CBN Journal of Applied Statistics (JAS)


Investment, Monetary Policy Rate, Money supply, Unemployment


This paper examines the link between unemployment and monetary policy in Nigeria using a vector autoregressive (VAR) framework for the period 1983q1 – 2014q1. The paper investigates the effect of structural change by identifying three structural breakpoints and incorporating them into the VAR model as dummy variables. The results show that a positive shock to policy rate raises unemployment over a 10 quarter period. In addition, all the variables used as proxy in the model jointly Granger cause unemployment, implying the existence of a dynamic relationship between monetary policy and unemployment in Nigeria.

Author Bio

The authors are staff of Statistics Department, Central Bank of Nigeria.

Publication Title

CBN Journal of Applied Statistics






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