Economic and Financial Review


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.

Author Bio

Moses K. Tule is the Director of the Monetary Policy Department of the Central Bank of Nigeria.

Publication Title

CBN Economic and Financial Review





Recommended 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.



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