Federal finance and statistics / Central Bank of Nigeria

Adaptive Expectation, News Impact and Lending Rate Behaviour in Nigeria: Evidence from GARCH Models

This study investigates how adaptive expectations and news impact shape lending rate behavior in Nigeria within the framework of both symmetric and asymmetric GARCH models. Using monthly data spanning 2006M1 to 2024M5, the paper analyzes the persistence, volatility, and responsiveness of the prime lending rate to positive and negative news shocks. Three error distributions (Normal, Student’s t, and Generalized Error Distribution (GED)) were employed to ensure robust estimation. The findings | Keywords: Asymmetric models, GARCH models, Lending rate, Mean reversion

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Source	Central Bank of Nigeria
Collection	Federal finance and statistics
Kind	Document
Publisher	Central Bank of Nigeria
Date	2026-02-17
Type	document
Found at	https://www.cbn.gov.ng/api/GetAllDocuments
Archived copy	Look it up in the Wayback Machine
Record ID	`cbn:cbn:06e104b7fcb9a656`

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Adaptive Expectation, News Impact and Lending Rate Behaviour in Nigeria: Evidence from GARCH Models. Central Bank of Nigeria, 2026. Vero Archive, record cbn:cbn:06e104b7fcb9a656.