COVID-19-induced shocks and uncertainty

Miescu, M. and Rossi, R. (2021) COVID-19-induced shocks and uncertainty. European Economic Review, 139: 103893. ISSN 0014-2921

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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.

Item Type:

Journal Article

Journal or Publication Title:

European Economic Review

Additional Information:

This is the author’s version of a work that was accepted for publication in European Economic Review. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in European Economic Review, 139, 2021 DOI: 10.1016/j.euroecorev.2021.103893

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2000/2003

Subjects:

?? covid-19daily svarheteroskedasticityuncertainty shocksfinanceeconomics and econometrics ??

Departments:

Lancaster University Management School > Economics

ID Code:

160505

Deposited By:

ep_importer_pure

Deposited On:

06 Oct 2021 14:55

Refereed?:

Yes

Published?:

Published

Last Modified:

11 Aug 2024 23:52

URI:

https://eprints.lancs.ac.uk/id/eprint/160505