Responsiveness of Nigeria’s short-term interest rates to changes in the policy rate
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Date
2014-09
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Central Bank of Nigeria, Research Department,
Abstract
This paper appraised 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.
Description
Keywords
Interest rate pass-through, Money market rates, Vector error correction, Nigeria
Citation
Tule, M. K (2014). Responsiveness of Nigeria’s short-term interest rates to changes in the policy rate. CBN Economic and Financial Review, 52(3), 49-69