خلاصة:
he 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 modeling approach. Previous studies substantially relied on linear methods using VAR approach to unravel this links without a clear conclusion. In an attempt to seek better results in this study, we employ both linear and nonlinear ARDL modeling techniques that inherently allows for asymmetric effect. Based on the theoretical proposition of ARDL methods that does require that all data are either stationary at 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 statistical 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.
ملخص الجهاز:
Effects of Oil Price Movement on Nigerian Macroeconomic Variables: Evidence from Linear near and Nonlinear ARDL Modelling Lukman Oyeyinka Oyelami*1 Received: 2016, November 20 Accepted: 2017, October 3 Abstract he study seeks to investigate both linear and nonlinear effects of oilprice movement on critical macroeconomic variables (output, priceand exchange rate) in Nigeria using ARDL modeling approach.
The results from linear and non-linear estimations indicate that oil price movement has statistical 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.
To this end, some empirical efforts have been made to unraveled the connection between oil price and Nigerian economy (Ayadi, 2005; Olomola, 2006; Akpan, 2011; Taiwo, Abayomi Damilare, 2012; Omojolaibi, 2013; Iwayemi Fowowe ,2011; Alley et al.
1. 3 Literature Review Oil price and macroeconomic variables nexus of both oil exporting and oil importing countries have been extensively explored in literature (Hamilton, 1996, 2008; Burbidge and Harrison, 1984; Gisser and Goodwin, 1986; Mork, 1989; Mory, 1993; Huntington, 1998).
As a result of this econometric shift, more recent empirical studies have employed different methods that provide opportunity for asymmetric investigation (Kilian, 2009; Moshiri, 2015; Ekong and Effiong, 2015; Abdulkareem and Abdulhakeem, 2016).
The results of linear ARDL as presented in second column of the table indicate that oil price movement has positive relationship with exchange rate movement in the short-run and negative relationship in the long-run.