Economic uncertainty before and during the Covid-19 pandemic

Dave Altig (), Scott Baker, Jose Maria Barrero, Nicholas Bloom, Philip Bunn, Scarlet Chen (), Steven Davis, Julia Leather (), 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
Scarlet Chen: Stanford University
Julia Leather: University of Nottingham
Emil Mihaylov: Federal Reserve Bank of Atlanta
Nick Parker: Federal Reserve Bank of Atlanta
Pawel Smietanka: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Greg Thwaites: LSE Centre for Macroeconomics

No 876, Bank of England working papers from Bank of England

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 a rise of around 100% (relative to January 2020) in two-year implied volatility on the S&P 500 and subjective uncertainty around year-ahead sales for UK firms 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: 25 pages
Date: 2020-06-26
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 (285)

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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)
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