IDEAS home Printed from https://ideas.repec.org/p/ehl/lserod/105064.html

A two-phase dynamic contagion model for COVID-19

Author

Listed:
  • Chen, Zezhun
  • Dassios, Angelos
  • Kuan, Valerie
  • Lim, Jia Wei
  • Qu, Yan
  • Surya, Budhi
  • Zhao, Hongbiao

Abstract

In this paper, we propose a continuous-time stochastic intensity model, namely, two-phase dynamic contagion process (2P-DCP), for modelling the epidemic contagion of COVID-19 and investigating the lockdown effect based on the dynamic contagion model introduced by Dassios and Zhao [24]. It allows randomness to the infectivity of individuals rather than a constant reproduction number as assumed by standard models. Key epidemiological quantities, such as the distribution of final epidemic size and expected epidemic duration, are derived and estimated based on real data for various regions and countries. The associated time lag of the effect of intervention in each country or region is estimated. Our results are consistent with the incubation time of COVID-19 found by recent medical study. We demonstrate that our model could potentially be a valuable tool in the modeling of COVID-19. More importantly, the proposed model of 2P-DCP could also be used as an important tool in epidemiological modelling as this type of contagion models with very simple structures is adequate to describe the evolution of regional epidemic and worldwide pandemic.

Suggested Citation

  • Chen, Zezhun & Dassios, Angelos & Kuan, Valerie & Lim, Jia Wei & Qu, Yan & Surya, Budhi & Zhao, Hongbiao, 2021. "A two-phase dynamic contagion model for COVID-19," LSE Research Online Documents on Economics 105064, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:105064
    as

    Download full text from publisher

    File URL: https://researchonline.lse.ac.uk/id/eprint/105064/
    File Function: Open access version.
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fernando Alvarez & David Argente, 2020. "A Simple Planning Problem for COVID-19 Lockdown," Working Papers 2020-34, Becker Friedman Institute for Research In Economics.
    2. Ball, Frank & Donnelly, Peter, 1995. "Strong approximations for epidemic models," Stochastic Processes and their Applications, Elsevier, vol. 55(1), pages 1-21, January.
    3. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
    4. Carol Y. Lin, 2008. "Modeling Infectious Diseases in Humans and Animals by KEELING, M. J. and ROHANI, P," Biometrics, The International Biometric Society, vol. 64(3), pages 993-993, September.
    5. Martin S Eichenbaum & Sergio Rebelo & Mathias Trabandt, 2021. "The Macroeconomics of Epidemics [Economic activity and the spread of viral diseases: Evidence from high frequency data]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5149-5187.
    6. Daron Acemoglu & Victor Chernozhukov & Iván Werning & Michael D. Whinston, 2021. "Optimal Targeted Lockdowns in a Multigroup SIR Model," American Economic Review: Insights, American Economic Association, vol. 3(4), pages 487-502, December.
    7. David Berger & Kyle Herkenhoff & Chengdai Huang & Simon Mongey, 2022. "Testing and Reopening in an SEIR Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 43, pages 1-21, January.
    8. Angelos Dassios & Hongbiao Zhao, 2017. "A Generalized Contagion Process With An Application To Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-33, February.
    9. Andrew Atkeson, 2020. "What Will Be the Economic Impact of COVID-19 in the US? Rough Estimates of Disease Scenarios," NBER Working Papers 26867, National Bureau of Economic Research, Inc.
    10. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2475-2499.
    11. Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
    12. Veronica Guerrieri & Guido Lorenzoni & Ludwig Straub & Iván Werning, 2022. "Macroeconomic Implications of COVID-19: Can Negative Supply Shocks Cause Demand Shortages?," American Economic Review, American Economic Association, vol. 112(5), pages 1437-1474, May.
    13. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
    14. Daron Acemoglu & Victor Chernozhukov & Ivàn Werning & Michael D. Whinston, 2020. "A Multi-Risk SIR Model with Optimally Targeted Lockdown," CeMMAP working papers CWP14/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Post-Print hal-01313995, HAL.
    16. Jurgen Brauer, 2003. "Introduction," Defence and Peace Economics, Taylor & Francis Journals, vol. 14(3), pages 151-153.
    17. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015. "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
    18. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
    19. Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Post-Print hal-01313994, HAL.
    20. Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
    Full references (including those not matched with items on IDEAS)

    Citations

    RePEc Biblio mentions

    As found on the RePEc Biblio, the curated bibliography for Economics:
    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Modelling

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kononovicius, Aleksejus & Kazakevičius, Rytis & Kaulakys, Bronislovas, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
    2. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
    3. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
    4. Çakmaklı, Cem & Demiralp, Selva & Özcan, Şebnem Kalemli & Yeşiltaş, Sevcan & Yıldırım, Muhammed A., 2023. "COVID-19 and emerging markets: A SIR model, demand shocks and capital flows," Journal of International Economics, Elsevier, vol. 145(C).
    5. V. V. Chari & Rishabh Kirpalani & Christopher Phelan, 2021. "The Hammer and the Scalpel: On the Economics of Indiscriminate versus Targeted Isolation Policies during Pandemics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 1-14, October.
    6. Victor Aguirregabiria & Jiaying Gu & Yao Luo & Pedro Mira, 2020. "A Dynamic Structural Model of Virus Diffusion and Network Production: A First Report," Working Papers wp2020_2014, CEMFI.
    7. Łukasz Rachel, 2020. "An Analytical Model of Covid-19 Lockdowns," Discussion Papers 2029, Centre for Macroeconomics (CFM).
    8. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
    9. David Baqaee & Emmanuel Farhi, 2022. "Supply and Demand in Disaggregated Keynesian Economies with an Application to the COVID-19 Crisis," American Economic Review, American Economic Association, vol. 112(5), pages 1397-1436, May.
    10. Garriga, Carlos & Manuelli, Rody & Sanghi, Siddhartha, 2022. "Optimal management of an epidemic: Lockdown, vaccine and value of life," Journal of Economic Dynamics and Control, Elsevier, vol. 140(C).
    11. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    12. Gopal K. Basak & Chandramauli Chakraborty & Pranab Kumar Das, 2021. "Optimal Lockdown Strategy in a Pandemic: An Exploratory Analysis for Covid-19," Papers 2109.02512, arXiv.org.
    13. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
    14. Joshua Bernstein & Alexander W. Richter & Nathaniel A. Throckmorton, 2020. "COVID-19: A View from the Labor Market," Working Papers 2010, Federal Reserve Bank of Dallas.
    15. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    16. Christian Moser & Pierre Yared, 2022. "Pandemic Lockdown: The Role of Government Commitment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 27-50, October.
    17. Lin William Cong & Ke Tang & Bing Wang & Jingyuan Wang, 2021. "An AI-assisted Economic Model of Endogenous Mobility and Infectious Diseases: The Case of COVID-19 in the United States," Papers 2109.10009, arXiv.org.
    18. Dirk Krueger & Harald Uhlig & Taojun Xie, 2020. "Macroeconomic Dynamics and Reallocation in an Epidemic," PIER Working Paper Archive 20-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    19. Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
    20. Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • I10 - Health, Education, and Welfare - - Health - - - General
    • H00 - Public Economics - - General - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ehl:lserod:105064. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: LSERO Manager (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.