COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach

By Arshian Sharif, C. Aloui, L. Yarovaya. International Review of Financial Analysis, 2020

1,291 citations recorded by the source corpus.

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/24c4b086aa291ebafa5ab9ac57e696726e754a2d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses (2021, neutral): “…et al., 2020; Conlon and McGee, 2020; Corbet et al., 2020; Demir et al., 2020; Goodell and Goutte, 2021a, 2021b), oil prices (Mzoughi et al., 2020; Sharif et al., 2020), bond markets (Nozawa and Qiu, 2021; Zaremba et al., 2021b), real estate (Ling et al., 2020), and gold (Akhtaruzzaman et al.,…”
A brief review of socio-economic and environmental impact of Covid-19 (2020, background): “…to limited industrial activities and transportation facilities and further concluded that limited fossil fuel consumption will contribute in lower emissions into the earth’s atmosphere as less demand for coal, gasoline, and diesel is ensuring clean environment around the world (Sharif et al. 2020).”
The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, neutral): “Sharif et al. (2020) analyze the impact of the COVID-19 pandemic on the Economic Policy Uncertainty (EPU) index, oil prices, and the US stock market and find that the COVID-19 had the most pronounced impact on EPU, increasing uncertainty to unprecedented levels.”
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, positive): “Furthermore, the paper contributes to the most recent literature on the financial effect of the COVID-19 pandemic (e.g. Corbet et al., 2020; Goodell, 2020; Yarovaya et al. 2020a,b; Sharif et al., 2020), providing better understanding of the nature of this crisis and its unique characteristics.”
The pandemic and economic policy uncertainty (2020, background): “Sharif, Aloui, and Yarovaya (2020) also confirm that COVID-19 has significantly impacted political and regulatory uncertainty.”