The effect of monetary policy on consumer price index is examined. Data on Nigeria’s inflation rate, gross domestic product, credits to private sector, broad money, net credit to government and consumer price index from 1981 to 2010 was obtained from the Central Bank of Nigeria (CBN) and International Monetary Fund (IMF) as reported by International Financial Statistics (IFS) data file. Multiple regression analysis was applied to the data after certifying that all the assumptions hold. At 5% level of significance, two of the independent variables, Inflation Rate (IR) and Net Credit to Government (NCG) are not statistically significant while the rest indicators are statistically significant. The analysis indicates that inflation rate, gross domestic product and credit to private sector have positive relationship with consumer price index. This implies that as consumer price index increases inflation rate, gross domestic product and credit to private sector increases. Broad money and net credit to government shows a negative relationship with consumer price index indicating that an inverse relationship with consumer price index exists.