COVID-19-induced shocks and uncertainty
Mirela Miescu and
European Economic Review, 2021, vol. 139, issue C
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.
Keywords: COVID-19; Uncertainty shocks; Heteroskedasticity; Daily SVAR (search for similar items in EconPapers)
JEL-codes: D12 E21 E32 H12 (search for similar items in EconPapers)
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Working Paper: COVID-19-Induced Shocks and Uncertainty (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:139:y:2021:i:c:s0014292121002087
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