A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model
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Authors
Chudik, A.
Mohaddes, K.
Pesaran, M. H.
Raissi, M.
Rebucci, A.
Abstract
This paper develops a threshold-augmented dynamic multi-country model (TG-VAR) to quantify the macroeconomic effects of Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individu
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Keywords
Threshold-augmented Global VAR (TGVAR), international business cycle, Covid-19, global volatility, threshold effects
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Faculty of Economics & Cambridge-INET Institute, University of Cambridge