The global effects of Covid-19-induced uncertainty

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Title: The global effects of Covid-19-induced uncertainty
Author: Caggiano, Giovanni ; Castelnuovo, Efrem ; Kima, Richard
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
Series number: 11/2020
Year of publication: 2020
Publication date: 8.6.2020
Pages: 14
Subject (yso): teollisuus; tuotanto; kansainvälinen talous; epävarmuus; pandemiat; taloudelliset vaikutukset
Keywords: COVID-19; teollisuustuotanto; rahoitussyklit
JEL: C32; E32
Other keywords: Financial Uncertainty; Vector AutoRegressions; World industrial production; Global financial cycle
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%.

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