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Svetlana Rujin

22 September 2020
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 6, 2020
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Abstract
The coronavirus (COVID-19) pandemic has triggered an unprecedented increase in uncertainty. This box shows how selected measures of uncertainty have evolved during the past few months and exploits the information embedded in the measure of macroeconomic uncertainty to assess its impact on economic activity. This is done by using a Bayesian vector autoregressive (BVAR) model which allows the dynamic effect of an uncertainty shock on the variable of interest to be estimated.
JEL Code
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
D80 : Microeconomics→Information, Knowledge, and Uncertainty→General
E20 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→General
E27 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Forecasting and Simulation: Models and Applications
E66 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→General Outlook and Conditions