Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis

This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volat...

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Autor principal: Choi, Sun-Yong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7524523/
https://www.ncbi.nlm.nih.gov/pubmed/33013239
http://dx.doi.org/10.1016/j.frl.2020.101783
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author Choi, Sun-Yong
author_facet Choi, Sun-Yong
author_sort Choi, Sun-Yong
collection PubMed
description This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index from January 2008 to May 2020. The results reveal that EPU in terms of COVID-19 has influenced the sector volatility more than the global financial crisis (GFC) for all sectors. Furthermore, EPU leads the volatility of all sectors during COVID-19 pandemic, while some sector’s volatilities lead EPU during the GFC.
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spelling pubmed-75245232020-09-30 Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis Choi, Sun-Yong Financ Res Lett Article This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to economic policy uncertainty (EPU) data and monthly sector volatility of the S&P 500 index from January 2008 to May 2020. The results reveal that EPU in terms of COVID-19 has influenced the sector volatility more than the global financial crisis (GFC) for all sectors. Furthermore, EPU leads the volatility of all sectors during COVID-19 pandemic, while some sector’s volatilities lead EPU during the GFC. Elsevier Inc. 2020-11 2020-09-29 /pmc/articles/PMC7524523/ /pubmed/33013239 http://dx.doi.org/10.1016/j.frl.2020.101783 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Choi, Sun-Yong
Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title_full Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title_fullStr Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title_full_unstemmed Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title_short Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
title_sort industry volatility and economic uncertainty due to the covid-19 pandemic: evidence from wavelet coherence analysis
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7524523/
https://www.ncbi.nlm.nih.gov/pubmed/33013239
http://dx.doi.org/10.1016/j.frl.2020.101783
work_keys_str_mv AT choisunyong industryvolatilityandeconomicuncertaintyduetothecovid19pandemicevidencefromwaveletcoherenceanalysis

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