COVID-19-induced shocks and uncertainty

Mirela Miescu; Raffaele Rossi

doi:10.1016/j.euroecorev.2021.103893

COVID-19-induced shocks and uncertainty

Mirela Miescu^*
, Raffaele Rossi

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Article number	103893
Number of pages	12
Journal	European Economic Review
Volume	139
Early online date	9 Sept 2021
DOIs	https://doi.org/10.1016/j.euroecorev.2021.103893
Publication status	Published - Oct 2021

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 1 No Poverty

Keywords

COVID-19
Uncertainty shocks
Heteroskedasticity
Daily SVAR

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10.1016/j.euroecorev.2021.103893Licence: None: All rights reserved

Cite this

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title = "COVID-19-induced shocks and uncertainty",

abstract = "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.",

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AB - 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.

KW - COVID-19

KW - Uncertainty shocks

KW - Heteroskedasticity

KW - Daily SVAR

U2 - 10.1016/j.euroecorev.2021.103893

DO - 10.1016/j.euroecorev.2021.103893

M3 - Article

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VL - 139

JO - European Economic Review

JF - European Economic Review

M1 - 103893

ER -

COVID-19-induced shocks and uncertainty

Abstract

UN SDGs

Keywords

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