15 www.hrmars.com Macroeconomic Impact of Oil Price Levels and Volatility

This study investigates the time-series relationship on the impact of oil price volatility on macroeconomic activity in Nigeria using exponential generalized autoregressive conditional heteroskedasticity (EGARCH), impulse response function and lag-augmented VAR (LA-VAR) models. We found evidence that there is a unidirectional relationship exists between the interest rate, exchange rate and oil prices, with the direction from oil prices to both exchange rate and the interest rate. However, a significant relationship between oil prices and real GDP was not found. Our results suggest a potentially important role for energy prices in future research on exchange rate modelling