NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Thomas Renault

University Paris 1 Panthéon-Sorbonne
IÉSEG School of Management
17 rue de la Sorbonne
Paris 75005
France

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Institutional Affiliation: University Paris 1 Panthéon-Sorbonne

NBER Working Papers and Publications

June 2020Economic Uncertainty Before and During the COVID-19 Pandemic
with David Altig, Scott R. Baker, Jose Maria Barrero, Nicholas Bloom, Philip Bunn, Scarlet Chen, Steven J. Davis, Julia Leather, Brent H. Meyer, Emil Mihaylov, Paul Mizen, Nicholas B. Parker, Pawel Smietanka, Greg Thwaites: w27418
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 abo...

Published: 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, .

 
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