Pandemic Tail Risk

Matthijs Breugem, Raffaele Corvino, Roberto Marfe (roberto.marfe@carloalberto.org) and Lorenzo Schönleber

No 623, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: This paper shows that tail risk in US equity markets increased in advance of the COVID-19 outbreak in February 2020. While tail risk of the market index did not move much before the outbreak, we document that tail risk of less pandemic-resilient economic sectors boomed in advance. This result is robust to alternative specifications of tail risk, measured from either option or credit default swap contracts. Long-horizon tail risk measures provide information about investors perception of pandemic risk persistence and economic recovery.

Keywords: COVID-19; tail risk; economic sectors. (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 G14 (search for similar items in EconPapers)
Pages: pages 36
Date: 2020
New Economics Papers: this item is included in nep-cwa and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.carloalberto.org/wp-content/uploads/2020/12/no.623.pdf (application/pdf)

Related works:
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:cca:wpaper:623

Access Statistics for this paper

More papers in Carlo Alberto Notebooks from Collegio Carlo Alberto Contact information at EDIRC.
Bibliographic data for series maintained by Giovanni Bert (giovanni.bert@carloalberto.org).