COVID-19-induced shocks and uncertainty

被引：19
|
作者：
Miescu, Mirela [1 ]
Rossi, Raffaele [2 ]
机构：
[1] Univ Lancaster, Lancaster, England
[2] Univ Manchester, Manchester, Lancs, England
来源：
EUROPEAN ECONOMIC REVIEW | 2021年 / 139卷
关键词：
COVID-19; Uncertainty shocks; Heteroskedasticity; Daily SVAR; MONETARY-POLICY; IDENTIFICATION; IMPACT;
D O I：
10.1016/j.euroecorev.2021.103893
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页数：12
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