Paper Title
Oil Price Shocks and Monetary Policy Dynamics in Nigeria: A Time-Varying Parameter Vector Autoregressive (TVP-VAR) Approach

Abstract
The study examines the existence of time-varying properties in the oil price-monetary policy relationship in Nigeria using four different measures of oil price shocks over the 1985Q1 – 2018Q2 period. In line with Primiceri (2005) and Kim et al (2017), a time-varying parameter vector autoregression (TVP-VAR) model wasestimated with shocks at different periods of significant oil price movements. Results from the study suggested the existence of time-varying properties in the oilprice-monetary policy nexus in Nigeria. Inflation rate was found to respond differently to oil price shocks and at different price changes, money supply grew during periods of oil price increase and exchange rate was identified as a critical channel of oil price impulses to the economy. Monetary policy instruments included in the study also exhibited varying levels of sensitivity to the shocks emanating from the different measures of oil price volatility using both methods.The study notes the challenges posed by both low and high prices to the fiscal space in Nigeria. Index Terms - Oil Price shocks, Structural VAR, Time varying parameter VAR, monetary policy