COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach
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DOI：
10.1016/j.irfa.2020.101496
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发表时间：
2020-05-15
影响因子：
8.2
通讯作者：
Yarovaya L
中科院分区：
文献类型：
--
作者：
Sharif A;Aloui C;Yarovaya L
本文在时频分析框架内，分析了美国近期COVID-19疫情蔓延、油价波动冲击、股市、地缘政治风险和经济政策不确定性之间的联系。应用于美国近期每日数据的相干小波方法和基于小波的格兰杰因果关系检验揭示了COVID-19和油价冲击对地缘政治风险水平、经济政策不确定性和股市波动在低频波段的前所未有的影响。COVID-19对地缘政治风险的影响远高于美国经济不确定性。COVID-19风险在短期和长期内被视为不同的风险，首先可能被视为经济危机。我们的研究为政策制定者和资产管理者提供了几个紧迫的重要影响和支持。我们分析了COVID-19疫情、油价、地缘政治风险、经济不确定性与美国股市之间的时频关系。基于小波的方法表明，变量之间的关联随着时间和投资期限的变化而变化。COVID-19疫情对美国地缘政治风险和经济不确定性的影响大于美国股市。石油在整个观察期内以低频和高频领先美国市场。尽管石油市场可能通过OPEC+谈判复苏，但COVID-19的不确定性仍然是美国政策制定者的主要担忧。
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. We analyze the time-frequency relationship between COVID-19 outbreak, oil price, geopolitical risk, economic uncertainty and US stock market. The wavelet-based approach shows that the associations between the variables vary across time and investment horizons. COVID-19 outbreak has a greater effect on the US geopolitical risk and economic uncertainty than on the US stock market. Oil is leading the US market at low and high frequencies throughout the observation period. While oil markets may recover through OPEC+ negotiations, the COVID-19 uncertainty remains the main concern of US policymakers.
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