Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield

Kpughur Moses Tule, Osana Jackson Odonye (), Udoma Afangideh, Godday Ebuh, Elijah Udoh and Augustine Ujunwa ()
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Kpughur Moses Tule: Central Bank of Nigeria
Osana Jackson Odonye: International Monetary Fund

Financial Innovation, 2019, vol. 5, issue 1, 1-16

Abstract: Abstract This study examines the spillover effects of U.S. monetary policy normalization on Nigeria 10-Year Treasury bond yield between 2011 and 2017, using the vector error correction model approach. Our results reveal that domestic factors, such as exchange rate and inflation, rather than the U.S. 10-Year sovereign bond yield, are the key drivers of Nigeria 10-Year bond yield. Additionally, the spillover effect from the U.S. monetary policy was amplified by oil price shocks and changes in Nigeria’s monetary policy rates. Our counterfactual analysis confirms the findings.

Keywords: Tapering; Nigeria 10-year sovereign bond yield; Error correction model; Counterfactual analysis (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1186/s40854-019-0148-y

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