The impact of COVID-19 on economic growth: evidence from a Bayesian Panel Vector Autoregressive (BPVAR) model

ABSTRACT

This paper explores the impact on the macroeconomy for certain OECD economies exposed to the COVID-19 pandemic shock. The analysis employs a panel of OECD countries, spanning the period March 2020 to January 2021. It also uses two proxies for the COVID-19 shocks: i) total confirmed incidences/cases and ii) total deaths while using the Bayesian Panel Vector Autoregressive (BPVAR) method. The findings document that the COVID-19 shock exerts a strong negative effect on industrial production. Considering how such epidemic shocks affect the expectations of economic participants, the paper questions their absence in accounting for forthcoming growth-related incidences.

KEYWORDS:

• COVID-19
• industrial production
• Bayesian PVAR model
• OECD countries

JEL CLASSIFICATION:

• E32
• E00
• Q54
• C33

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ Who uses a Panel Vector Autoregression (Panel VAR) framework.

² Apergis and Apergis (2018).

³ Apergis and Apergis (2017), Apergis and Apergis (2020).