Revisiting the oil prices–domestic food inflation nexus in Nigeria: the role of global geopolitical risk

O. Adeosun, M. Tabash, S. Anagreh
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引用次数: 2

Abstract

PurposeThis study examines the influence of the global geopolitical risk (GPR) on the relationship between oil prices and domestic food prices under the augmented Phillips curve framework.Design/methodology/approachUsing monthly data on Nigeria from January 1995 to December 2021, the authors accommodate symmetry and asymmetry by adopting the linear and nonlinear autoregressive distributed lag, linear and nonlinear Granger causality tests.FindingsThe study establishes the positive and significant effects of both oil prices and GPR on food prices in the long and short run, though with a small magnitude in the short run. The asymmetric model shows that, while oil price shocks (positive and negative) exert a positive influence on food prices in the long-run, the effects of oil price shocks differ when accounting for GPR in the short-run. The coefficients of the interactive term, being the moderator of GPR between oil-food prices, are positively significant across models, suggesting that they jointly influence food prices when assuming linearity. The nonlinear model shows that the positive and negative components of interactive terms exert a positively significant influence on food prices, even though food prices tend to be more reactive to positive oil price shocks. The robustness checks show a unidirectional causal flow from oil prices and GPR to food prices under the linear and nonlinear models.Originality/valueThe authors examine the moderating effect of the newly developed global GPR index of Caldara and Iacoviello (2022) on the oil–food inflation relationship in Nigeria by applying the symmetric and asymmetric approaches.
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重新审视尼日利亚的油价与国内食品通胀关系:全球地缘政治风险的作用
目的本研究在增广菲利普斯曲线框架下考察了全球地缘政治风险对油价与国内食品价格关系的影响。设计/方法/方法使用1995年1月至2021年12月尼日利亚的月度数据,作者通过采用线性和非线性自回归分布滞后、线性和非线性Granger因果关系检验来适应对称性和非对称性。研究发现,从长期和短期来看,石油价格和GPR对食品价格都有积极而显著的影响,尽管在短期内影响较小。不对称模型表明,虽然石油价格冲击(正面和负面)从长期来看对食品价格产生了积极影响,但在短期内考虑GPR时,石油价格冲击的影响不同。交互项的系数是石油食品价格之间GPR的调节因子,在各个模型中都是正显著的,这表明当假设线性时,它们共同影响食品价格。非线性模型表明,交互项的正负分量对食品价格产生了显著的正向影响,尽管食品价格往往对正油价冲击更具反应性。稳健性检验显示,在线性和非线性模型下,从油价和GPR到食品价格的单向因果流。原创性/价值作者通过应用对称和非对称方法,研究了Caldara和Iacoviello(2022)新开发的全球GPR指数对尼日利亚石油-粮食通胀关系的调节作用。
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来源期刊
CiteScore
3.20
自引率
7.70%
发文量
41
期刊介绍: African Journal of Economic and Management Studies (AJEMS) advances both theoretical and empirical research, informs policies and practices, and improves understanding of how economic and business decisions shape the lives of Africans. AJEMS is a multidisciplinary journal and welcomes papers from all the major disciplines in economics, business and management studies.
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