COVID-Induced Economic Uncertainty

Baker, Scott R.; Bloom, Nicholas; Davis, Steven J.; Terry, Stephen

doi:10.3386/w26983

Cited by 1,112 publications

(897 citation statements)

References 17 publications

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“…Also prices of other commodities -agricultural products (like grains, edible oils, beverages, fertilisers), metals (copper, aluminium, and even precious metals, except for gold) noted signi cant drop during spreading of the COVID-19 disease (World Bank, 2020). Also, the news-based US index of Economic Policy Uncertainty (EPU) reached the level of over 400 points in April 2020 (Baker et al, 2020;Sharif, Aloui and Yarovaya, 2020) -the same was for the global economy. It is worth noting that during the 2007-2009 crisis its value did not exceed 170 points.…”

Section: Literature Reviewmentioning

confidence: 95%

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Bieszk‐Stolorz

Dmytrów

2020

Preprint

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The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019-2020. The risk and intensity of the decline in the values of the basic stock indices were analysed. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. The study used methods of duration analysis. The time of the 20% drop in stock market indices was studied. This is a value that is taken as a sign of crisis. Kaplan-Meier's estimator was used to assess the probability of indices' value decrease. The risk of decline was determined by means of a logit model and the intensity of the decline was determined by means of an empirical hazard estimator and a Cox proportional hazard model. The intensity and risk of decline of stock indices varied from continent to continent. The intensity was highest in the fourth and eighth week after the peak and was highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling stock indices was highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analysed indices recorded a 20-percent drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalisation of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect differences between the continents. The methods from the survival analysis are used in the study to assess the impact of the pandemic on the intensity and risk of decline in stock exchange indices.

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Section: Literature Reviewmentioning

confidence: 95%

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Bieszk‐Stolorz

Dmytrów

2020

Preprint

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“…According to Baker et al (2020a), a year-on-year contraction in the US economy will be around 11%-20% in the last quarter of 2020. The authors stated that half of this contraction in the output of the US would be due to COVID-19 induced uncertainty.…”

Section: The Covid-19 and Economic Policy Uncertainty In The Us Andmentioning

confidence: 99%

“…In addition to the China-US trade wars, the Brexit process and the conflicts in the middle east, uncertainty spiked as a result of the rapid spread of the COVID-19 virus (Leduc and Liu, 2020). The COVID-19 pandemic caused a large increase in uncertainty, similar to the 1929 Great Depression rather than the 2008 global crisis (Baker et al (2020a). Empirically, uncertainty causes significant declines in production, consumption and investment activities, and the peak of this negative situation appears exactly one year later (Basu and Bundick, 2017).…”

Section: The Covid-19 and Economic Policy Uncertainty In The Us Andmentioning

confidence: 99%

COVID-19 Induced Economic Uncertainty: A Comparison between the United Kingdom and the United States

Pata

2020

Preprint

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Abstract The purpose of this study is to investigate the effects of the COVID-19 pandemic on economic policy uncertainty in the US and the UK. The impact of the increase in COVID-19 cases and deaths in the country, and the increase in the number of cases and deaths outside the country may vary. To examine this, the study employs bootstrap ARDL cointegration approach from March 8, 2020 to May 24, 2020. According to the bootstrap ARDL results, a long-run equilibrium relationship is confirmed for five out of the 10 models. The long-term coefficients obtained from the ARDL models suggest that an increase in COVID-19 cases and deaths outside of the UK and the US has a significant effect on economic policy uncertainty. The US is more affected by the increase in the number of COVID-19 cases. The UK, on the other hand, is more negatively affected by the increase in the number of COVID-19 deaths outside the country than the increase in the number of cases. Moreover, another important finding from the study demonstrates that COVID-19 is a factor of great uncertainty for both countries in the short-term.

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“…Historical variation from past epidemics informs other papers (Correia, Luck, and Verner 2020). Finally, a group of projects links uncertainty to the pandemic (Baker et al 2020a;Leduc and Liu 2020;Ludvigson, Ma, and Ng 2020). Our approach is complementary to and incorporates many of these streams of work, combining an economic model with historical disaster and asset price variation to inform an uncertainty-based analysis of the pandemic.…”

Section: Introductionmentioning

confidence: 98%

Using Disasters to Estimate the Impact of Uncertainty

Baker

Bloom

Terry

2020

Self Cite

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and the World Bank. This paper builds on an unpublished 2013 paper "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments" by Baker and Bloom. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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COVID-Induced Economic Uncertainty

Cited by 1,112 publications

References 17 publications

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

COVID-19 Induced Economic Uncertainty: A Comparison between the United Kingdom and the United States

Using Disasters to Estimate the Impact of Uncertainty

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