Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244560 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 2/2020
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, we illustrate the macroeconomic risk associated with the early stage of the corona-virus outbreak. Using monthly data ranging from July 1991 to March 2020 on a recently developed coincidence indicator of global output growth, we estimate an autoregressive model with GARCH effects and non-Gaussian disturbances. Our results indicate that i) accounting for conditional heteroscedasticity is important and ii) risk, measured as the volatility of the shocks to the process, is at a very high level – largely on par with that experienced around the financial crisis of 2008-2009.
Subjects: 
GARCH
Non-Gaussianity
JEL: 
C22
E32
E37
Document Type: 
Working Paper

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