Did weekly economic index and volatility index impact US food sales during the first year of the pandemic?

Financial Innovation

Research

Narasingha Das¹  Partha Gangopadhyay² 

[1] Economists for Peace and Security- Australia Chapter, Sydney, Australia;Western Sydney University, Sydney, Australia;

关键词: COVID-19;    Food sales;    US weekly economic index;    CBOE’s volatility index;    ARDL model;    Bewley transformation;    NARDL model;    QARDL model;    E32;    E00;    Q54;    C33;   

DOI  :  10.1186/s40854-023-00460-y

 received in 2022-04-01, accepted in 2023-01-29,  发布年份 2023

来源: Springer

【 摘 要 】

We explore the impacts of economic and financial dislocations caused by COVID-19 pandemic shocks on food sales in the United States from January 2020 to January 2021. We use the US weekly economic index (WEI) to measure economic dislocations and the Chicago Board Options Exchange volatility index (VIX) to capture the broader stock market dislocations. We validate the NARDL model by testing a battery of models using the autoregressive distributed lags (ARDL) methodology (ARDL, NARDL, and QARDL specifications). Our study postulates that an increase in WEI has a significant negative long-term effect on food sales, whereas a decrease in WEI has no statistically significant (long-run) effect. Thus, policy responses that ignore asymmetric effects and hidden cointegration may fail to promote food security during pandemics.

【 授权许可】

CC BY   
© The Author(s) 2023

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