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The advent of the coronavirus pandemic and the global recession that occurred has generated sincere interest from researchers and stakeholders on how the oil price dynamics affect Nigeria's exchange rate performance. This interest is carved from the high volatility during this period and the failure of many countries to cope with this, plunging many, including Nigeria, into economic recession. Coronavirus disrupted the global supply of commodity goods and services which crashed significant markets, including the crude oil market. In the mild stage of the pandemic, the oil price, which stood at $67.12 per barrel on 2 January 2020, went down to $12.22 on 22 April 2020 and became $40.91 as of 22 October 2020. As a result of these incidences, this study examines the dynamism of oil price on the crude oil market's performance and exchange rate. Using the monthly data spanning from 2000m1 to 2020m6, the study employed Toda-Yamamoto model to derive the impulse response function, Variance decomposition, and granger causality. Implications from the findings reveal that Macroeconomic global fundamentals primarily control the Nigerian stock market. Specifically, when the oil price becomes volatile and unpredictable, investors prefer to hold cash rather than invest into the market during an uncertain time. The findings reveal that the exchange rate is also strongly influenced by oil price shock only and not oil price volatility. Besides, the exchange rate responds negatively to oil price shocks but positively to oil price volatility. However, the result of the granger causality shows that the oil price volatility control on the exchange rate is not significant.
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