Please use this identifier to cite or link to this item: https://library.cbn.gov.ng:8443/jspui/handle/123456789/600
Title: The dominant channels of monetary policy transmission in Nigeria: an empirical investigation.
Authors: Mbutor, M. O.
Keywords: Dominant channel,
Transmission mechanism,
Monetary policy,
Gross Domestic Product (GDP),
Consumer Price Index (CPI).
Issue Date: Mar-2009
Publisher: Central Bank of Nigeria, Research Department.
Citation: Mbutor, M. O. (2009). The dominant channels of monetary policy transmission in Nigeria: an empirical investigation. Economic and Financial Review, 47(1), 45–68.
Series/Report no.: Vol. 47;No. 1
Abstract: The paper aims at identifying the dominant channel of monetary policy transmission in Nigeria. The standard vector autoregressive methodology is adopted. The data set for the study spans 1998:Q1 and 2006:Q4. ADF tests confirm stationarity. The impulse response function shows that an unexpected shock of the monetary policy rate does not have a contemporaneous effect on gross domestic product and Consumer price index. In the quarter after the policy shock, output and price shrink marginally. Variance decomposition shows that the change in the policy rate contributes 22 per cent to total variation in GDP in the third quarter. However, the highest dip in prices as a result of the policy shock is observed in the fourth quarter. Variance decomposition shows that the change in the CPI was mainly caused by GDP and lags of CPI itself. The inferences from the study show that the lending rate provides the strongest nexus for the propagation of monetary policy impulses in Nigeria.
URI: http://library.cbn.gov.ng:8092/jspui/handle/123456789/600
ISSN: 1957 - 2965
Appears in Collections:Economic and Financial Review

Files in This Item:
File Description SizeFormat 
The dominant channels of monetary policy transmission in nigeria.pdf1.45 MBAdobe PDFThumbnail
View/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Admin Tools