This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered...

The study investigates the influence of crude oil price shocks on the macroeconomic performance of Africa’s oil-producing countries. Eight major net oil producers, namely, Algeria, Nigeria, Egypt, Angola, Gabon, Equatorial Guinea and Congo Republic are included in the study. Sudan is excluded...

We study the effects of oil prices on consumption across countries and U.S. states, by exploiting the time-series and cross-sectional variation in oil dependency of these economies. We build two large datasets: one with 55 countries over the years 1975-2018, and another with all U.S. states over...