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COVID-19-induced shocks and uncertainty
Open accessAbstract
Using statistical identification, we extract a COVID-19-induced shock by exploiting large daily jumps in financial markets caused by news about the pandemic. This shock depresses economic and financial indicators, increases risk and uncertainty measures, has sizeable distributional effects, and hits most harshly those industries relying on face-to-face interactions. Impulse response function analysis across various identification strategies leads us to interpret the statistical COVID-19-induced shock as a structural uncertainty shock.
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“The findings of some studies have suggested that in the context of the impact caused by COVID-19, the largest drop in earnings and employment has occurred in poor household areas, whereas the greatest reduction in spending, such as entertainment and transport, has been recorded in rich areas [63].”
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References 27 · Cited by 45
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Metadata
- Authors
- Miescu, M., & Rossi, R.
- Affiliations
- Lancaster University (GB)
- University of Manchester (GB)
- Corresponding author
- Miescu, Mirela
- Venue
- European Economic Review
- Publisher
- Elsevier BV
- Published
- 2021-10
- Volume
- 139
- Pages
- 103893
- ISSN
- 0014-2921 (ISSN-L)
- PMC
- PMC8438541
- OpenAlex
- W3133004827
- Cited by
- 45
- References
- 27
- Citations by year
- 2026: 5 · 2025: 6 · 2024: 7 · 2023: 12 · 2022: 9 · 2021: 5
- FWCI
- 6.30
- Type
- journal article
- Language
- en
- Open access
- green
- europepmc.org
- Licence
- Locations
- European Economic Review (publishedVersion)
- Europe PMC (PubMed Central) (publishedVersion)
- PubMed Central (publishedVersion)
- PubMed (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Lancaster EPrints (Lancaster University) (submittedVersion)
- Research Explorer (The University of Manchester) (submittedVersion, cc-by-nc-nd)
- University of Birmingham Research Portal (University of Birmingham) (submittedVersion)
- Funders
- University of Manchester
- European Central Bank
- Lancaster University
- Conseil Français de l'Énergie
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › COVID-19 Pandemic Impacts
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Keywords
- COVID-19 pandemic, uncertainty shocks, structural uncertainty, risk measures, distributional effects, impulse response
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