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% …

How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local … projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by … than that of the long end, i.e., a financial uncertainty shock causes a temporary steepening of the yield curve. This …