DYNAMICS OF CRUDE OIL PRICE, PRODUCTION AND EXPORTATION IN NIGERIA (2006 – 2024): A TIME-SERIES ANALYSIS
Abstract
This study examines the dynamic relationships between crude oil prices, domestic production,
and exportation in Nigeria from January 2006 to December 2024 using advanced time-series
methodologies. Monthly data sourced from the Central Bank of Nigeria was analyzed,
encompassing crude oil prices (USD/barrel), production, and export volumes (million
barrels/day). A missing data point for April 2023 was addressed using linear interpolation.
Seasonal-Trend Decomposition using Loess (STL) revealed underlying trend structures, though
statistical tests confirmed no significant seasonal effects across the variables. Stationarity was
established through differencing, and a Vector Autoregressive (VAR) model with Granger
causality testing found no significant lagged influence of price fluctuations on production.
Volatility analysis using a Dynamic Conditional Correlation GARCH (DCC-GARCH) model
identified strong persistence in crude oil price and production volatility but no short-term
volatility spillovers. Comparative analysis across pre- and post-2014 and COVID-19 periods
highlighted structural shifts in volatility patterns and a decline in output and export volumes. The
study concludes with policy recommendations aimed at improving resilience in Nigeria’s oil
sector amidst external market shocks.
