US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

Guglielmo Maria Caporale, Luis Gil-Alana and Emmanuel Abakah

Applied Economics, 2023, vol. 55, issue 3, 283-292

Abstract: This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.

Date: 2023
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Working Paper: US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach (2021)
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DOI: 10.1080/00036846.2022.2086686

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