Caggiano, Giovanni Castelnuovo, Efrem Kima, Richard
Year of Publication:
CESifo Working Paper No. 8280
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%.
Covid-19 financial uncertainty vector autoregressions global financial cycle world industrial production