Re-echoed central bank rate and inter-bank rates are some of the essential components of the financial system. They are the main focus of central bank. Monetary policy implementations have significant impact on the economy. Inter-bank funds transactions provide signal of the effects in the open market. For short-term interest rate stability, the operating instrument (monetary policy rate (MPR) instrument serves as an indication for the inter-bank monetary market and other deposit money banks (DMBs) interest rates were examined by this paper. The paper examined the relationship between central Bank of Nigeria’s interest rate and money deposit banks interest rates the paper by adopting integration of the series data, unit root test, and Augmented Dickey-Fuller and Philip- Perron tests. For the hypothesis testing, hypothesis evaluation tests was carried out using the ordinary Least Square regression analysis to test the OLS residuals and the regression between mpr, ir and Xt of stationarity and non-stationarity of the variables to determine long-run relationship between the series of data. The findings indicate that the rates are co-integrated and have a long-run relationship, judging from the significance of the unit root test for the residual and the coefficient of the error correction variable in the error correction model. The paper recommended that CBN should embark on joint harmonization of fiscal and monetary policy. Central Bank should adopt expansionary monetary policy in order to infuse more funds in the economy. And CBN should build an efficient and sustained low interest rate intervention fund to support the real economic sector.