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How markets get Covid19 contagion and cases - a var approach
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| 6.2 MB | Adobe PDF |
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This work project investigates the impact that the Covid-19spread(diffusion)had on nineteen countries’ Equity Markets returns in the period from January 2020to March 2021. The work further expands by evaluating the different impact that the virus diffusion had on Developed and Emerging markets and on different Economic sectors. The analysis is conducted using Vector Autoregressive and Panel Vector Auto regressive models. For analysis purpose three explanatory variables have been considered: one related to Covid-19contagion, another to the economic support to households and the third to the lockdown measures’ severity.
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Covid19 Policy Panel var