G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15965
DP15965 Measuring Uncertainty and Its Effects in the COVID-19 Era
Massimiliano Marcellino; Andrea Carriero; Todd Clark; Elmar Mertens
发表日期2021-03-25
出版年2021
语种英语
摘要We measure the effects of the COVID-19 outbreak on uncertainty, and we assess the consequences of the uncertainty for key economic variables. We use a large, heteroskedastic vector autoregression (VAR) in which the error volatilities share two common factors, interpreted as macro and financial uncertainty. Macro and financial uncertainty are allowed to contemporaneously affect the macroeconomy and financial conditions, with changes in the common component of the volatilities providing contemporaneous identifying information on uncertainty. We also consider an extended version of the model that accommodates outliers in volatility, to reduce the influence of extreme observations from the COVID period. Our estimates yield very large increases in macroeconomic and financial uncertainty since the onset of the COVID-19 period. These increases have contributed to the downturn in economic and financial conditions, but the contributions of uncertainty are small compared to the overall movements in many macroeconomic and financial indicators. That implies that the downturn is driven more by other dimensions of the COVID crisis than shocks to aggregate uncertainty (as measured by our method).
主题Monetary Economics and Fluctuations
关键词Bayesian vars stochastic volatility Pandemics
URLhttps://cepr.org/publications/dp15965
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/544955
推荐引用方式
GB/T 7714
Massimiliano Marcellino,Andrea Carriero,Todd Clark,et al. DP15965 Measuring Uncertainty and Its Effects in the COVID-19 Era. 2021.
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