Time-frequency dynamics of financial market stress and global economic uncertainties: evidence from the COVID-19 pandemic

Mohammed Armah and Godfred Amewu

Applied Economics Letters, 2024, vol. 31, issue 10, 934-939

Abstract: Given the negative effects of the COVID-19 pandemic on world economies, uncertainties are expected to increase during this period. To this end, we examine the time-frequency dynamics of financial market stress and economic uncertainties. We apply in-sample and out-sample namely; bivariate wavelet and quantile causality to accentuate the importance of economic uncertainties and market stress during COVID-19. We find that both in-sample and out-sample for economic uncertainty drive and pose a high risk to the financial market during COVID-19.

Date: 2024
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DOI: 10.1080/13504851.2022.2156465

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