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  • EER-D-21-00044_Manuscript

    Rights statement: 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

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    Embargo ends: 9/09/23

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COVID-19-induced shocks and uncertainty

Research output: Contribution to journalJournal articlepeer-review

Published
Article number103893
<mark>Journal publication date</mark>31/10/2021
<mark>Journal</mark>European Economic Review
Volume139
Number of pages12
Publication StatusPublished
Early online date9/09/21
<mark>Original language</mark>English

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.

Bibliographic note

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