Central Bank of Nigeria
Liquidity management, Monetary policy rate, Interbank rate, Non-Linear Autoregressive Distributed Lag Models (NARDL)
The paper assesses the response of monetary policy target variables to liquidity management instruments, using a Non-linear Autoregressive Distributed Lag (NARDL) model. The analysis focuses on the short end of liquidity management and provides evidence of long-run asymmetric effects of liquidity management instruments, notably, the monetary policy rate (MPR) and excess reserves of banks on the inter-bank rate. The findings show that the impact of discretionary and autonomous liquidity factors remains symmetric. In addition, the policy target rate is more sensitive to a monetary contraction than accommodation.
CBN Economic and Financial Review
Kure et al., (2021). An Empirical assessment of liquidity management instruments in Nigeria. Economic and Financial Review, 59(3), 27-58.