The global effects of Covid-19-induced uncertainty

Giovanni Caggiano - Efrem Castelnuovo - Richard Kima

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:	8 June 2020
Authors:	Caggiano, Giovanni ; Castelnuovo, Efrem ; Kima, Richard
Publisher:	Helsinki : Bank of Finland
Subject:	Covid-19 \| Financial Uncertainty \| Vector AutoRegressions \| GlobalÖnancial cycle \| World industrial production \| Coronavirus \| Risiko \| Risk \| Welt \| World \| VAR-Modell \| VAR model \| Konjunktur \| Business cycle

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Extent:	1 Online-Ressource (circa 14 Seiten) Illustrationen
Series:	Bank of Finland research discussion papers. - Helsinki : [Verlag nicht ermittelbar], ISSN 1456-6184, ZDB-ID 2236524-2. - Vol. 2020, 11
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-952-323-332-4
Other identifiers:	hdl:10419/240334 [Handle]
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012225439