미국·중국의 통화정책 불확실성과 ASEAN-5 금융시장·무역 간의 비대칭적 연관성: 충격 원천과 전달경로를 중심으로

초록

Purpose – This study examines whether monetary policy uncertainty (MPU) from the United States and China is asymmetrically associated with financial markets and bilateral trade in five ASEAN economies: Thailand, Singapore, Malaysia, Vietnam, and the Philippines. Design/Methodology/Approach – Using monthly country-panel data from January 2000 to June 2018, the study employs country fixed-effects panel regressions with Driscoll-Kraay standard errors. Financial associations are examined through stock market volatility, government bond yields, and the term spread. Trade associations are assessed using ASEAN-US and ASEAN-China trade flows, with unit-root diagnostics and first-difference specifications applied to evaluate the interpretation of trade results. Findings – US MPU is positively associated with ASEAN equity market volatility, while the China MPU shows a stronger and more consistent association with the slope of the yield curve. In the trade channel, changes in China MPU are negatively associated with ASEAN-US total trade and export growth, while the US MPU shows no significant association with trade growth in most specification. Positive level coefficients in baseline trade regressions should not be interpreted as evidence of trade expansion, as they are sensitive to the non-stationary properties of trade variables. Country-specific analysis further reveals substantial heterogeneity within ASEAN-5. Research Implications – This study provides channel-consistent evidence that US and Chinese monetary policy uncertainty are associated with ASEAN-5 financial markets and trade through different empirical patterns, and that treating them as a single homogeneous external risk factor obscures meaningful asymmetries across financial markets, trade, and individual ASEAN economies.

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