This paper examined the impact of monetary policy on disaggregate inflation in Nigeria over the period January 2002 – June 2020. The paper also investigated the impact of oil price shocks on macroeconomic variables in Nigeria. Using a linear Structural VAR approach, we found evidence that a decline of the monetary policy rate does not reduce inflation. In addition, exchange rate seems to have a significant impact on core inflation. That is, a shock to exchange rate decreases core inflation in the long-run, although there is no impact in the short-run. However, in the case of food inflation, an exchange rate shock increases food inflation in the long-run, likely due to the impact on food import. The study further establishes that oil price shock is key in explaining fluctuations in macroeconomic variables in Nigeria.