Economic Uncertainty Before and During the COVID-19 Pandemic

Dave Altig (), Scott Baker, Jose Maria Barrero, Nicholas Bloom, Phil Bunn (), Scarlett Chen (), Steven Davis, Brent Meyer, Emil Mihaylov (), Paul Mizen, Nick Parker (), Thomas Renault, Pawel Smietanka () and Greg Thwaites ()
Additional contact information
Dave Altig: Federal Reserve Bank of Atlanta
Phil Bunn: Bank of England
Scarlett Chen: Stanford University - Department of Economics
Emil Mihaylov: Federal Reserve Bank of Atlanta
Nick Parker: Federal Reserve Bank of Atlanta
Pawel Smietanka: Bank of England
Greg Thwaites: University of Nottingham - School of Economics

No 2020-88, Working Papers from Becker Friedman Institute for Research In Economics

Abstract: We consider several economic uncertainty indicators for the US and UK before and during the COVID-19 pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective uncertainty about future business growth, and disagreement among professional forecasters about future GDP growth. Three results emerge. First, all indicators show huge uncertainty jumps in reaction to the pandemic and its economic fallout. Indeed, most indicators reach their highest values on record. Second, peak amplitudes differ greatly – from an 80 percent rise (relative to January 2020) in two-year implied volatility on the S&P 500 to a 20-fold rise in forecaster disagreement about UK growth. Third, time paths also differ: Implied volatility rose rapidly from late February, peaked in mid-March, and fell back by late March as stock prices began to recover. In contrast, broader measures of uncertainty peaked later and then plateaued, as job losses mounted, highlighting the difference in uncertainty measures between Wall Street and Main Street.

Keywords: Forward-looking uncertainty measures; volatility; COVID-19; coronavirus (search for similar items in EconPapers)
JEL-codes: D80 E22 E66 G18 L50 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2020
New Economics Papers: this item is included in nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (279)

Downloads: (external link)
https://repec.bfi.uchicago.edu/RePEc/pdfs/BFI_WP_202088.pdf (application/pdf)

Related works:
Journal Article: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic uncertainty before and during the Covid-19 pandemic (2020)
Working Paper: Economic Uncertainty before and during the COVID-19 Pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic Uncertainty Before and During the COVID-19 Pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfi:wpaper:2020-88

Access Statistics for this paper

More papers in Working Papers from Becker Friedman Institute for Research In Economics Contact information at EDIRC.
Bibliographic data for series maintained by Toni Shears ( this e-mail address is bad, please contact ).