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Effects of Monetary Policy Communication in Emerging Market Economies: Evidence from Malaysia

Sui-Jade Ho and Ozer Karagedikli ()

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: By conducting a high-frequency event study similar to Gürkaynak et al.(2005), we find that two factors are needed to adequately capture the effects of monetary policy announcements for a non-inflation targeting emerging market economy, Malaysia. These factors are the surprise changes in the policy rate (Overnight Policy Rate, OPR) and the information about the future path of monetary policy. We find that the path factor has a strong influence on long-term government bond yields, corporate bond yields and spreads. Our findings are indicative of the view that monetary policy communication is mostly about revealing information pertaining to the central bank’s assessment of the economic outlook, as opposed to an unconditional binding commitment to follow a specific policy path.

JEL-codes: J31 J64 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2021
New Economics Papers: this item is included in nep-mac, nep-mon and nep-sea
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Related works:
Working Paper: Effects of monetary policy communication in emerging market economies: Evidence from Malaysia (2021) Downloads
Working Paper: Effects of Monetary Policy Communication in Emerging Market Economies: Evidence from Malaysia (2021) Downloads
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