The Global Effects of Covid-19-Induced Uncertainty

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%.

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Year of publication:	2020
Authors:	Caggiano, Giovanni ; Castelnuovo, Efrem ; Kima, Richard
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Covid-19 \| financial uncertainty \| vector autoregressions \| global financial cycle \| world industrial production

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Series:	CESifo Working Paper ; 8280
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1698024983 [GVK] hdl:10419/217031 [Handle] RePec:ces:ceswps:_8280 [RePEc]
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10012214191