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

초록

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. © 2025 Elsevier Ltd

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