Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303878 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2148365 [Year:] 2022 [Pages:] 1-12
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We examine how monetary policy of the Federal Reserve System, COVID-19 mortality cases, and vaccinations are associated with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable interest rate cut causes market instability, in the intermediate term it stabilizes the market. Third, vaccinations and the volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the vaccination and the movements. These findings are consistent with panel regression results. Specifically, we find that the systemic COVID-19 shock in the US stock market is alleviated by an increase in the number of COVID-19 vaccination doses administered and a low and stable change in the effective federal funds rate. Furthermore, our results show that the monetary policy influences the stock market volatility significantly more than the vaccination, regardless of firm size and industry type. Thus, this study helps policymakers cope with possible systemic shocks from other infectious diseases, considering the magnitude of monetary and health policy and their short/intermediate/long-term lagging effectiveness in reducing market volatility.
Subjects: 
COVID-19
monetary policy
stock market
vaccination
volatility
wavelet analysis
JEL: 
G01
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.