The dynamics of aggregate demand and supply shocks in ASEAN countries

► This study shows that aggregate demand and supply shocks are not independent of each other in the ASEAN region. ► Aggregate demand shocks are found to be more volatile than the aggregate supply shocks in five original ASEAN countries. ► Demand shocks appeared to have permanent positive effects on output levels in four out of five ASEAN countries. ► This paper suggests that aggregate supply shocks account for large variations in inflation in ASEAN region. ► The macroeconomic shocks are not found to be synchronized in ASEAN countries.