Abstract The study models the behaviour of the Central Bank of Nigeria. An extended Taylor’s framework that accounted for exchange rate dynamics and political risk factors was adopted. In order to capture both ex-ante and ex-post behaviours of the monetary authority in the country, Markov-Switching Dynamic Regression (MSDR) approach was employed. The period of investigation spanned 1981q1 – 2017q4. The study found that money supply in Nigeria was endogenous and showed, consequently, that the Central Bank of Nigeria (CBN) acted discretionally rather than stick to some monetary policy rules for the period under investigation. The results also suggested that political risk factors significantly moderated the behaviour of the CBN; especially during period of high interest rate regime. With or without the effects of political risks being accounted for, low interest rate regime was found to be more persistent than high interest rate regime. With a relatively high persistence of low interest rate, the study found evidence for the popular Fisher’s effect and, then, suggested that inflation targeting should be one of the policy strategies of the monetary authority in Nigeria.

中文翻译：

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尼日利亚央行行为建模：马尔可夫转换方法

摘要 该研究模拟了尼日利亚中央银行的行为。采用了扩展的泰勒框架，该框架考虑了汇率动态和政治风险因素。为了捕捉该国货币当局的事前和事后行为，采用了马尔可夫转换动态回归 (MSDR) 方法。调查时间跨度为1981q1-2017q4。研究发现，尼日利亚的货币供应是内生的，因此，尼日利亚中央银行（CBN）在调查期间采取了谨慎行事，而不是坚持某些货币政策规则。结果还表明，政治风险因素显着调节了 CBN 的行为；尤其是在高利率时期。无论是否考虑政治风险的影响，发现低利率制度比高利率制度更持久。由于低利率的持续性相对较高，该研究发现了流行的费雪效应的证据，然后建议通胀目标制应该成为尼日利亚货币当局的政策策略之一。