Spillover Effect of Interest Rate Volatility on Banking Sector Development in Nigeria: Dynamic ARDL Bound Test Approach

Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


This study investigates the dynamic spillover effect in the United States (US) interest rate volatility on the Nigerian banking sector development. The study adopts the bounds test approach in the context of the dynamic autoregressive distributed lag model (ARDL) and the modified Granger causality test. Empirical results support the dynamic impact in the spillover effect of US interest rate volatility on the banking sector development in Nigeria—over the short and long run time horizons. The research reveals that the spillover in the US interest rate volatility affects the development of the Nigerian banking sector through numerous channels—most significantly—via the real interest rate channel. Thus, the empirical results in the current research confirm the spillover impacts of US interest rate volatility consistent with other empirical studies—and is of interest to central bank monetary policy decisions.


Autoregressive distributed lag model (ARDL) Banking sector development Interest rate volatility Modified Granger causality Nigeria 


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© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Almaty Management UniversityAlmatyKazakhstan
  2. 2.Institute of Social SciencesUniversity of Mediterranean KarpasiaLefkoşaTurkey

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