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Effects of Monetary Policy Shocks in Nigeria: Evidence From Structural Var Modeling

By Lajems Economics

Summary

This paper empirically examines the effects of monetary policy shocks on some selected macroeconomic variables in Nigeria, over the period of 1983 to 2015. The data used are sourced from Central Bank of Nigeria Bulletin, Nigeria Bureau of Statistics portal and World Bank portal. The paper used structural vector autoregressive technique to model and estimate contemporaneous impact and response of interest rate shocks to other macroeconomic variables. Impulse response function revealed that interest rate-shock has a negative impact on real GDP and money supply. It is also observed that inflation rate responds positively to positive shocks in interest rate and money supply, an outstanding contribution to the price puzzle debate in the monetary shock studies. It is therefore recommended that monetary policy authority in Nigeria be more vigilant in fixing interest rate because of its significant effects on other macroeconomic variables.
Effects of Monetary Policy Shocks in Nigeria: Evidence From Structural Var Modeling
 
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Published: June 8, 2017

Uploaded by: LAFIA JOURNAL OF ECONOMICS AND MANAGEMENT SCIENCES (LAJEMS)

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Abstract

This paper empirically examines the effects of monetary policy shocks on some selected macroeconomic variables in Nigeria, over the period of 1983 to 2015. The data used are sourced from Central Bank of Nigeria Bulletin, Nigeria Bureau of Statistics portal and World Bank portal. The paper used structural vector autoregressive technique to model and estimate contemporaneous impact and response of interest rate shocks to other macroeconomic variables. Impulse response function revealed that interest rate-shock has a negative impact on real GDP and money supply. It is also observed that inflation rate responds positively to positive shocks in interest rate and money supply, an outstanding contribution to the price puzzle debate in the monetary shock studies. It is therefore recommended that monetary policy authority in Nigeria be more vigilant in fixing interest rate because of its significant effects on other macroeconomic variables.

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Lajems Economics

Lajems Economics

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