Economic Uncertainty Before and During the COVID-19 Pandemic

David Altig, Scott Baker, Jose Maria Barrero, Nicholas Bloom, Philip Bunn, Scarlet Chen, Steven Davis, Julia Leather, Brent Meyer, Emil Mihaylov, Paul Mizen, Nicholas B. Parker, Thomas Renault, Pawel Smietanka and Gregory Thwaites

No 27418, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We consider several economic uncertainty indicators for the US and UK before and during the COVID-19 pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective uncertainty about future business growth, and disagreement among professional forecasters about future GDP growth. Three results emerge. First, all indicators show huge uncertainty jumps in reaction to the pandemic and its economic fallout. Indeed, most indicators reach their highest values on record. Second, peak amplitudes differ greatly – from a rise of around 100% (relative to January 2020) in two-year implied volatility on the S&P 500 and subjective uncertainty around year-ahead sales for UK firms to a 20-fold rise in forecaster disagreement about UK growth. Third, time paths also differ: Implied volatility rose rapidly from late February, peaked in mid-March, and fell back by late March as stock prices began to recover. In contrast, broader measures of uncertainty peaked later and then plateaued, as job losses mounted, highlighting the difference in uncertainty measures between Wall Street and Main Street.

JEL-codes: E0 (search for similar items in EconPapers)
Date: 2020-06
New Economics Papers: this item is included in nep-mac and nep-rmg
Note: AP EFG IFM ME PR
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (270)

Published as Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J. Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel Smietanka & Gregory Thwaites, 2020. "Economic Uncertainty Before and During the COVID-19 Pandemic," Journal of Public Economics, .

Downloads: (external link)
http://www.nber.org/papers/w27418.pdf (application/pdf)

Related works:
Journal Article: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic Uncertainty Before and During the COVID-19 Pandemic (2020)
Working Paper: Economic uncertainty before and during the Covid-19 pandemic (2020)
Working Paper: Economic Uncertainty before and during the COVID-19 Pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
Working Paper: Economic uncertainty before and during the COVID-19 pandemic (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:27418

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w27418

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().