Central Bank of Nigeria
Interest rate pass-through, Interest rates, Money market rates, Vector Error Correction, Policy rate, Nigeria
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 modelled. 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.
CBN Economic and Financial Review
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.