Search Results
Working Paper
The Impact of Health and Economic Policies on the Spread of COVID-19 and Economic Activity
This paper empirically investigates the causal linkages between COVID-19 spread, government health containment and economic support policies, and economic activity in the U.S. up to the introduction of vaccines in early 2021. We model their joint dynamics as generated by a structural vector autoregression and estimate it using U.S. state-level data. We identify structural shocks to the variables by making assumptions on their short-run relation consistent with salient epidemiological and economic features of COVID-19. We isolate the direct impact of COVID-19 spread and policy responses on ...
Working Paper
Supply-Side Effects of Pandemic Mortality: Insights from an Overlapping-Generations Model
We use an overlapping generation model to explore the implications of mortality during pandemics for the economy's productive capacity. Under current epidemiological projections for the progression of COVID-19, our model suggests that mortality will have, in itself, at most small effects on output and factor prices. The reason is that projected mortality is small in proportion to the population and skewed toward individuals who are retired from the labor force. That said, we show that if the spread of COVID-19 is not contained, or if the ongoing pandemic were to follow a mortality pattern ...
Working Paper
The Impact of Health and Economic Policies on the Spread of COVID-19 and Economic Activity
This paper empirically investigates the causal linkages between COVID-19 spread, government health containment and economic support policies, and economic activity during 2020 in the U.S. We model their joint dynamics as generated by a structural vector autoregression and estimate it using U.S. state-level data. We identify structural shocks to the variables by making assumptions on their short-run relation consistent with salient epidemiological and economic features of COVID-19. We isolate the direct impact of COVID-19 spread and policy responses on economic activity by controlling for ...
Working Paper
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Incoming data in 2020 posed sizable challenges for the use of VARs in economic analysis: Enormous movements in a number of series have had strong effects on parameters and forecasts constructed with standard VAR methods. We propose the use of VAR models with time-varying volatility that include a treatment of the COVID extremes as outlier observations. Typical VARs with time-varying volatility assume changes in uncertainty to be highly persistent. Instead, we adopt an outlier-adjusted stochastic volatility (SV) model for VAR residuals that combines transitory and persistent changes in ...
Working Paper
Nowcasting Tail Risks to Economic Activity with Many Indicators
This paper focuses on tail risk nowcasts of economic activity, measured by GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, classical and Bayesian quantile regressions, quantile MIDAS regressions) and also different methods for data reduction (either the combination of forecasts from smaller models or forecasts from models that incorporate data reduction). The results show that classical and MIDAS quantile regressions perform very well in-sample but not out-of-sample, ...
Working Paper
Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
This paper provides estimates of COVID-19 transmission rates and explains their evolution for selected European countries since the start of the pandemic taking account of changes in voluntary and government-mandated social distancing, incentives to comply, vaccination and the emergence of new variants. Evidence based on panel data modeling indicates that the diversity of outcomes that we document may have resulted from the non-linear interaction of mandated and voluntary social distancing and the economic incentives that governments provided to support isolation. The importance of these ...
Working Paper
Longer-Run Economic Consequences of Pandemics
How do major pandemics affect economic activity in the medium to longer term? Is it consistent with what economic theory prescribes? Since these are rare events, historical evidence over many centuries is required. We study rates of return on assets using a dataset stretching back to the 14th century, focusing on 12 major pandemics where more than 100,000 people died. In addition, we include major armed conflicts resulting in a similarly large death toll. Significant macroeconomic after-effects of the pandemics persist for about 40 years, with real rates of return substantially depressed. In ...
Working Paper
Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
This paper provides estimates of COVID-19 effective reproduction numbers worldwide and explains their evolution for selected European countries since the start of the pandemic, taking account of changes in voluntary and government-mandated social distancing, incentives to comply, vaccination and the emergence of mutations. Evidence based on panel data modeling indicates that the diversity of outcomes that we document resulted from the non-linear interaction of mandated and voluntary social distancing and the economic incentives that governments provided to support isolation, with no one ...
Journal Article
How Do Periods of Inflation, Recession Affect Real Earnings?
Households can lose spending power if they suffer job losses during recessions or when the cost of living rises at times of high inflation. One way to assess the historical roles these two factors have played in eroding economy-wide earnings is by breaking down the cumulative growth in inflation-adjusted household earnings into three components: nominal earnings growth, inflation, and employment growth. Analyzing the results suggests that periods of high inflation may undermine economy-wide real earnings growth more than mild recessions.
Working Paper
Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
This paper provides estimates of COVID-19 effective reproduction numbers and explains their evolution for selected European countries since the start of the pandemic taking account of changes in voluntary and government-mandated social distancing, incentives to comply, vaccination and the emergence of new variants. Evidence based on panel data modeling indicates that the diversity of outcomes that we document may have resulted from the non-linear interaction of mandated and voluntary social distancing and the economic incentives that governments provided to support isolation. The importance ...