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COVID-19-induced shocks and uncertainty

Mirela Miescu and Raffaele Rossi ()

European Economic Review, 2021, vol. 139, issue C

Abstract: 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)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:139:y:2021:i:c:s0014292121002087

DOI: 10.1016/j.euroecorev.2021.103893

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European Economic Review is currently edited by T.S. Eicher, A. Imrohoroglu, E. Leeper, J. Oechssler and M. Pesendorfer

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