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
Other Persons:	Castelnuovo, Efrem (contributor) ; Kima, Richard (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Risiko \| Risk \| Coronavirus \| VAR-Modell \| VAR model \| Theorie \| Theory \| Welt \| World \| Globalisierung \| Globalization \| Erwartungsbildung \| Expectation formation

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Extent:	1 Online-Ressource (13 p)
Series:	CESifo Working Paper ; No. 8280
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2020 erstellt
Other identifiers:	10.2139/ssrn.3598766 [DOI]
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012834352