外文文献原油价格,股票市场上运动和经济增长关系.pdf

Asian Journal of Economic Modelling, 2016, 4(3): 112-123 Asian Journal of Economic Modelling ISSN(e): 2312-3656/ISSN(p): 2313-2884 URL: ON THE CRUDE OIL PRICE, STOCK MARKET MOVEMENT AND ECONOMIC GROWTH NEXUS IN NIGERIA EVIDENCE FROM COINTEGRATION AND VAR ANALYSIS Nsisong Patrick Ekong1† Daniel Wilson Ebong2 1 Department of Mathematics and Statistics University of Uyo, Nigeria 2 Department of Mathematics and Statistics, University of Port Harcourt, Nigeria ABSTRACT This work focuses majorly on modelling the dynamic relationship that exists between crude oil prices, stock market indicators and the economic growth in Nigeria using vector autoregressive (VAR) model and cointegration analysis. Market Capitalization and Exchange Rate were used as proxies f or stock market indicators and economic growth. The series consist of monthly data points from 1995:1 to 2014:11 totalling up to 239 observations obtained from the Nigerian stock market and Central Bank of Nigeria bulletin. From the study, there exists a v iable, long run and sustainable relationship among the series from the cointegration analysis. Two cointegrating equations were found to exist among the variables. The dynamic relationship that exists among these variables can be captured with a vector autoregressive model of order three (VAR(3)). Structural inference was carried with the VAR model and from the result it was noticed that the Nigerian stock market behaviour and the economic growth can better be predicted when taking the past values crude oil prices into consideration. These results mean that the crude oil prices, stock market m