Related papers: Measuring the Effectiveness of US Monetary Policy …
The potential tradeoff between health outcomes and economic impact has been a major challenge in the policy making process during the COVID-19 pandemic. Epidemic-economic models designed to address this issue are either too aggregate to…
Given multiple new COVID-19 variants are continuously emerging, non-pharmaceutical interventions are still primary control strategies to curb the further spread of coronavirus. However, implementing strict interventions over extended…
The COVID-19 recession threatens mass housing insecurity that undermines economic recovery. Unprecedented federal policy responses halt court-ordered evictions, but questions remain whether policies adequately account for dynamics that…
The COVID-19 pandemic so far has caused huge negative impacts on different areas all over the world, and the United States (US) is one of the most affected countries. In this paper, we use methods from the functional data analysis to look…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic…
This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.'s…
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
This paper investigates a time-varying version of weak-form market efficiency in the BRICS countries. A moving window test for sample autocorrelations is applied alongside a Kalman filter approach to recover the hidden dynamics of the…
Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we expand the scope of vector autoregression by incorporating…
We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and…
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
COVID-19 has impacted the economy of almost every country in the world. Of particular interest are the responses of the economic indicators of developing nations (such as BRICS) to the COVID-19 shock. As an extension to our earlier work on…
Non-pharmaceutical interventions (NPIs) such as quarantine, self-isolation, social distancing, and virus-contact tracing can greatly reduce the spread of the virus during a pandemic. In the wave of the COVID-19 pandemic, many countries have…
Starting in early 2020, the novel coronavirus disease (COVID-19) severely affected the U.S., causing substantial changes in the operations of bulk power systems and electricity markets. In this paper, we develop a data-driven analysis to…
Social distancing has been the only effective way to contain the spread of an infectious disease prior to the availability of the pharmaceutical treatment. It can lower the infection rate of the disease at the economic cost. A pandemic…
Recent re-opening policies in the US, following a period of social distancing measures, introduced a significant increase in daily COVID-19 infections, calling for a roll-back or substantial revisiting of these policies in many states. The…
The ongoing COVID-19 pandemic risks wiping out years of progress made in reducing global poverty. In this paper, we explore to what extent financial inclusion could help mitigate the increase in poverty using cross-country data across 78…
We identify the effectiveness of social distancing policies in reducing the transmission of the COVID-19 spread. We build a model that measures the relative frequency and geographic distribution of the virus growth rate and provides…