Volatility and Commodity Price Dynamics in Nigeria


Abstract views: 105 / PDF downloads: 52

Authors

  • Charles Osondu Manasseh Department of Economics, University of Nigeria Nsukka
  • Jonathan Emenike Ogbuabor Department of Economics, University of Nigeria Nsukka
  • Obiorah K Obinna Department of Economics, University of Nigeria Nsukka

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.Keywords: Volatility, Dynamics, Spot price, Causality, Inflation, Exchange rate JEL Classifications: E3; E32; C32; O24; F31

Downloads

Download data is not yet available.

Author Biographies

Charles Osondu Manasseh, Department of Economics, University of Nigeria Nsukka

Researcher/Lecturer

Jonathan Emenike Ogbuabor, Department of Economics, University of Nigeria Nsukka

Department of Economics/Lecturer

Obiorah K Obinna, Department of Economics, University of Nigeria Nsukka

Department of EconomicsStudent

Downloads

Published

2016-10-21

How to Cite

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. Retrieved from https://econjournals.com/index.php/ijefi/article/view/2142

Issue

Section

Articles

Most read articles by the same author(s)