Covid-19 Affects The US Economy Uncertainty?

Year 2023, Volume: 13 Issue: 1, 317 - 332, 23.03.2023

Tuncer Gövdeli , Tuba Özkan , Esra Karakuş

https://doi.org/10.48146/odusobiad.1109097

Abstract

COVID-19 salgınının ekonomik ve sosyal maliyetleri; toplumu, bireysel yatırımcıları, politika yapıcıları ve tüm finansal piyasa katılımcılarını etkilemektedir. COVID-19 salgını, finansal piyasalarda ve aynı zamanda petrol de dahil olmak üzere emtia fiyatlarında ve reel ekonomide şok dalgaları yarattı. Bu çalışmada 31.12.2019 ile 30.11.2020 günlük verileri kullanılarak ABD için yeni COVID-19 vaka sayıları, ABD hisse senedi fiyat endeksi, ham petrol fiyatı ile ekonomi politikası belirsizlik endeksi arasındaki kısa ve uzun dönemli ilişki ARDL sınır testi ile araştırılmıştır. Sonuçlar ABD’de ekonomi politikası belirsizlik endeksi belirleyicileri arasında kısa ve uzun vadede eşbütünleşme ilişkisinin varlığını göstermektedir. Uzun vadeli esnekliklerde, COVID-19 vaka sayılarındaki %1’lik artış ABD’nin ekonomi politikası belirsizlik endeksini %0.086 artıracağı, ham petrol fiyatındaki %1’lik artışın ABD’nin ekonomi politikası belirsizlik endeksini %0.410 azaltacağı ve ABD hisse senedi fiyat endeksindeki %1 lik artışın ABD’nin ekonomi politikası belirsizlik endeksini %3.167 düşüreceğini göstermektedir.

Keywords

COVID-19, Hisse Senedi Fiyatı, Ham Petrol, Ekonomi Politikası, Belirsizlik Endeksi, ABD.

Covid-19 Affects The US Economy Uncertainty?

Abstract

The economic and social costs of the COVID-19 pandemic affect society, individual investors, policy makers and all financial market participants. The COVID-19 pandemic has created shock waves in financial markets, as well as commodity prices, including oil, and the real economy. In this study, using the daily data of 31.12.2019 and 30.11.2020 the short and long-term relationship between the number of new COVID-19 cases for the USA the US stock price index the crude oil price and the economic policy uncertainty index was investigated by ARDL bounds test. The results of the study indicate that there are short-term and long-term cointegration between economic policy uncertainty index determinants in USA. A 1% increase in the number of COVID-19 cases is expected to lead to a 0.086% increase in the US economic policy uncertainty index, and a 1% increase in the price of crude oil to a 0.410 decrease. A 1% increase in the US economic policy uncertainty index and the US stock price index will lead to a 3.167% decrease in the US economic policy uncertainty index.

Keywords

COVID-19, Stock Price, Crude Oil, Economic Policy Uncertainty Index, USA.

References

• Albulescu, C. (2020a). Coronavirus and Oil Price Crash. In SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3553452.
• Albulescu, C. (2020b). Do COVID-19 and Crude Oil Prices Drive the US Economic Policy Uncertainty? In SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3555192.
• Aloui, R., Gupta, R. and Miller, S.M. (2016). Uncertainty and Crude Oil Returns. Energy Economics, 55, 92–100.
• Antonakakis, N., Chatziantoniou, I. and Filis, G. (2014). Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Economics, 44, 433-447.
• Arrizabalaga J., (2016). The global threat of (re) emerging diseases: contesting the adequacy of biomedical discourse and practice. In: Davis JE and Gonzalez AM (eds) To Fix or to Heal: Patient Care, Public Health, and the Limits of Biomedicine. New York: New York University Press, pp.177-207.
• Baker, S.R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. and Viratyosin, T. (2020). The Unprecedented Stock Market Reaction to COVID-19. Working Paper 26945, National Bureau of Economic Research, April. http://www.policyuncertainty.com/us_monthly.html.
• Baldwin,R.and Weder di Mauro, B. (2020). Economics in the Time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press.
• Barro,R., Ursua, J. and Weng, J. (2020). The Coronavirus and the Great Influenza Pandemic: Lessons from the "Spanish Flu" for the Coronavirus's Potential Effects on Mortality and Economic Activity. National Bureau of Economic Research Working Paper Series,Working Paper 26866.
• Barua, S. (2020). Understanding Coronanomics: The Economic Implication Softh Ecoronavirus (COVID-19) Pandemic. In SSRN Electronic Journal, doi:10.2139/ssrn.3566477.
• Bashford, A. (2016). Quarantine: Local and Global histories. London: Palgrave.
• Basher, S. and Sadorsky, P. (2006). Global Finance Journal, 17(2), 224-251.
• Bentzen, J., and Engsted, T. (2001). A Revival of The Autoregressive Distributed Lag Model In Estimating Energy Demand Relationships. Energy, 26(1), 45-55.
• Brown, R. L., Durbin, J. and Evans, J. M. (1975). Techniques For Testing The Constancy of Regression Relationships Over Time. Journal of The Royal Statistical Society: Series B (Methodological), 37(2), 149-163.
• Cecchetti, S. G. and Schoenholtz, K. L. (2020). Contagion: Bank Run Sand COVID-19. In: Economics in the Time of COVID-19 (pp.77-80). London: CEPR(Centre for Economic Policy Research) Press.
• Chen, X., Sun, X. and Li, J. (2020). How Does Economic Policy Uncertainty React To Oil Price Shocks? A Multi-Scale Perspective. Applied Economics Letters, 27, 188–193.
• Chowdhury, E. K. and Abedin, M. Z. (2020). COVID-19 Effects on the US Stock Index Returns: An Event Study Approach. Accounting, Auditing & Accountability Journal In: SSRN: https://ssrn.com/abstract=3611683.
• Cornia Giovanni, A. (2001). Globalization and health: Results and Option, Bulletin of The World Health Organization, 79, 834-841.
• Das, Dilip K. (2006). Globalization in the World of Finance: An Analytical History, Global Economy Journal, 6(1).
• Daube, C. H. (2020). The Coronavirus Stock Exchange Crash, ZBW-Leibniz Information Centre for Economics, Kiel, Hamburg. Degiannakis, S., Filis, G. and Panagiotakopoulou, S. (2018). Oil Price Shocks And Uncertainty: How Stable Is Their Relationship Over Time? Economic Modelling, 72, 42–53.
• Dhaoui, A. ve Khraief, N. (2014). Empirical Linkage between Oil Price and Stock Market Returns and Volatility: Evidence from International Developed Markets. Economics Discussion Papers, (12), 2-29.
• Feng, J., Bao,Y., Wang, Y., Meng, S., Xia, J. and Zhang, Q. (2020). Coronavirus VS Market: Investment Opportunities Lies Underneaththe Epidemic. In SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.3563059.
• Fetzer, T, Hensel, L., Hermle J. and Roth, C.(2020). Coronavirus Perceptions and Economic Anxiety. arXiv preprint arXiv:2003.03848.
• Frenk, J and Gómez-Dantés, O. (2002). Globalization and The Challenges To Health Systems, Health Affairs,21(3), 160-165.
• Ghatak, S. and Siddiki, J. U. (2001). The Use of The ARDL Approach in Estimating Virtual Exchange Rates in India. Journal of Applied statistics, 28(5), 573-583.
• Github Database https://github.com/owid/covid-19-data/tree/master/public/data.
• Giddens, A. (1990). The Consequences of Modernity, Stanford University Press, Stanford California.
• Goodell, J.W. (2020). COVID-19 and Finance: Agendas for Future Research, Finance Research Letters, doi: https://doi.org/10.1016/j.frl.2020.101512.
• Gormsen, N.J. and Koijen, R. S. (2020). Coronavirus: Impact on Stock Prices and Growth Expectations. University of Chicago, Becker Friedman Institute for Economics Working Paper.
• Huang, R.D., Masulis, R.W. and Stoll, H.R. (1996). Energy Shocks and Financial Markets, The Journal of Future Markets, 16, 1-25.
• Johansen, S. and Juselius, K. (1990). Maximum likelihood Estimation and Inference on Cointegration—with Applications to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
• Jones C, M and Kaul, G. (1996). Oil and the Stock Markets. The Journal Of Finance, 51(2), 463-491 https://doi.org/10.1111/j.1540-6261.1996.tb02691.x.
• Kaneko, T. and Lee, B-S. (1995). Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets. Journal of the Japanese and International Economies, 9(3), 290-307.
• Kang, W., Ratti, R.A. and Vespignani, J.L. (2017). Oil price shocks and policy uncertainty: New evidence on The Effects of US and Non-US oil production. Energy Economics, 66, 536–546.
• Ma, F., Wahab, M.I.M., Liu, J. and Liu, L. (2018). Is Economic Policy Uncertainty Important To Forecast The Realized Volatility Of Crude Oil Futures? Applied Economics, 50, 2087–2101.
• Mack, A. (1991). In Time of Plague: the History and Social Consequences of Lethal Epidemic Disease. New York: NYU Press. Malanima, P. (2014). The Economic Consequences of the Black Death.
• http://www.paolomalanima.it/default_file/Papers/THE_ECONOMIC_CONSEQUENCES.doc.pdf
• Mc Luhan. M. (1992). Global Village. Oxford University Press Inc. New York, US.
• Narayan, P. K. (2005). The Saving and Investment Nexus For China: Evidence From Cointegration Tests. Applied Economics, 37(17), 1979-1990.
• Naurin, A. and Qayyum, A. (2016). Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model. Munich Personal RePEc Archive.
• Odhiambo, N. M., 2009. Energy consumption and economic growth nexus in Tanzania: An ARDL bounds testing approach. Energy policy, 37(2), 617-622.
• Odusami, B.O. (2009). Crude Oil Shocks and Stock Market Returns, Applied Financial Economics, 19(4), 291-303.
• Olufisayo, A.O., 2014. Oil Price and Stock Market: Empirical Evidence from Nigeria. European Journal of Sustainable Development, 3(2), 33-40.
• Pavlyshenko, B. M. (2020). Regression Approach for Modeling COVID-19 Spread and Its Impact On Stock Market. Ithaca, New York.
• Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
• Reboredo, J.C. and Uddin, G.S. (2016). Do Financial Stress and Policy Uncertainty Have an Impact on the Energy and Metals Markets? A Quantile Regression Approach. International Review of Economics and Finance, 43, 284-298.
• Rosenberg C.E. (1988). The Definition and Control of Disease - An Introduction. Social Research, 55(3), 327-330.
• Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity, Energy Economics, 21(5), 449-469.
• Sharif, A., Aloui, C. and Yarovaya, L. (2020). COVID-19 Pandemic, Oil Prices , Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy : Fresh Evidence from the Wavelet- Based Approach, International Review of Financial Analysis, 70 (101496).
• Shutt, H. (2003). Kapitalizmle Derdim Var!, Çevirenler: Nesrin Sungur, Ahmet Çakmak, İstanbul: Kitap Yayınevi.
• Wang, Y. & Wu, C. and Yang, L. (2013). Oil Price Shocks and Stock Market Activities: Evidence From Oil-İmporting And Oil-Exporting Countries. Journal of Comparative Economics, (41), 1220-1239.
• Yach, D. and Bettcher, D. ( 1998). The Globalization of Public Health: Threats and Opportunities, American Journal of Public Health, 88(5), 735-738.
• Yergin, D. (2009). The Prize: The Epic Quest For Oil, Money, & Power. New York :Free Press.
• Yilmazkuday, H. (2020). COVID-19 Effects on the S&P 500 Index. In SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.3555433.