Oil price shock can have serious inflation consequences and, therefore, elicit timely response from the Central Banks (CB). Our paper analyses the monetary policy response to oil prices in 5 Asian EMDEs during 2008–2019. Not only these countries are heavily dependent on oil imports for their increasing demand for oil, but also the CBs of these countries have gradually adopted inflation targeting (IT) framework of monetary policy. Therefore, it is also imperative to examine the weightage the CBs assign to oil price shock, while operating in IT-framework as against in non-IT-framework. This forms the second important objective of our paper. We estimate the CBs’ decision on interest rates as response to Brent crude oil price using augmented Taylor rule, in a macro panel data framework. We employ estimators that allows for heterogeneity across countries and are robust to cross sectional dependence. Oil importing Asian countries face a negative supply shock, due to trade linkages, that exerts a greater impact on inflation. Consequently, our finding that CBs raised interest rates to prevent subsequent negative demand effects in the long run, is intuitive. Interestingly, our results also reveal that CBs following IT-framework resorted to interest setting at a lower level as a response to oil price shock. This asserts the efficacy of the IT-framework in terms of absorbing oil shocks.

油价冲击可能会产生严重的通胀后果，因此会引起中央银行 (CB) 的及时反应。我们的论文分析了 2008-2019 年 5 个亚洲新兴市场经济体的货币政策对油价的反应。不仅这些国家对石油的需求日益增加，严重依赖石油进口，而且这些国家的央行也逐渐采用了通胀目标制（IT）的货币政策框架。因此，还必须检查 CB 对油价冲击的权重，同时在 IT 框架和非 IT 框架中操作。这构成了我们论文的第二个重要目标。我们在宏观面板数据框架中使用增强的泰勒规则估计了中央银行对利率的决定作为对布伦特原油价格的反应。我们采用的估计量允许跨国家的异质性，并且对横截面依赖性具有稳健性。由于贸易联系，石油进口亚洲国家面临负面供应冲击，这对通胀产生了更大的影响。因此，我们发现央行提高利率以防止随后的长期负面需求影响是直观的。有趣的是，我们的结果还表明，遵循 IT 框架的 CB 采取较低水平的利率设定来应对油价冲击。这表明了 IT 框架在吸收石油冲击方面的功效。我们发现央行提高利率是为了防止随后的长期负面需求影响，这是直观的。有趣的是，我们的结果还表明，遵循 IT 框架的 CB 采取较低水平的利率设定来应对油价冲击。这表明了 IT 框架在吸收石油冲击方面的功效。我们发现央行提高利率是为了防止随后的长期负面需求影响，这是直观的。有趣的是，我们的结果还表明，遵循 IT 框架的 CB 采取较低水平的利率设定来应对油价冲击。这表明了 IT 框架在吸收石油冲击方面的功效。