COVID-19 Induced Shocks and Uncertainty

Raffaele Rossi; Mirela  Miescu

doi:10.1016/j.euroecorev.2021.103893

COVID-19 Induced Shocks and Uncertainty

Raffaele Rossi, Mirela Miescu

Economics

Lancaster University

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Abstract

Using statistical identification, we extract a COVID-19-induced shock by exploiting large daily jumps in financial markets caused by news about the pandemic. This shock depresses economic and financial indicators, increases risk and uncertainty measures, has sizeable distributional effects, and hits most harshly those industries relying on face-to-face interactions. Impulse response function analysis across various identification strategies leads us to interpret the statistical COVID-19-induced shock as a structural uncertainty shock.

Original language	English
Article number	103893
Journal	European Economic Review
Volume	139
Early online date	9 Sept 2021
DOIs	https://doi.org/10.1016/j.euroecorev.2021.103893
Publication status	Published - 1 Oct 2021

Keywords

COVID-19
Daily SVAR
Heteroskedasticity
Uncertainty shocks

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10.1016/j.euroecorev.2021.103893

Paper_MiescuRossi COVID EER AcceptedAccepted author manuscript, 756 KBLicence: CC BY-NC-ND

Cite this

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KW - Daily SVAR

KW - Heteroskedasticity

KW - Uncertainty shocks

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COVID-19 Induced Shocks and Uncertainty

Abstract

Keywords

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