Time Series Analysis of Macroeconomic Variables in Nigeria: A Study Before COVID-19 Pandemic

Abstract

This paper examines the effect of Money Supply, GDP Growth, Oil Price, REER and Official exchange rate on Consumer Price Index in Nigeria during the period 1980 to 2019. Empirical estimation proceeds with tests for stationary and co-integration. The finding of Johansson among the variables leads to estimation of the hypothesized relationships with a vector error-correction model.

First, to check trend in our analysis we use unit root test ADF and Phillip Peron then apply Johnson co-integration approach to test our variables for long run as well as short run. The results of Johansen co-integration show, that Money Supply and CPI are co-integrated, as there is a long run relationship between the two. Further, we also found that GDP Growth, World Oil Price have positive and significant effect on CPI.