DOES UNCERTAINTY CAPTURE THE IMPACT OF COVID-19 PANDEMIC?

• Main Author: Kharohmayani, Desy
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/52324
• Institution: Institut Teknologi Bandung

We adapt the research of Jurado et al. (2015) and Groen et al. (2020) to study uncertainty measures. We perform an event analysis to monitor the performance of uncertainty measures during the outbreak of COVID-19. Then, we also implement the predictive time series regression to investigate the predictive power of uncertainty measures to predict the real activity that account for predictive horizon one to twelve months ahead. We compare the uncertainty measures consist of (1) Uncertainty Index, (2) Macro-Financial Stress Index (MFSI), and (3) Semi-RV and determine the strongest predictive power of these uncertainty measures to forecast the real activity both in-sample and out of sample analysis. Moreover, we investigate the impulse response of shocks from uncertainty index, monetary policy, and fiscal policy to economic indicators during the outbreak of COVID-19. The results show that uncertainty index has the strongest predictive power on real activity compared to other measures for both in-sample and out of sample analysis. We also find that the shocks of uncertainty index have negative impact on real output during the outbreak of COVID-19.