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

Sui-Jade Ho and Özer Karagedikli

Journal of International Money and Finance, 2025, vol. 158, issue C

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.

Keywords: Forward guidance; Monetary policy; Emerging markets (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:158:y:2025:i:c:s0261560625001147

DOI: 10.1016/j.jimonfin.2025.103379

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