Monetary Policy Shocks and Effectiveness of Channels of Transmission in Nigeria: A Dynamic Stochastic General Equilibrium Approach
Anthony Akinlo and
Olumuyiwa Apanisile
Global Business Review, 2019, vol. 20, issue 2, 331-353
Abstract:
This study examines the effect of anticipated and unanticipated monetary policy shocks on the effectiveness of monetary policy transmission mechanism in Nigeria by estimating a sticky-price dynamic stochastic general equilibrium (DSGE) model using Bayesian estimation approach. Four major transmission channels (exchange rate, interest rate, credit and expectation) are considered due to the economic and financial conditions of Nigeria. The study employs quarterly data from 1986:1 to 2013:4 and data are sourced from World Development Indicator (online version). Results show that unanticipated monetary policy shock has short-run impact on monetary policy transmission channels, while anticipated monetary policy shock has long-run impact on the monetary policy transmission channels. The study, therefore, concluded that efforts should be directed at reducing the unanticipated monetary policy by announcing government policy at the beginning of the year so as to reduce people’s expectation.
Keywords: Monetary policy shocks; DSGE; anticipated monetary policy; unanticipated monetary policy (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972150918825194 (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:20:y:2019:i:2:p:331-353
DOI: 10.1177/0972150918825194
Access Statistics for this article
More articles in Global Business Review from International Management Institute
Bibliographic data for series maintained by SAGE Publications ().