全球智库信息集成服务系统(G2TT): DP15321 The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP15321
	DP15321 The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area
	Federico Ravenna; Giovanni Pellegrino; Gabriel Züllig
发表日期	2020-09-27
出版年	2020
语种	英语
摘要	We estimate a monthly Interacted-VAR model for Euro area macroeconomic aggregates allowing for the impact of uncertainty shocks to depend on the average outlook of the economy measured by survey data. We find that, in response to an uncertainty shock, the peak decrease in industrial production and inflation is around three and a half times larger during pessimistic times. We build scenarios for a path of innovations consistent with the increase in the observed VSTOXX measure of uncertainty at the outset of the COVID-19 epidemics in February and March 2020. Industrial production is predicted to experience a year-over-year peak loss of between 15.1% and 19% in the fourth quarter of 2020, and subsequently to recover with a rebound to pre-crisis levels between May and August 2021. The large impact is the result of an extreme shock to uncertainty occurring at a time of very negative expectations on the economic outlook.
主题	Monetary Economics and Fluctuations
关键词	Covid-19 Uncertainty shocks Non-linear structural vector autoregressions Consumer confidence
URL	https://cepr.org/publications/dp15321
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/544302
推荐引用方式 GB/T 7714	Federico Ravenna,Giovanni Pellegrino,Gabriel Züllig. DP15321 The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area. 2020.