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Economic and Financial Review

Authors

M. K. Tule

Publisher

Research Department, Central Bank of Nigeria

Keywords

Interest Rate Pass-through, Money Market Rates, Vector Error Correction, Policy Rate, Nigeria

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.

Issue

52

Volume

3

Recommended 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

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