Please use this identifier to cite or link to this item: http://library.cbn.gov.ng:8092/jspui/handle/123456789/144
Title: Responsiveness of Nigeria's Short-Term Interest Rates to Changes in the Policy Rate
Authors: Tule, M. K.
Keywords: Interest Rate Pass-through
Money Market Rates
Vector Error Correction
Policy Rate
Nigeria
Issue Date: Sep-2014
Publisher: Research Department, Central Bank of Nigeria
Citation: Tule, M. K. (2014). Responsiveness of Nigeria's Short-Term Interest Rates to Changes in the Policy Rate. Economic and Financial Review, 52(3), 49-69
Series/Report no.: Economic and Financial Review;Vol.52, No.3
Abstract: This paper appraises the efficacy of the Monetary Policy Rate (MPR) as an anchor for other short-term interest rates in the economy. Adopting the vector autoregression approach, the responses of Nigeria's short-term interest rates to changes in the interbank rate (proxy for MPR) was modeled. The paper found that the pass-through from MPR to money market interest rates in the long-run is higher for the prime and lending rates than for changes in the Treasury bill rate and 3-month deposit rate. Overall, there seemed to be an asymmetric impact with an increase or fall in the interbank rate.
URI: http://library.cbn.gov.ng:8092/jspui/handle/123456789/144
ISSN: 1957-2968
Appears in Collections:Economic and Financial Review

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