COVID-19 Induced Shocks and Uncertainty

Raffaele Rossi, Mirela Miescu

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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 languageEnglish
Article number103893
JournalEuropean Economic Review
Early online date9 Sept 2021
Publication statusPublished - 1 Oct 2021


  • COVID-19
  • Daily SVAR
  • Heteroskedasticity
  • Uncertainty shocks


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