流行病对工业生产增长的动态影响

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-08-21 DOI:10.1177/09726527231189558

Muneer Shaik

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引用次数: 1

摘要

本文采用时变参数-结构向量自回归(TVP-SVAR)模型，研究了世界性流行病引起的不确定性对工业生产率增长的动态影响。我们发现，冠状病毒对经济集团(即美国、发达国家和新兴国家)的工业生产增长率产生了负面影响。我们还发现，自2016年以来，工业生产增长率的变动幅度有了较大的上升。我们还采用动态波动连通性方法，发现新兴国家经济集团的工业生产率增长和DPUI被观察到是波动的净传播者，而美国和其他发达国家经济集团的工业生产率增长在整个样本期间被发现是波动的净接受者。此外，我们发现所研究的变量之间的动态总连通性是很强的，并且是时变的。JEL代码:C15, C58, G15

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The Dynamic Effect of Pandemics on Industrial Production Growth

Using a time-varying parameter-structural vector autoregressive (TVP-SVAR) model, this study investigates the dynamic impact of uncertainty caused by worldwide pandemics on industrial productivity growth. We discover that the coronavirus has a negative influence on industrial production growth rates across economic blocs (i.e., United States, Developed, and Emerging nations). We also discover that, since 2016, there has been a considerable rise in the comovement of industrial production growth rates. We also employ the dynamic volatility connectedness methodology and find that the industrial productivity growth of Emerging nations economic bloc, and DPUI is observed to be net transmitters of volatility, whereas the industrial productivity growth of United States and other developed nations economic blocs are found to be net recipients of volatility throughout the sample periods. Furthermore, we find that the dynamic total connectedness among the variables under study is observed to be very strong and time-varying. JEL Codes: C15, C58, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.