The primary purpose of this paper is to discern the dynamic causal chain [in the Granger (temporal) sense rather than in the structural sensel] among real output, money, interest rate, inflation and the exchange rate in the context of a small Asian developing economy, such as Bangladesh. The methodology employed uses various unit root tests and Johansen’s co-integration test followed by vector error-correction modelling, variance decompositions, and impulse response functions in order to capture both the within-sample and out-of-sample Granger causal chain among macroeconomic activity. Given the relatively inward-oriented growth strategy of this small developing economy, where the real output was vulnerable to the vicissitudes of the dominant agricultural sector prone to weather, floods and cyclones as well as the external sector including volatile foreign assistance and labour remittances from aboard, our results quite in line with our expectations, ten to suggest that in the Granger-causality sense, output was relatively the leading variable being the most exogenous of all, and all other variables including money supply, prices, exchange rate, and interest rate had to bear the brunt of adjustment endogenously in different proportions in order to accommodate that real shock. The Granger-causal chain implied by our evidence that real output more often predominantly leads (rather than lags) money supply and the other three endogenous variables, is consistent more with the recent Real Business Cycle (RBC) theory than with the other two major macroeconomic paradigms such as, the Keynesian and the Monetarist. This finding has strong policy implications for any accommodative and/or excessive monetary expansion since it is likely to be dissipated in terms of relatively higher normal variables, such as, prices or exchange rates or interest rates rather than real output for a small developing economy like Bangladesh, given a relatively unstable overall macroeconomic environment.