Baker, Scott R.
[VerfasserIn]
;
Bloom, Nicholas
[Sonstige Person, Familie und Körperschaft];
Terry, Stephen
[Sonstige Person, Familie und Körperschaft]
Using Disasters to Estimate the Impact of Uncertainty
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2020 erstellt
Beschreibung:
Uncertainty rises in recessions and falls in booms. But what is the causal relationship? We construct cross-country panel data on stock market levels and volatility and use natural disasters, terrorist attacks, and political shocks as instruments in regressions and VAR estimations. We find that increased volatility robustly lowers growth. We also structurally estimate a heterogeneous firms business cycle model with uncertainty and disasters and use this to analyze our empirical results. Finally, using our VAR results we estimate COVID-19 will reduce US GDP by 9% in 2020 based on the initial stock market returns and volatility response