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Effects of monetary policy communication in emerging market economies: Evidence from Malaysia

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  • Ho, Sui-Jade
  • Karagedikli, Özer

Abstract

By applying a high-frequency event study to Malaysia, we identify two factors in monetary policy announcements: a policy rate surprise and a path factor reflecting revisions to expected future policy path. The path factor has a notable impact on long-term government bond yields, corporate bond yields, and credit spreads, explaining a significant share of yield movements beyond the immediate policy rate change. The effects on longer-term yields persist for up to 25 days, while the impact on shorter-term yields dissipates more quickly. These findings provide new evidence on how central bank communication shapes market expectations outside of inflation-targeting regimes and contribute to the broader literature on monetary policy transmission in emerging markets.

Suggested Citation

  • Ho, Sui-Jade & Karagedikli, Özer, 2025. "Effects of monetary policy communication in emerging market economies: Evidence from Malaysia," Journal of International Money and Finance, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:jimfin:v:158:y:2025:i:c:s0261560625001147
    DOI: 10.1016/j.jimonfin.2025.103379
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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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