All COVID-19 publications
Uncertainty and monetary policy during extreme events
Author(s): Pellegrino G, Castelnuovo E, Caggiano GDate of publication: 2020
Publication type: Working paper
How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can monetary policy limit output losses in such situations? We use a nonlinear VAR framework to document the large response of real activity to a financial uncertainty shock during the...
Nowcasting the output gap
Author(s): Berger T, Morley J, Wong BDate of publication: 2020
Publication type: Working paper
We propose a way to directly nowcast the output gap using the Beveridge-Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. output gap compared to those based on a quarterly model, the CBO measure of...
Global macroeconomic cooperation in response to the COVID-19 pandemic: a roadmap for the G20 and the IMF
Author(s): McKibbin W, Vines DDate of publication: 2020
Publication type: Working paper
The COVID-19 crisis has caused the greatest collapse in global economic activity since 1720. Some advanced countries have mounted a massive fiscal response, both to pay for disease-fighting action and to preserve the incomes of firms and workers until the economic recovery is under way. But there...
Financial uncertainty and real activity: The good, the bad, and the ugly
Author(s): Caggiano G, Castelnuovo E, Kima R, Delrio SDate of publication: 2020
Publication type: Working paper
This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty shocks due to financial frictions) by relying on two historical events related to the US economy, i.e., the large jump in financial uncertainty occurred in October 1987 (which was...
Nowcasting unemployment insurance claims in the time of COVID-19
Author(s): Larson WD, Sinclair TMDate of publication: 2020
Publication type: Working paper
Near term forecasts, also called nowcasts, are most challenging but also most important when the economy experiences an abrupt change. In this paper, we explore the performance of models with different information sets and data structures in order to best nowcast US initial unemployment claims in...
Global macroeconomic scenarios of the COVID-19 pandemic
Author(s): McKibbin W, Fernando RDate of publication: 2020
Publication type: Working paper
The COVID-19 global pandemic has caused significant global economic and social disruption. In McKibbin and Fernando (2020), we used data from historical pandemics to explore seven plausible scenarios of the economic consequences if COVID-19 were to become a global pandemic. In this paper, we use...
Measuring exchange rate risks during periods of uncertainty
Author(s): Ferrara L, Yapi JDate of publication: 2020
Publication type: Working paper
In this paper, we empirically look at the effects of uncertainty on risk measures for exchange rates, by focusing on two recent specific periods: the Brexit and the outbreak of the Covid-19. Based on a Fama regression extended with uncertainty measures, we forecast exchange rate in the short run...
Covid-19 infections and the performance of the stock market: An empirical analysis for Australia
Author(s): Brueckner M, Vespignani JDate of publication: 2020
Publication type: Working paper
Using daily data, we estimate a vector autoregression model to characterize the dynamic relationship between Covid-19 infections in Australia and the performance of the Australian stock market, specifically, the ASX-200. Impulse response functions show that Covid-19 infections in Australia have a...
Sectoral employment dynamics in Australia
Author(s): Anderson H, Caggiano G, Vahid F, Wong BDate of publication: 2020
Publication type: Working paper
In the aftermath of the covid-19 pandemic, the prevention of further decline in aggregate employment and turning it around are high on the agenda of policymakers. To this end, it is imperative to have a disaggregated model of employment, given the unequal effects of covid-19 on employment in...
The global effects of Covid-19-induced uncertainty
Author(s): Caggiano G, Castelnuovo E, Kima RDate of publication: 2020
Publication type: Working paper
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...
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