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The aim of this research is to examine how monetary aggregates affect economic growth in the ASEAN region. To achieve this objective, a Panel VAR model is utilized, incorporating five key macroeconomic indicators: gross domestic product, consumer price index, foreign exchange, interest rate, and money supply. The study focuses on nine ASEAN member countries, namely Brunei, Cambodia, Indonesia, Laos, Malaysia, Philippines, Singapore, Thailand, and Vietnam, spanning from 2012 to 2022. The Generalized Method of Moments (GMM) with the mean-differencing method or Helmert procedure is employed as the estimated method for the model. The findings of this study demonstrate that an increase in money supply by one lag has a significant positive impact on the gross domestic product at a 1% level of significance. This suggests that monetary policy plays a crucial role in promoting economic growth among the member countries of ASEAN. When it comes to the forecast error variance decomposition, the fluctuations in economic growth within ASEAN can mainly be attributed to the fluctuations in the consumer price index (34.85%), interest rate (8.84%), foreign exchange (5.92%), and money supply (2.24%). It is worth noting that the variations in all these variables in the system are primarily explained by the fluctuations in the general price level: 34.85% for gross domestic product, 35.24% for foreign exchange, 34.15% for interest rate, and 34.95% for money supply.
Song et al. (Sun,) studied this question.