Agya Atabani Adi, Samuel Paabu Adda, Amadi Kingsley Wobilor
Department of Economics, Faculty of Humanities, Management and Social Sciences, Federal University, PMB 1020, Wukari, Nigeria.
SN Bus Econ. 2022;2(6):47. doi: 10.1007/s43546-022-00228-z. Epub 2022 May 10.
The study examined shock and volatility transmission between oil price and exchange rate markets using daily data covering the period from 23rd October 2009 to 30th November 2020. The contributions of the paper include (i) implementation of VAR-AGARCH model to capture spillover effect of shock and volatility; (ii) examining the nature of shock impact in oil price and exchange rate market; (iii) adopting of two measured of oil price (WTI and Brent); (iv) employing two measures of the exchange rate (USD/Naira and effective/Naira). The study revealed that past own shocks and volatilities significantly contribute to current volatilities in exchange rate and oil price markets. Also, there is bidirectional shock and volatility spillover between the exchange rate (USD/Naira and effective/Naira) and WTI oil price markets. There were bidirectional shock and volatility spillover between USD/Naira and Brent oil price and unidirectional shock and volatility from Brent oil price to effective exchange rate market. We found asymmetric shocks impacting exchange rates and WTI oil price while symmetric shock was observed in Brent oil price. Including innovation in oil price is essential in exchange rate policy formulation and modelling exchange rate shock and volatility.
该研究使用涵盖2009年10月23日至2020年11月30日期间的每日数据，考察了油价与汇率市场之间的冲击和波动传导。本文的贡献包括：（i）运用VAR-AGARCH模型来捕捉冲击和波动的溢出效应；（ii）考察油价和汇率市场中冲击影响的性质；（iii）采用两种油价度量指标（西德克萨斯中质原油和布伦特原油）；（iv）采用两种汇率度量指标（美元/奈拉和有效汇率/奈拉）。研究表明，过去自身的冲击和波动对当前汇率和油价市场的波动有显著影响。此外，汇率（美元/奈拉和有效汇率/奈拉）与西德克萨斯中质原油价格市场之间存在双向冲击和波动溢出。美元/奈拉与布伦特原油价格之间存在双向冲击和波动溢出，以及从布伦特原油价格到有效汇率市场的单向冲击和波动。我们发现非对称冲击影响汇率和西德克萨斯中质原油价格，而布伦特原油价格则观察到对称冲击。在汇率政策制定以及对汇率冲击和波动进行建模时，纳入油价创新至关重要。
