The Effects of COVID-19 on Economic and Financial Indices an Intervention Function Analysis

International Research Journal of Economics and Management Studies
© 2023 by IRJEMS
Volume 2  Issue 1
Year of Publication : 2023
Authors : Mohammad Safarzadeh, Hamid Falatoon
irjems doi : 10.56472/25835238/IRJEMS-V2I1P115


Mohammad Safarzadeh, Hamid Falatoon. "The Effects of COVID-19 on Economic and Financial Indices an Intervention Function Analysis" International Research Journal of Economics and Management Studies, Vol. 2, No. 1, pp. 103-112, 2023.


The news of the spread of COVID-19, its toll on public health and the shut-down of the economic activities in major industrial countries have resulted in major volatility in economic variables and global financial markets. Every positive news of discoveries on mitigation of the disease or its treatment has caused an immediate upturn in major financial indices and economic activities and negative news have resulted in downturns in economic activities. At the same time, the Fed and US government are applying traditional macroeconomic policies to reduce the economic pains and sufferings caused by loss of jobs and income by millions of working people. Although it is not possible to quantify the direct effect of COVID-19 on financial markets and economic activities at this early stages of pandemics, the effect of announcements on major economic indices can be estimated and their time path to new equilibrium can be projected using intervention and transfer function analysis. Therefore, we treat the announcements on pandemic as an intervention in markets to estimate and compare the preannouncement mean and volatility of indices with their post-announcement means and volatility using intervention function time series analysis. If the announcement results in a change in the levels, we then study the time path of the adjustment to equilibrium using impulse response function.


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COVID-19, Intervention Function Analysis, Impulse Response Function.