All COVID-19 publications

Measuring exchange rate risks during periods of uncertainty

Author(s): Ferrara L, Yapi J
Date 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...

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Covid-19 infections and the performance of the stock market: An empirical analysis for Australia

Author(s): Brueckner M, Vespignani J
Date 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...

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Sectoral employment dynamics in Australia

Author(s): Anderson H, Caggiano G, Vahid F, Wong B
Date 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...

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The global effects of Covid-19-induced uncertainty

Author(s): Caggiano G, Castelnuovo E, Kima R
Date 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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Social distancing and contagion in a discrete choice model of COVID-19

Author(s): Baskozos G, Galanis G, Di Guilmi C
Date of publication: 2020
Publication type: Working paper

We present an epidemic model in which heterogenous agents choose whether to enact social distancing practices. The policy maker decides on the timing and the extent of policies that incentivise social distancing. We evaluate the consequences of interventions and find that: (i) the timing of...

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The global macroeconomic impacts of COVID-19: Seven scenarios

Author(s): McKibbin W, Fernando R
Date of publication: 2020
Publication type: Working paper

The outbreak of coronavirus named COVID-19 has disrupted the Chinese economy and is spreading globally. The evolution of the disease and its economic impact is highly uncertain which makes it difficult for policymakers to formulate an appropriate macroeconomic policy response. In order to better...

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