Do Asymmetric Currency Price Fluctuations and Oil Price Shocks Matter for Growth in Nigeria? Evidence from Non-Linear Analysis

Year 2020, Volume: 70 Issue: 1, 17 - 46, 30.06.2020

Mohammed Shuaıbu

https://doi.org/10.26650/ISTJECON2020-0006

Abstract

This paper examines the nexus between exchange rate fluctuations, oil price shocks, and growth in Nigeria, considering misspecification issues, endogeneity bias, and small sample size, which have not received adequate attention. Using a non-linear ARDL model, findings show that accounting for oil price and exchange rate asymmetries is important in explaining growth in the country for the period 1981-2016. The results also indicate that in the long-run, an exchange rate depreciation has a significant positive impact on growth. A negative oil price shock exerts a positive long-run effect on growth while higher oil prices have a negative impact. The oil price impact not only validates the Dutch disease hypothesis, but also reflects the government’s limited fiscal buffers and savings over time. Contemporaneously, oil price shocks affect growth distinctly as high oil prices boost growth while negative shocks retrogress productivity. While the impact of currency depreciation on growth was found to be positive, an appreciation hurt growth in the short term. The findings reinforce the need for the government to urgently minimize the country’s vulnerability to global crude oil markets as well as dependence on imports to stabilize the Nigerian Naira/ US dollar exchange rate.

Keywords

Oil price, Exchange rate, Economic growth, Asymmetries, Non-linear ARDL

Asimetrik Döviz Kuru Dalgalanmaları ve Petrol Fiyat Şokları Nijerya’nın Büyümesinde Önemli Midir? Doğrusal Olmayan ARDL Analizinden Bulgular

Abstract

Bu çalışma yeteri kadar dikkate alınmayan yanlış tanımlama sorunlarını, içsellik problemini ve küçük örneklem boyutunu göz önünde bulundurarak döviz kuru dalgalanmaları, petrol fiyat şokları ve Nijerya’nın büyümesi arasındaki ilişkiyi incelemektedir. Doğrusal olmayan ARDL modeli kullanılarak elde edilen bulgular, ülkenin 1981-2016 dönemindeki büyümesini açıklamada petrol fiyatlarının ve döviz kuru asimetrilerinin önemli olduğunu göstermektedir. Sonuçlar ayrıca uzun vadede döviz kurunun değer kaybetmesinin büyümede önemli bir pozitif etkisinin olduğunu belirtmektedir. Petrol fiyatlarındaki negatif şok uzun vadede büyümeyi pozitif bir şekilde etkilerken, yüksek petrol fiyatlarının ise olumsuz etkisi vardır. Petrol fiyatlarının etkisi sadece Hollanda hastalığı hipotezini geçerli kılmaz, aynı zamanda hükümetin zaman içindeki sınırlı mali tamponlarını ve tasarruflarını yansıtmaktadır. Eş zamanlı olarak, petrol fiyat şokları büyümeyi farklı şekilde etkilemektedir. Yüksek petrol fiyatları büyümeyi artırırken, negatif şoklar verimliliği düşürür. Döviz kurunun değer kaybetmesinin büyüme üzerinde pozitif etkisi bulunurken, değer kazanması kısa vadede büyümeye zarar vermektedir. Elde edilen bulgular hükümetin ülkenin küresel ham petrol piyasalarına olan kırılganlığını, aynı zamanda Nijerya Nairası/Dolar kurunu dengede tutmak için ithalata bağımlılığını acilen en aza indirmesinin gerektiğini desteklemektedir.

Keywords

Petrol fiyatı,, Döviz kuru, Ekonomik büyüme, Asimetriler, Doğrusal olmayan ARDL

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