The relationship between changes in Oil price and the Currency volatility in Nigeria and South Africa between 2009 and 2019

Avielele, Loretta Omosefe (2020) The relationship between changes in Oil price and the Currency volatility in Nigeria and South Africa between 2009 and 2019. Masters thesis, Dublin, National College of Ireland.

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Abstract

This research work seeks to investigate the relationship between changes in oil price and currency volatility in Nigeria and South Africa. The impact analysis and the causality analysis of the changes in oil price and currency volatility were employed for a robust understanding of the theme of the research. Using the Ordinary Least Squares (OLS), the result showed that there is a negative relationship between oil price and the Nigerian Naira and for the South African model, there is a rather positive relationship between South African Rand and oil price changes. Employing the ARDL, the short-run and long-run estimates for the Nigerian model shows that there is a direct or positive relationship between oil price changes and economic growth in Nigeria and while the relationship between currency volatility and economic growth is negative. Furthermore, the short run and long run estimates for the South African imply that there is a positive or direct relationship between currency volatility and economic growth in South Africa. The study recommends that when designing investment portfolios, investors (both foreign and local) pay critical attention to currency volatilities. Additionally, capital flight and currency management policies integrating expected oil price shocks are recommended. Currency hedging strategies for companies with dollarized obligations are recommended for both economies because currency volatilities have a profound impact on the economy. This research will be useful to firms, governments of both Nigeria and South Africa, and other various stakeholders particularly in understanding the dynamics of oil price and currency volatility nexus in a bid to make quality decisions.

Keywords: Oil price, Currency volatility, Purchasing power parity, Cointegration, Granger causality test.

Item Type:	Thesis (Masters)
Subjects:	H Social Sciences > HG Finance > Money > Currency H Social Sciences > Economics > Macroeconomics H Social Sciences > HD Industries. Land use. Labor > Specific Industries > Oil Industry
Divisions:	School of Business > Master of Science in Finance
Depositing User:	Dan English
Date Deposited:	15 Feb 2021 13:33
Last Modified:	15 Feb 2021 13:33
URI:	https://norma.ncirl.ie/id/eprint/4756

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