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Jongrim Ha
''Role of Global Uncertainty: Evidence from COVID-19 Pandemic''
( 2022, Vol. 42 No.2 )
By estimating a wide range of factor-augmented vector autoregression models, I investigate the role of global uncertainty on global financial asset and oil prices during the COVID-19 pandemic. The results suggest that the global uncertainty shock explained from a third to three fifths of total variations in the variables after the pandemic, which impacts are two to four times as sizeable as what are assessed based on the pre-pandemic period. The shocks were in nature demand-driven; higher global uncertainty was associated with significant declines in global stock prices, implied inflation, economic activity, and oil prices. However, the shocks led to significant rise in global interest rates, possibly reflecting raised term and risk premia.
Keywords: Global Financial Uncertainty; Equity price; Implied Inflation; Oil Price; Interest Rate; COVID-19; FAVAR
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
F2 - International Factor Movements and International Business: General
Manuscript Received : Apr 24 2022 Manuscript Accepted : Jun 30 2022

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