crude oil price‎, ‎consumer price index and exchange rate nexus‎: evidence from dynamic vector autoregressive model

This study offers an assessment of the dynamic relationship between crude oil price‎, ‎the consumer price index‎, ‎and the exchange rate in nigeria‎. ‎the data used for this study were secondary data sourced from the central bank of nigeria's statistical bulletin and the national bureau of statistics annual report‎. ‎optimum selection criteria‎, ‎such as the akaike information criterion‎, ‎optimal lag length‎, ‎and the vector autoregressive model approach‎, ‎were utilized to capture the dynamic behavior of the endogenous variables‎. ‎the results indicated that the coefficients of determination for crude oil prices‎, ‎the consumer price index‎, ‎and the exchange rate were 73.3%‎, ‎72.2%‎, ‎and 81.3%‎, ‎respectively‎, ‎indicating the proportion of total variation explained by the variables of interest‎. ‎the pairwise granger causality tests revealed that the price of crude oil granger-causes both the consumer price index and the exchange rate‎. ‎the vector autoregressive estimation model found that crude oil prices had an insignificant positive relationship with the first lag of the consumer price index‎, ‎and an insignificant negative relationship with the second lag‎. ‎the results also indicated a significantly positive relationship between crude oil prices and both the first and second lags of the exchange rate‎. ‎additionally‎, ‎the consumer price index exhibited a positive and significant relationship with both the first and second lags of the exchange rate‎. ‎the study recommends the use of the vector autoregressive model to assess the dynamic relationship between crude oil prices‎, ‎consumer price index‎, ‎and exchange rate in nigeria.