Generally, the Capital Market seeks to achieve relative macroeconomic stability. Based on countries’ experience especially that of Nigeria, on the role of the capital market in controlling economic stability, this study examines the efficacy of the capital market in controlling inflation and exchange rate instability and taking into cognizance the evaluation and frame work of monetary policy in Nigeria. Using annual data, and applying the Ordinary Least Square (OLS) techniques of the Classical Linear Regression Model on the data used, the paper shows that the effort of the capital market at influencing the finance of government fiscal deficit through the determination of the stock market and financial institutions, which affects both the rate of inflation and real exchange rate, thereby causing volatility in their rates. The result of the data analysis shows that there is a positive relationship between the real gross domestic product, interest rate, money supply, and Total market capitalization, but a negative relationship exists only on the inflation rate. The policy import of the paper is that capital market should be set in such a way that the objective to be achieved is well defined.