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The Dynamic Effect of Pandemics on Industrial Production Growth

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  • Muneer Shaik

Abstract

Using a time-varying parameter-structural vector autoregressive (TVP-SVAR) model, this study investigates the dynamic impact of uncertainty caused by worldwide pandemics on industrial productivity growth. We discover that the coronavirus has a negative influence on industrial production growth rates across economic blocs (i.e., United States, Developed, and Emerging nations). We also discover that, since 2016, there has been a considerable rise in the comovement of industrial production growth rates. We also employ the dynamic volatility connectedness methodology and find that the industrial productivity growth of Emerging nations economic bloc, and DPUI is observed to be net transmitters of volatility, whereas the industrial productivity growth of United States and other developed nations economic blocs are found to be net recipients of volatility throughout the sample periods. Furthermore, we find that the dynamic total connectedness among the variables under study is observed to be very strong and time-varying. JEL Codes: C15, C58, G15

Suggested Citation

  • Muneer Shaik, 2023. "The Dynamic Effect of Pandemics on Industrial Production Growth," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(4), pages 486-506, December.
    • Handle: RePEc:sae:emffin:v:22:y:2023:i:4:p:486-506
    DOI: 10.1177/09726527231189558
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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