This paper examines the multi-scale relationships among macroeconomic variables the interest rate, the exchange rate and stock price using the Time-varying parameter ? Vector autoregressive model. In particular, we apply the TVP-VAR model with the Markov chain Monte Carlo method and the use of monthly data from August 2000 to April 2016 for analyzing the exchange rates, two versions of stock indices and treasury bill interest rates in the Vietnamese economy. Our study shows that there is an increase in the simultaneous relation of the exchange rates to the stock price shock, the positive persistently simultaneous relation of the interest rate to the stock price shock and the negative persistently of the interest rates to the exchange rates. Therefore, there are different macroeconomic performances in the Vietnamese economy, which indicate the possibility of critical structural changes in the economy over time. Besides, remarkable changes in the relations between the macroeconomic variables are shown by the time-varying impulse responses compared with those estimated by a constant parameter VAR.