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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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COVID-19-induced shocks and uncertainty

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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COVID-19-induced shocks and uncertainty. / Miescu, M.; Rossi, R.
In: European Economic Review, Vol. 139, 103893, 31.10.2021.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Miescu, M & Rossi, R 2021, 'COVID-19-induced shocks and uncertainty', European Economic Review, vol. 139, 103893. https://doi.org/10.1016/j.euroecorev.2021.103893

APA

Miescu, M., & Rossi, R. (2021). COVID-19-induced shocks and uncertainty. European Economic Review, 139, Article 103893. https://doi.org/10.1016/j.euroecorev.2021.103893

Vancouver

Miescu M, Rossi R. COVID-19-induced shocks and uncertainty. European Economic Review. 2021 Oct 31;139:103893. Epub 2021 Sept 9. doi: 10.1016/j.euroecorev.2021.103893

Author

Miescu, M. ; Rossi, R. / COVID-19-induced shocks and uncertainty. In: European Economic Review. 2021 ; Vol. 139.

Bibtex

@article{763cbbbbf1bf4e9b9ffc152e49b75022,
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. ",
keywords = "COVID-19, Daily SVAR, Heteroskedasticity, Uncertainty shocks",
author = "M. Miescu and R. Rossi",
note = "This is the author{\textquoteright}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",
year = "2021",
month = oct,
day = "31",
doi = "10.1016/j.euroecorev.2021.103893",
language = "English",
volume = "139",
journal = "European Economic Review",
issn = "0014-2921",
publisher = "Elsevier",

}

RIS

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 -