
in the crude oil import model. This suggests that crude oil price volatility has been part of the
reasons for the distortions or instability in monetary policy, net foreign asset, and crude oil
export in Nigeria. Furthermore, there is ample evidence that real output, inflation and interest
rates exerted significant impact on monetary policy in Nigeria. Therefore, the current surge in
crude oil prices has the potentials of affecting monetary policy performance in Nigeria.
Description
BEING A THESIS SUBMITTED TO THE SCHOOL OF POSTGRADUATE STUDIES,
AHMADU BELLO UNIVERSITY, ZARIA IN PARTIAL FULFILLMENT OF THE
REQUIREMENTS FOR THE AWARD OF MASTERS OF SCIENCE DEGREE IN
ECONOMICS
NOVEMBER, 2012
Keywords
ANALYSING,, CRUDE OIL PRICE,, VOLATILITY,, MONETARY,, POLICY IN NIGERIA