The global effects of Covid-19-induced uncertainty

Giovanni Caggiano, Efrem Castelnuovo and Richard Kima

No 11/2020, Bank of Finland Research Discussion Papers from Bank of Finland

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; GlobalÖnancial cycle; World industrial production (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (25)

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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:zbw:bofrdp:rdp2020_011

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