COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach

Sharif, Arshian, Aloui, Chaker and Yarovaya, Larisa (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.

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Abstract

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

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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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