Impact of economic policy uncertainty on thailand macroeconomic variables

Abstract

© 2021, The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG. This study aims to investigate the impact of the international economic policy uncertainty (U.S., China, and Japan) on the Thai macroeconomy by using Global Vector Autoregressive (GVAR) model. The model is used to investigate the dynamic relationship across the country. The Generalized impulse response function is also used to examine the response of the macroeconomic indicators against the EPU shock. The results confirm that the economic policy uncertainty can transmit from one country to another country through the trading relationship. In the case of Thailand, the one standard error positive shock of the economic policy uncertainty (EPU) in major economies lead to a decline in Thai economic activities. We find that the foreign EPUs contribute a large impact on Thai export and import.