Istituto di Economia Internazionale - The Ides of March. Did Italian Covid-19 Crisis Fuel US Economic Policy Uncertainty?

Recent Articles

Read more about our latest published articles.

Review’s Archive

Corresponding Author:
Georgios Garafas, Department of Business Administration of Food and Agricultural Enterprises, University of Patras, Greece

Coauthors:
Dimitrios DIMITRIOU, Department of Business Administration, Athens University of Economic and Business, Athens, Greece

The Ides of March. Did Italian Covid-19 Crisis Fuel US Economic Policy Uncertainty?

Volume 73 - Issue 4, November 2020
(pp. 511-524)
JEL classification: D80, E66, F68
Keywords: Economic Uncertainty, VAR, Cointegration, Granger Causality, COVID-19

Abstract

This paper empirically investigates the possibility the Italian severe hit from the COVID-19 pandemic increased the US’s Economic Policy Uncertainty (EPU) index. Using Johansen cointegration and Granger causality econometric techniques, we conclude that the above relationship holds. It seems that the recent COVID-19 disaster occurred in Italy (due to high death toll) fueled the economic uncertainty in the US. It is high possible, the anxiety of US citizens propelled this pattern. These results show that the policy makers should be more cautious for the global propagation of COVID-19, in order to improve their political decisions, even in the US.

Read the full article

Download the article in PDF format to read and print.

Bibliography

Albulescu, C. (March 12, 2020), “Coronavirus and Oil Price Crash”, Available at SSRN: or <http://dx.doi.org/10.2139/ssrn.3553452>.

Albulescu, C. (2020a), “Coronavirus and Financial Volatility: 40 Days of Fasting and Fear” Working Papers hal-02501814, HAL archives-ouvertes.

Albulescu, C. (2020b), “Do COVID-19 And Crude Oil Prices Drive The US Economic Policy Uncertainty?”, Working Papers hal-02509450, HAL archives-ouvertes.

Baker, S.R., N. Bloom and S.J. Davis (2015), “Measuring Economic Policy Uncertainty”, Working Paper No. 21633, National Bureau of Economic Research, Available at: <https://www.policyuncertainty.com/media/BakerBloomDavis.pdf>.

Baker, S.R., N. Bloom, S.J. Davis and S.J. Terry (2020), “COVID-Induced Economic Uncertainty” Working Paper No. 26983, National Bureau of Economic Research, Available at <https://doi.org/10.3386/w26983>.

Corbet, S., C.J Larkin and B.M. Lucey (March 30, 2020), “The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies”, Available at SSRN: <https://ssrn.com/abstract=3564443> or <http://dx.doi.org/10.2139/ssrn.3564443>.

Dickey, D.A and W.A. Fuller (1979), “Distributions of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.

Dickey, D.A and W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.

Granger, C.W.J. (1969), “Investigating Causal Relations by Econometric Models and Cross Spectral Methods”, Econometrica, 37(3), 424-438.

Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.

Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration – With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.

McLuhan, M. and Q. Fiore (1967), “The Medium is the Massage”, Bantam Books: New York, London, Toronto.

Shakespeare, W. (1984), “Julius Caesar: The Oxford Shakespeare”, edited by Arthur Humphreys, Oxford University Press.

Yilmazkuday, H. (March 17, 2020), “COVID-19 Effects on the S&P 500 Index” Available at SSRN: <https://ssrn.com/abstract=3555433> or <http://dx.doi.org/10.2139/ssrn.3555433>.

Yilmazkuday, H. (March 16, 2020), “Coronavirus Disease 2019 and the Global Economy” Available at SSRN: <https://ssrn.com/abstract=3554381> or <http://dx.doi.org/10.2139/ssrn.3554381>.

Recent Articles

Review’s Archive

The Ides of March. Did Italian Covid-19 Crisis Fuel US Economic Policy Uncertainty?

Abstract

Read the full article

Bibliography

Register your account

Authors’ login

Institute for International Economics of the Genoa Chamber of Commerce

Institute for International Economics
of the Genoa Chamber of Commerce