COVID-19-Induced Shocks and Uncertainty
Mirela Miescu () and
Raffaele Rossi ()
Economics Discussion Paper Series from Economics, The University of Manchester
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.
JEL-codes: D12 E21 E32 H12 (search for similar items in EconPapers)
Date: 2020-12, Revised 2021-08
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Journal Article: COVID-19-induced shocks and uncertainty (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:man:sespap:2013
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