Chen Hongyi, Tillmann Peter
HKIMR, Hong Kong SAR, China.
University of Giessen, Germany.
J Int Money Finance. 2023 Oct;137:102890. doi: 10.1016/j.jimonfin.2023.102890. Epub 2023 Jun 12.
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, NO 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 particularly strong during the first wave of the pandemic. Countries with a higher export share are particularly exposed to lockdown spillovers.
为抗击新冠疫情而实施的封锁措施具有跨境影响。在本文中，我们通过一组面板局部预测来估计封锁溢出效应的实证规模。我们使用了经济活动的日常指标，如股票回报率、有效汇率、氮氧化物排放、流动性和海运集装箱贸易。来自最重要贸易伙伴的封锁冲击对本国经济活动产生了强烈且显著的负面影响。对于股票价格和出口而言，溢出效应甚至可能大于国内封锁冲击的影响。在构建国外冲击时，使用不同的国家权重（即基于外国直接投资或通过价值链的关联性的权重），结果依然稳健。我们发现，在疫情的第一波期间，封锁溢出效应尤为强烈。出口份额较高的国家尤其容易受到封锁溢出效应的影响。
