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Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 32-2021
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
The contribution of this paper is twofold. First, we introduce a daily vector autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic uncertainty in a second step. Overall, we only find a moderate positive impact on uncertainty levels that is, in particular, weaker than the impact of the real business cycle shock. Taking a more granular perspective, we observe that in particular uncertainty related to entitlement programs increases and monetary policy uncertainty decreases after a lockdown shock.
Schlagwörter: 
COVID-19
lockdown
shock identification
market uncertainty
JEL: 
E60
E62
E65
G01
Dokumentart: 
Working Paper

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