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Year 2016, Volume: 6 Issue: 4, 1599 - 1607, 01.09.2016

Abstract

Volatility and Commodity Price Dynamics in Nigeria

Year 2016, Volume: 6 Issue: 4, 1599 - 1607, 01.09.2016

Abstract

This study examines volatility and commodity price dynamics in Nigeria. This was estimated with the GARCH and Exponential Generalized Autoregressive Conditional Heteroschedasticity (EGARCH), while Granger Causality test was used to examine the causality direction between domestic commodity prices and spot price of commodity derivatives. The result shows that 30% of volatility in the spot international commodity market can be explained by volatility in domestic and international export commodity prices, while international oil spot prices explains 7% volatility in prices of goods consumed locally and export commodity price index explains 16% of spot price of international commodity between 2000-2013 in Nigeria. Inflation and exchange rate is shown to be significantly related to spot price volatility which accounts for its volatility also. Hence, as such, the clamor for a more stable and robust revenue generating sector cannot be over emphasized – the so much talked about diversification.

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Details

Other ID JA64NR44FM
Journal Section Research Article
Authors

Charles Osondu Manasseh This is me

Jonathan Emenike Ogbuabor This is me

Obiorah K Obinna This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

APA Manasseh, C. O., Ogbuabor, J. E., & Obinna, O. K. (2016). Volatility and Commodity Price Dynamics in Nigeria. International Journal of Economics and Financial Issues, 6(4), 1599-1607.
AMA Manasseh CO, Ogbuabor JE, Obinna OK. Volatility and Commodity Price Dynamics in Nigeria. IJEFI. September 2016;6(4):1599-1607.
Chicago Manasseh, Charles Osondu, Jonathan Emenike Ogbuabor, and Obiorah K Obinna. “Volatility and Commodity Price Dynamics in Nigeria”. International Journal of Economics and Financial Issues 6, no. 4 (September 2016): 1599-1607.
EndNote Manasseh CO, Ogbuabor JE, Obinna OK (September 1, 2016) Volatility and Commodity Price Dynamics in Nigeria. International Journal of Economics and Financial Issues 6 4 1599–1607.
IEEE C. O. Manasseh, J. E. Ogbuabor, and O. K. Obinna, “Volatility and Commodity Price Dynamics in Nigeria”, IJEFI, vol. 6, no. 4, pp. 1599–1607, 2016.
ISNAD Manasseh, Charles Osondu et al. “Volatility and Commodity Price Dynamics in Nigeria”. International Journal of Economics and Financial Issues 6/4 (September 2016), 1599-1607.
JAMA Manasseh CO, Ogbuabor JE, Obinna OK. Volatility and Commodity Price Dynamics in Nigeria. IJEFI. 2016;6:1599–1607.
MLA Manasseh, Charles Osondu et al. “Volatility and Commodity Price Dynamics in Nigeria”. International Journal of Economics and Financial Issues, vol. 6, no. 4, 2016, pp. 1599-07.
Vancouver Manasseh CO, Ogbuabor JE, Obinna OK. Volatility and Commodity Price Dynamics in Nigeria. IJEFI. 2016;6(4):1599-607.