Emenike K.O. 2017. The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. Eastern European Business and Economics Journal 3(1): 28-47.
This study evaluates the interrelationship between crude oil price volatility and money market rate volatility in a developing, crude oil producing economy using monthly time series observations from January 2002 to December 2014. The results obtained from a BEKK specification of a multivariate GARCH (1,1) model indicate that shocks and increased volatility from crude oil prices and money market rates influence their current volatilities. The result also show evidence of volatility persistence in crude oil prices and money market rates in Nigeria. The results further provide evidence of significant unidirectional volatility spillovers from crude oil prices to the money market in Nigeria. These findings are important because they provide a strong indication that crude oil price volatilityisa very strong variable in determining the money market rates volatility in Nigeria.
Money market rate, crude oil price, volatility interrelationship, multivariate BEKK-GARCH model, oil producing economy, developing country
E40, C32, G21, Q43
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