C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsReturn

The paper analyses the influence of oil price volatility on Exchange Rate Variability, External Reserves, Government Expenditure and real Gross Domestic Product using the methodology of Vector Auto-Regressive (VAR) to carry out regression analysis, impulse response function and factor error variance decomposition for robust policy recommendations. The results of the research show that unstable oil price exerts varying degrees of deleterious effect on exchange rate variability, external reserves, Government expenditure and real gross domestic product (GDP). Based on the findings of the study, we recommend the need for the country to branch out its revenue sources. This will further shield the dangle effect of the fluctuation in prices of oil. Serious policy attention should be attached to agricultural reformation, industrial policy drives, mines and mineral development to diversify Nigeria's economy following the downward slide in the oscillations in oil prices to address the problem of excessive dependence on crude oil exportation. This will help to achieve sustainable growth and development in Nigeria.

Using the structural vector auto-regression analysis of the terms-of-trade, trade balance, output, consumption and investment cyclical components we show that the relationship between the terms-of-trade and trade balance is negative and that the terms-of-trade shocks explain only a small fraction of business cycles in the Slovak economy. We use quarterly data in constant prices in the period 1997-2014. The results are in line with the theoretical and empirical studies in the contemporary world economic literature. The negative relationship between the terms-of-trade and the trade balance confirms a theoretical Obstfeld-Svensson-Razin effect. The positive effect of a change in the terms-of-trade on the trade balance - so called Harberger-Laursen-Metzler effect - is the smaller, the more persistent terms-of-trade shocks are. By capital adjustment costs, the theoretical effect may be even negative. A modest contribution of the terms-of-trade shocks to the business-cycle fluctuations in Slovakia is in line with other empirical papers around the world.