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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Available under license: CC BY-NC-ND
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - COVID-19-induced shocks and uncertainty
AU - Miescu, M.
AU - Rossi, R.
N1 - 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
PY - 2021/10/31
Y1 - 2021/10/31
N2 - 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.
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 - Daily SVAR
KW - Heteroskedasticity
KW - Uncertainty shocks
U2 - 10.1016/j.euroecorev.2021.103893
DO - 10.1016/j.euroecorev.2021.103893
M3 - Journal article
VL - 139
JO - European Economic Review
JF - European Economic Review
SN - 0014-2921
M1 - 103893
ER -