| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27855 |
| 来源ID | Working Paper 27855 |
| A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model | |
| Alexander Chudik; Kamiar Mohaddes; M. Hashem Pesaran; Mehdi Raissi; Alessandro Rebucci | |
| 发表日期 | 2020-09-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper develops a threshold-augmented dynamic multi-country model (TGVAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant majority of advanced economies and in the case of several emerging markets. We then estimate a more general multi-country model augmented with these threshold effects as well as long term interest rates, oil prices, exchange rates and equity returns to perform counterfactual analyses. We distinguish common global factors from trade-related spillovers, and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q1. We account for sample uncertainty by bootstrapping the multi-country model estimated over four decades of quarterly observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long-lasting, with outcomes that are quite heterogeneous across countries and regions. While the impact on China and other emerging Asian economies are estimated to be less severe, the United States, the United Kingdom, and several other advanced economies may experience deeper and longer-lasting effects. Non-Asian emerging markets stand out for their vulnerability. We show that no country is immune to the economic fallout of the pandemic because of global interconnections as evidenced by the case of Sweden. We also find that long-term interest rates could fall significantly below their recent lows in core advanced economies, but this does not seem to be the case in emerging markets. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; International Economics ; International Macroeconomics ; COVID-19 |
| URL | https://www.nber.org/papers/w27855 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585529 |
| 推荐引用方式 GB/T 7714 | Alexander Chudik,Kamiar Mohaddes,M. Hashem Pesaran,et al. A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27855.pdf（1275KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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