Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe

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dc.authoridCaporale, Guglielmo Maria/0000-0002-0144-4135
dc.authoridILHAN, ALI/0000-0001-6201-5353
dc.authoridCatik, Abdurrahman Nazif/0000-0001-9247-5668
dc.authoridAkdeniz, Coskun/0000-0002-3973-754X
dc.authoridHelmi, Mohamad Husam/0000-0003-0907-7939
dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorCatik, Abdurrahman Nazif
dc.contributor.authorHelmi, Mohamad Husam
dc.contributor.authorAkdeniz, Coskun
dc.contributor.authorIlhan, Ali
dc.date.accessioned2024-10-29T17:58:19Z
dc.date.available2024-10-29T17:58:19Z
dc.date.issued2024
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThis paper examines the effects of the COVID-19 pandemic on CDS, stock returns, and economic activity in the US and the five European countries that have been most affected: the UK, Germany, France, Italy, and Spain. The sample period covers the period from 11 March 2020 to 19 February 2021. In the empirical analysis, first, we estimate benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility, which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The linear VAR responses of CDS to the number of COVID-19 cases are positive and statistically significant, whilst those of electricity consumption are insignificant and those of stock returns vary across countries in terms of their sign and significance. The results from the TVP-VAR analysis indicate that the effects of shocks on the system variables was more pronounced during the initial stages of the pandemic and then decreased in the following months. Specifically, there was a positive impact of the number of COVID-19 cases on CDS and a negative one on stock returns and economic activity, the latter two being interlinked.
dc.identifier.doi10.1007/s10663-024-09608-0
dc.identifier.endpage558
dc.identifier.issn0340-8744
dc.identifier.issn1573-6911
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85188954101
dc.identifier.scopusqualityQ2
dc.identifier.startpage529
dc.identifier.urihttps://doi.org/10.1007/s10663-024-09608-0
dc.identifier.urihttps://hdl.handle.net/20.500.11776/14227
dc.identifier.volume51
dc.identifier.wosWOS:001194679300001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofEmpirica
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCOVID-19
dc.subjectStock markets
dc.subjectEconomic activity
dc.subjectCDS
dc.subjectTVP-VAR
dc.subjectC32
dc.subjectE32
dc.subjectG10
dc.subjectG15
dc.subjectI18
dc.titleTime-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe
dc.typeArticle

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