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

Author

Listed:
  • Kpughur Moses Tule

    (Central Bank of Nigeria)

  • Osana Jackson Odonye

    (International Monetary Fund)

  • Udoma Johnson Afangideh

    (Central Bank of Nigeria)

  • Godday Uwawunkonye Ebuh

    (Central Bank of Nigeria)

  • Elijah Abasifreke Paul Udoh

    (Central Bank of Nigeria)

  • Augustine Ujunwa

    (Central Bank of Nigeria)

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.

Suggested Citation

  • Kpughur Moses Tule & Osana Jackson Odonye & Udoma Johnson Afangideh & Godday Uwawunkonye Ebuh & Elijah Abasifreke Paul Udoh & Augustine Ujunwa, 2019. "Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
    • Handle: RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0148-y
    DOI: 10.1186/s40854-019-0148-y
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    Cited by:

    1. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.

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