Mahmud, Hassan (2009): Oil Price Shocks and Monetary Policy Aggregates in Nigeria: A Structural VAR Approach.

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Abstract
Studies have shown that the impact of oil price volatility varies significantly across countries and within the different sectors of a particular economy. The impact vary according to the prevailing state of an economy: whether the economy is a net importer or exporter of oil; the exchange rate regime; monetary policy framework; the vulnerability of the key sectors of the economy and the degree of openness of the economy.
In this study, we have used both restricted and unrestricted structural VAR models to decompose the impact of oil price shocks. Using a sevenvariable VAR matrix which include monetary policy aggregates, we forecast the impact of a one standard deviation innovation to oil price on inflation rate, money supply, interest rate, government expenditure, GDP per capita growth rate, exchange rate and manufacturing output over a tenyear period. We imposed identification restrictions on the VAR model to identify the structural parameters of the seven equations and show the variance decomposition analysis.
The results shows that the secondround effects of oil price shocks may be transmitted to the other sectors of the economy through the government expenditure  inflation rate channels with significant direct impact on the real sector and other monetary aggregates.
Item Type:  MPRA Paper 

Original Title:  Oil Price Shocks and Monetary Policy Aggregates in Nigeria: A Structural VAR Approach 
Language:  English 
Keywords:  Oil Price Shocks; Monetary Policy; Vector autoregressive model 
Subjects:  E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E58  Central Banks and Their Policies C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  25908 
Depositing User:  HASSAN MAHMUD 
Date Deposited:  18. Oct 2010 14:49 
Last Modified:  11. Aug 2015 11:28 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/25908 