ABSTRACT:- This study employed Vector Autoregressive Distributive model (VAR) to estimate the relationship among crude oil price, inflation and exchange rate in Nigeria between 1990q1 and 2017q4. To achieve objective this paper, data were sourced from various publications such as Central Bank of Nigeria Statistical Bulletin, 2018 Edition, United States of America Federal Reserve Economic Data (FRED) database and Energy Information Administration (EIA) database. Findings from the various estimations carried study showed that crude oil price increase has marginal positive effects both on inflation and exchange rate while crude oil price reduction has significant negative impacts on both inflation and exchange rate in Nigeria during the study period. Based on these findings, the study therefore, concludes that the relationship among oil price, inflation and exchange rate in Nigeria during the study period was asymmetric. The study recommends that the behaviour of crude oil price at international oil market should always be monitored in formulating both fiscal and monetary policies in Nigeria.
Keywords: Oil Price, Inflation, Exchange Rate, Asymmetric, VAR and Nigeria.