Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/262316 
Year of Publication: 
2022
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 15-2022
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
Lockdowns imposed to fight the Covid-19 pandemic have cross-border effects. In this paper, we estimate the empirical magnitude of lockdown spillovers in a set of panel local projections. We use daily indicators of economic activity such as stock returns, effective exchange rates, NO2 emissions, mobility and maritime container trade. Lockdown shocks originating in the most important trading partners have a strong and significant adverse effect on economic activity in the home economy. For stock prices and exports, the spillovers can even be larger than the effect of domestic lockdown shocks. The results are robust with respect to alternative country weights used to construct foreign shocks, i.e. weights based on foreign direct investment or the connectedness through value chains. We find that lockdown spillovers have been par-ticularly strong during the first wave of the pandemic. Countries with a higher export share are particularly exposed to lockdown spillovers.
Subjects: 
panel local projections
lockdown shocks
spillovers
Covid-19
pandemic
JEL: 
E32
F14
F20
F36
F42
F44
Document Type: 
Working Paper

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