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Time-varying effects of monetary policy shocks in five asian countries

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  • Hur, Joonyoung
  • Kim, Soyoung
  • Lee, Yeil

Abstract

This paper investigates the time-varying effects of monetary policy shocks in five Asian countries—Indonesia, South Korea, Malaysia, the Philippines, and Thailand—over the post-2000 period using a time-varying coefficient VAR (TVC-VAR) model. We find that the macroeconomic effects of monetary policy shocks on output and prices have generally intensified over time, whereas the responsiveness of the policy interest rate to macroeconomic conditions has become more limited. To further explore the sectoral transmission mechanisms relevant for inclusive growth, we decompose output into external (exports) and internal (domestic demand) components. The results show that while the responses of exports to monetary policy shocks remain limited, the effects on domestic demand have gradually strengthened over time. These findings underscore the growing importance of the domestic sector in the transmission of monetary policy and highlight the need to account for sectoral asymmetries when designing effective and equitable monetary policy frameworks.

Suggested Citation

  • Hur, Joonyoung & Kim, Soyoung & Lee, Yeil, 2026. "Time-varying effects of monetary policy shocks in five asian countries," Journal of International Money and Finance, Elsevier, vol. 161(C).
    • Handle: RePEc:eee:jimfin:v:161:y:2026:i:c:s0261560625002360
    DOI: 10.1016/j.jimonfin.2025.103501
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    References listed on IDEAS

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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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