Crude oil price volatility and its impact on export dependent economies

Tahir, Suleiman

Abstract

Motivated by the problem of crude oil price volatility, this research is examining interdependences between crude oil price and each of GDP, foreign account, gold price, futures price, and also, stock markets. The research was mainly directed at examining the impact of oil price volatility on the economic variables of the commodity’s export dependent economies, with particular reference to Nigeria. However the outcomes provide a framework for extensions and application to the economic conditions of net oil importing countries, other primary commodities, Sovereign Wealth Funds (SWFs) and crude oil revenue management. As the research is motivated by the behaviour of a commodity (oil), economy or share (indices) over time, the study applies time series analysis in order to address the research questions.

In examining if crude oil price volatility has any impact on the commodity’s export dependent economies such as Nigeria, chapter 4’s analysis found evidence of oil price volatility impact on the Bonny Light (BL) spot, GDP and also, foreign reserve account. In trying to identify an efficient price hedging mechanism for the BL, chapter 5 found that the West Texas Intermediate’s futures price is able to predict the BL spot. Chapter 6 examined potentials for market efficiency and volatility transmission between crude oil spot and the stock markets of selected oil export dependent countries. The results suggest evidence of volatility transmission in most tested series pairs. Thus, given the examined variables in this research, the overall outcome suggest a widening influence of crude oil price volatility on the commodity’s export dependent economies at large.

Citation

Tahir, S. (2012). Crude oil price volatility and its impact on export dependent economies. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4218821

• Thesis Type: Thesis
• Deposit Date: Jan 20, 2017
• Publicly Available Date: Feb 23, 2023
• Keywords: Business
• Public URL: https://hull-repository.worktribe.com/output/4218821
• Additional Information: Business School, The University of Hull
• Award Date: Oct 1, 2012