Uncertainty in an emerging market economy: evidence from Thailand

Tosapol Apaitan, Pongsak Luangaram and Pym Manopimoke ()
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Pym Manopimoke: Bank of Thailand

Empirical Economics, 2022, vol. 62, issue 3, No 2, 933-989

Abstract: Abstract This paper constructs various measures of domestic and global uncertainty and provides a comprehensive study of their impacts on the Thai economy. Based on a small open economy VAR, global uncertainty delivers deeper and more long-lasting effects when compared to within-country ones. In addition, we find that uncertainty shocks first generate sudden and large declines for stock prices and foreign portfolio investment, before gradually affecting the real economy through investment and trade channels. There is also meaningful heterogeneity among different types of domestic uncertainty. While financial uncertainty matters most for the Thai economy overall, consumption demand largely responds to macroeconomic uncertainty, while economic policy and political uncertainty generates the most persistent effects on investment. Furthermore, fiscal policy uncertainty is a key driver of trade flows while monetary policy uncertainty plays an important role for capital markets.

Keywords: Economic; Financial; Political; Policy; News-based; Uncertainty; Emerging market; Small open economy; Spillovers (search for similar items in EconPapers)
JEL-codes: D80 E20 E32 E44 E66 F10 F30 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00181-021-02054-y

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