The global effects of Covid-19-induced uncertainty

Giovanni Caggiano, Efrem Castelnuovo and Richard Kima

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%.

Keywords: Covid-19; Financial Uncertainty; Vector AutoRegressions; Global financial cycle; World industrial production (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2020-05
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (84)

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Related works:
Journal Article: The global effects of Covid-19-induced uncertainty (2020)
Working Paper: The Global Effects of Covid-19-Induced Uncertainty (2020)
Working Paper: The global effects of Covid-19-induced uncertainty (2020)
Working Paper: The global effects of Covid-19-induced uncertainty (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-50

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