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The Global Effects of Covid-19-Induced Uncertainty

Author

Listed:
  • Giovanni Caggiano
  • Efrem Castelnuovo
  • Richard Kima

Abstract

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%.

Suggested Citation

  • Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The Global Effects of Covid-19-Induced Uncertainty," CAMA Working Papers 2020-50, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2020-50
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    File URL: https://crawford.anu.edu.au/sites/default/files/2025-01/50_2020_caggiano_castelnuovo_kima.pdf
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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