Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217031
Authors: 
Caggiano, Giovanni
Castelnuovo, Efrem
Kima, Richard
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8280
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%.
Subjects: 
Covid-19
financial uncertainty
vector autoregressions
global financial cycle
world industrial production
JEL: 
C32
E32
Document Type: 
Working Paper

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