Macroeconomic Variables And Oil Price Shocks In Sub-Saharan Africa Oil Exporting Countries
| dc.contributor.author | Aminu, Abubakar Wambai | |
| dc.date.accessioned | 2017-02-08T08:08:26Z | |
| dc.date.available | 2017-02-08T08:08:26Z | |
| dc.date.issued | 2016-03 | |
| dc.description.abstract | The study has examined macroeconomic variables and oil price shocks in three Sub-Saharan African oil-exporting countries, namely Nigeria, Angola and Gabon. The study has found evidence of high volatility spillover from the real oil price to the real exchange rate in Nigeria and Gabon and low spillover of volatility from the real oil price to the real exchange rate in Angola. In other words, the volatility correlations between the real exchange rates of Nigeria and Gabon and the real oil price have been found to be higher than the volatility correlations between the two variables for Angola. The economic policy implication of these results is that the real exchange rates of Nigeria and Gabon are more driven by the volatility of oil price than the real exchange of Angola, which portends the macroeconomic risk of lowering trade and growth more in the two countries than Angola. Hence, Nigeria and Gabon are more susceptible to the macroeconomic effects of the Dutch disease than Angola as the multivariate GARCH results indicate. The results from the Johansen cointegration tests revealed no evidence of long run relationship between the real exchange rate and the real oil price for Nigeria and Gabon, which suggests that in the long run, there is no evidence of the Dutch disease for the two countries. In the case of Angola, the ARDL Bounds test revealed evidence of a stable long run relationship between the real exchange rate and the real oil price, which suggests that the macroeconomic effects of the Dutch disease are more sustained and long lasting in Angola than Nigeria and Gabon. With regards to the short run dynamics between the real exchange rates and real oil prices of the three countries, the results of the Granger causality tests revealed evidence of bi-directional causality between the real exchange rate and the real oil price for Nigeria, which suggests that the real oil price can help in the prediction of the real exchange rate and also the real exchange rate can help in the prediction of the real oil price. In the case of Gabon, unidirectional causality has been found running from the real exchange rate to the real oil price, which suggests that the real exchange rate of Gabon provides information about the future movements in the real oil price and real oil price cannot be used to predict future movements in the real exchange rate. In the case of Angola, no evidence of short run causality between the two variables has been observed. The results of the short run dynamic effects of the ARDL model indicated evidence of a short run relationship between the real exchange rate and the real oil price, which suggests short run causality between the two variables exists. The study has found evidence of shocks transmission among the macroeconomic variables of the three countries, namely oil price, exchange rate, money supply, inflation and the GDP, and Nigeria’s exchange rate has been found to respond more to oil price shock than the exchange rates of Angola and Gabon. The variables’ own shocks have been found to be the dominant source of the shocks. This suggests that the shocks are internal or domestic. Transmission of macroeconomic shocks from the three countries onto their neighboring trading partner countries has been observed, which suggests that the neighboring trading partners of the three countries are vulnerable to external macroeconomic shocks that stem from the three countries. Finally, the study has found that the shock of the global economic and financial crisis of 2008 had affected the macroeconomic variables of the three countries as well as those of their trading partners. This indicates the vulnerability of the three countries and their neighboring trading partners to vagaries of external macroeconomic shocks. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/3695 | |
| dc.language.iso | en | en_US |
| dc.publisher | Universiti Sains Malaysia | en_US |
| dc.subject | Oil price | en_US |
| dc.title | Macroeconomic Variables And Oil Price Shocks In Sub-Saharan Africa Oil Exporting Countries | en_US |
| dc.type | Thesis | en_US |
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