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This paper investigates the oil price—exchange rate nexus for Nigeria using daily data over the period 2 January 2007–31 December 2010. The generalised autoregressive conditional heteroscedasticity (GARCH) and exponential GARCH models are employed to examine the impact of oil price changes on nominal exchange rate. The outcome of this research indicates that a rise in oil prices leads to a depreciation of the Nigerian Naira vis‐à‐vis the US dollar over the study period.
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Muhammad et al. (2012) studied this question.
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