| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14674 |
| DP14674 When the Markets Get COVID: COntagion, Viruses, and Information Diffusion. | |
| Mariano Massimiliano Croce; Paolo Farroni; Isabella Wolfskeil | |
| 发表日期 | 2020-04-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We quantify the exposure of major financial markets to news shocks about global contagion risk accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel data set comprising (i) announcements related to COVID19, and (ii) high-frequency data on epidemic news diffused through Twitter. Across several classes of financial assets, we provide novel empirical evidence about {financial dynamics (i) around epidemic announcements, (ii) at a daily frequency, and (iii) at an intra-daily frequency.} Formal estimations based on both contagion data and social media activity about COVID19 confirm that the market price of contagion risk is very significant. We conclude that prudential policies aimed at mitigating either global contagion or local diffusion may be extremely valuable. |
| 主题 | Financial Economics |
| 关键词 | Contagion Epidemic Asset prices |
| URL | https://cepr.org/publications/dp14674 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543590 |
| 推荐引用方式 GB/T 7714 | Mariano Massimiliano Croce,Paolo Farroni,Isabella Wolfskeil. DP14674 When the Markets Get COVID: COntagion, Viruses, and Information Diffusion.. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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