The Global Effects of COVID-19-Induced Uncertainty

13 Pages Posted: 5 Jun 2020

See all articles by Giovanni Caggiano

Giovanni Caggiano

Department of Economics, Monash University; University of Padova

Efrem Castelnuovo

University of Melbourne - Department of Economics; University of Padova - Department of Economics

Richard Kima

Monash University

Multiple version iconThere are 3 versions of this paper

Date Written: May 12, 2020

Abstract

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the COVID-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to COVID-19 to be about 14%.

Keywords: COVID-19, Financial Uncertainty, Vector AutoRegressions, Global financial cycle, World industrial production

JEL Classification: C32, E32

Suggested Citation

Caggiano, Giovanni and Castelnuovo, Efrem and Kima, Richard, The Global Effects of COVID-19-Induced Uncertainty (May 12, 2020). CAMA Working Paper No. 50/2020, Available at SSRN: https://ssrn.com/abstract=3598710 or http://dx.doi.org/10.2139/ssrn.3598710

Giovanni Caggiano

Department of Economics, Monash University ( email )

900 Dandenong Road
Caulfield East, Victoria 3145
Australia

HOME PAGE: http://https://sites.google.com/site/giovannicaggiano72/CV/home

University of Padova ( email )

Via 8 Febbraio, 2
Padova, Vicenza 35122
Italy

Efrem Castelnuovo (Contact Author)

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

HOME PAGE: http://https://sites.google.com/site/efremcastelnuovo/home

University of Padova - Department of Economics

via Del Santo 33
Padova, 35123
Italy

Richard Kima

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

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