The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy 28 Eastern European Business and Economics Journal Vol.3, No. 1, (2017): 28-47. Emenike Kalu O. Department of Accounting and Finance Kampala International University P.O.Box 20000 Kampala, Uganda emenikekaluonwukwe@yahoo.com, emenike.kalu@kiu.ac.ug Abstract This study evaluates the interrelationship between crude oil price volatility and money market rate volatility in a developing, crude oil producing economy using monthly time series observations from January 2002 to December 2014. The results obtained from a BEKK specification of a multivariate GARCH (1,1) model indicate that shocks and increased volatility from crude oil prices and money market rates influence their current volatilities. The result also show evidence of volatility persistence in crude oil prices and money market rates in Nigeria. The results further provide evidence of significant unidirectional volatility spillovers from crude oil prices to the money market in Nigeria. These findings are important because they provide a strong indication that crude oil price volatilityisa very strong variable in determining the money market rates volatility in Nigeria. Keywords: Money market rate, crude oil price, volatility interrelationship, multivariate BEKK-GARCH model, oil producing economy, developing country JEL Classification: E40, C32, G21, Q43 Introduction The crude oil market is one of the most important markets in Nigeria, as well as in the world economy, due to the crucial role it plays in economic activity. Crude oil is used in various areas such as transportation, heating, electricity generation, and industry. Based on its wide array of use, the market for crude oil is significantly larger than that of any other commodity. Crude oil is the mainstay of the Nigerian economy and plays a vital role in shaping the economic and political destiny of the country. CBN (2012) reports, for example, that crude oil revenue accounted for 75.3% of the federally collected revenue and that crude oil export accounted for 96.8% of total export. This underscores the magnitude of reliance of the Nigerian economy on crude oil. The money market, on the other hand, plays an increasingly important role in the mobilisation of financial resources for short-term investment through financial intermediation. The existence of a money market facilitates trading in short-term debt instruments to meet the short-term needs of large users