ESJ Social Sciences www.eujournal.org 284 Accounting for the Effects of Oil Prices on Exchange Rate in Nigeria: Empirical Evidence from Linear and Non-Linear ARDL Models Nasir, Naeem I., MSc Department of Economics, Nigerian Defense Academy, PMB, Kaduna-Nigeria Suleiman Sa’ad Petroleum Studies Department, Organization of the Petroleum Exporting Countries (OPEC) Helferstorferstrasse, Vienna, Austria Aliyu Rafindadi Sanusi Department of Economics, Ahmadu Bello University, Zaria, Nigeria Ali Baba Usman Department of Economics, BABA-AHMED University, Kano Nigeria Doi:10.19044/esj.2023.v19n16p284 Submitted: 30 April 2023 Accepted: 15 June 2023 Published: 30 June 2023 Copyright 2023 Author(s) Under Creative Commons BY-NC-ND 4.0 OPEN ACCESS Cite As: Nasir N.I., Sa’ad S., Sanusi A.R. & Usman A.B. (2023). Accounting for the Effects of Oil Prices on Exchange Rate in Nigeria: Empirical Evidence from Linear and Non-Linear ARDL Models. European Scientific Journal, ESJ, 19 (16), 284. https://doi.org/10.19044/esj.2023.v19n16p284 Abstract This study empirically examines the impact oil prices on the exchange rate in Nigeria. Time series annual dataset spanning 1980 to 2018 was estimated using the linear and nonlinear ARDL model developed by Pesaran and Shin, (1998) & Pesaran, et al. (2001) and Shin, et al. (2014); where oil prices, nominal exchange rate, interest rate, and oil revenue serves as the variables for analysis. From the result of the linear-ARDL models both the long run and short-run revealed that oil price has positive and significant impact on exchange rate. Similarly, the nonlinear model also revealed that, both in the long run and short-run, the depreciating effect of a fall in oil price is stronger than an appreciating effect of a arise in oil price of an equal magnitude. This, we argue, reflects the dependency of the economy on oil. One policy implication of this finding is that stability of oil prices and oil