Artikel
Pandemic-era uncertainty
We examine several measures of uncertainty to make five points. First, equity market traders and executives at nonfinancial firms have shared similar assessments about one-year-ahead uncertainty since the pandemic struck. Both the one-year VIX and our survey-based measure of firm-level uncertainty at a one-year forecast horizon doubled at the onset of the pandemic and then fell about half-way back to pre-pandemic levels by mid-2021. Second, and in contrast, the 1-month VIX, a Twitter-based Economic Uncertainty Index, and macro forecaster disagreement all rose sharply in reaction to the pandemic but retrenched almost completely by mid-2021. Third, Categorical Policy Uncertainty Indexes highlight the changing sources of uncertainty-from healthcare and fiscal policy uncertainty in spring 2020 to elevated uncertainty around monetary policy and national security as of May 2022. Fourth, firm-level risk perceptions skewed heavily to the downside in spring 2020 but shifted rapidly to the upside from fall 2020 onwards. Perceived upside uncertainty remains highly elevated as of early 2022. Fifth, our survey evidence suggests that elevated uncertainty is exerting only mild restraint on capital investment plans for 2022 and 2023, perhaps because perceived risks are so skewed to the upside.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 8 ; Pages: 1-14
- Klassifikation
-
Management
- Thema
-
uncertainty
business expectations
capital investments
subjective forecast distributions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Meyer, Brent
Mihaylov, Emil
Barrero, Jose Maria
Davis, Steven J.
Altig, David
Bloom, Nicholas
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
-
doi:10.3390/jrfm15080338
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Meyer, Brent
- Mihaylov, Emil
- Barrero, Jose Maria
- Davis, Steven J.
- Altig, David
- Bloom, Nicholas
- MDPI
Entstanden
- 2022
Ähnliche Objekte (12)
Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
#Bitcoin, #COVID-19: Twitter-based uncertainty and Bitcoin before and during the pandemic
Foreign direct investment and world pandemic uncertainty index: Do health pandemics matter?
Fiscal, investment and export multipliers and the COVID-19 pandemic slowdowns uncertainty factor in the First Half of 2020
Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic
Pandemic preparedness and public health expenditure
COVID-19 pandemic and financial contagion
An actuarial approach for modeling pandemic risk
Cryptocurrencies, diversification and the COVID-19 pandemic
Coherent-price systems and uncertainty-neutral valuation
Quantifying correlation uncertainty risk in credit derivatives pricing
Inflation and inflation uncertainty revisited: Evidence from Egypt
Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
#Bitcoin, #COVID-19: Twitter-based uncertainty and Bitcoin before and during the pandemic
Foreign direct investment and world pandemic uncertainty index: Do health pandemics matter?
Fiscal, investment and export multipliers and the COVID-19 pandemic slowdowns uncertainty factor in the First Half of 2020
Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic
Pandemic preparedness and public health expenditure
COVID-19 pandemic and financial contagion
An actuarial approach for modeling pandemic risk
Cryptocurrencies, diversification and the COVID-19 pandemic
Coherent-price systems and uncertainty-neutral valuation
Quantifying correlation uncertainty risk in credit derivatives pricing
Inflation and inflation uncertainty revisited: Evidence from Egypt
Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
#Bitcoin, #COVID-19: Twitter-based uncertainty and Bitcoin before and during the pandemic
Foreign direct investment and world pandemic uncertainty index: Do health pandemics matter?
Fiscal, investment and export multipliers and the COVID-19 pandemic slowdowns uncertainty factor in the First Half of 2020
Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic
Pandemic preparedness and public health expenditure
COVID-19 pandemic and financial contagion
An actuarial approach for modeling pandemic risk
Cryptocurrencies, diversification and the COVID-19 pandemic
Coherent-price systems and uncertainty-neutral valuation
Quantifying correlation uncertainty risk in credit derivatives pricing