The Impact of Stock Market Volatility and Interest Rate Fluctuations on Public Fixed Investment in Thailand

As the basis for the empirical analysis of investment uncertainty relationship, we attempt to examine the relationship between public fixed investment and uncertainty in Thailand using aggregate data. The Autoregressive Distributed Lag (ADL) Model is used to investigate the relationship between public fixed investment and stock market volatility and interest rate fluctuations. The ADL estimates and the robust estimates corrected for autocorrelation consistently suggest a negative relationship between public fixed investment and uncertainty proxies represented by the fluctuation of stock market returns and the long-term government bond rates.