Aminu, Abubakar Wambai
(2016)
Macroeconomic Variables And Oil Price Shocks In Sub-Saharan Africa Oil Exporting Countries.
PhD thesis, Universiti Sains Malaysia.
Abstract
Kajian ini telah memeriksa pembolehubah-pembolehubah makroekonomi dan kejutan harga minyak di tiga buah negara pengeksport minyak Afrika Sub-Saharan, iaitu Nigeria, Angola dan Gabon. Kajian ini telah menemui bukti limpahan yang tinggi kemudahruapan dari harga minyak benar ke kadar pertukaran benar di Nigeria dan Gabon dan limpahan yang rendah kemudahruapan dari harga minyak benar ke kadar pertukaran benar di Angola. Dalam erti kata lain, korelasi kemudahruapan antara kadar pertukaran benar Nigeria dan Gabon dan harga minyak benar didapati adalah lebih tinggi daripada korelasi kemudahruapan yang didapati antara dua pembolehubah itu untuk Angola. Implikasi dasar ekonomi keputusan-keputusan ini adalah bahawa kadar pertukaran benar Nigeria dan Gabon adalah lebih dipacu oleh kemudahruapan harga minyak daripada kadar pertukaran benar Angola, yang menjadi petanda risiko makroekonomi, mengurangkan perdagangan dan pertumbuhan adalah lebih dalam kedua-dua negara itu daripada Angola. Oleh itu, Nigeria dan Gabon lebih mudah terdedah kepada kesan makroekonomi daripada Dutch disease daripada Angola sebagaimana keputusan GARCH multivariat menunjukkan.
The study has examined macroeconomic variables and oil price shocks in three Sub-Saharan African oil-exporting countries, namely Nigeria, Angola and Gabon. The study has found evidence of high volatility spillover from the real oil price to the real exchange rate in Nigeria and Gabon and low spillover of volatility from the real oil price to the real exchange rate in Angola. In other words, the volatility correlations between the real exchange rates of Nigeria and Gabon and the real oil price have been found to be higher than the volatility correlations between the two variables for Angola. The economic policy implication of these results is that the real exchange rates of Nigeria and Gabon are more driven by the volatility of oil price than the real exchange of Angola, which portends the macroeconomic risk of lowering trade and growth more in the two countries than Angola. Hence, Nigeria and Gabon are more susceptible to the macroeconomic effects of the Dutch disease than Angola as the multivariate GARCH results indicate.
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