Анализ волатильности рынка сырой нефти и макроэкономических показателей: эмпирические данные из Нигерии

Целью данного исследования является изучение взаимосвязей между волатильностью рынка сырой нефти и макроэкономическими показателями в Нигерии.

Автор использовал методы авторегрессионного распределенного лага (ARDL) в сочетании с обобщенной авторегрессионной условной гетероскедастичностью (GARCH) для определения степени волатильности рынка на основе ежемесячных данных с января 2012 г. по декабрь 2022 г. Автор проводит регрессионный анализ индекса волатильности цен на сырую нефть и квот добычи стран — экспортеров нефти (ОПЕК), анализ, темпы роста ВВП, обменный курс и динамику. Результаты показывают, что волатильность цен на нефть отрицательно связана с ВВП. Это означает, что волатильность цен на сырую нефть приводит к темпам роста в Нигерии.

В статье делается вывод , что рост цен на нефть способствует инфляции, обесценивает обменный курс и замедляет темпы роста в Нигерии.

Чтобы избежать зависимости от волатильности цен на нефть, автор статьи рекомендует правительству Нигерии принять политические меры, которые повышают энергоэффективность и снижают экономику страны от экспорта нефти посредством диверсификации в соответствующих отраслях промышленности, таких как экономическая и обрабатывающая промышленность.

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