Browsing University of Derby Online (UDOL) by Authors
Inflation expectations, volatility and Covid-19: Evidence from the US inflation swap ratesApergis, Nicholas; Apergis, Emmanuel; University of Derby; University of Huddersfield (Taylor & Francis, 2020-08-28)The goal of this work is to explore the role of the Covid-19 pandemic event in the course of inflation expectations and their volatility through US inflation swap rates. The findings document that inflation expectations and their volatility are positively affected by the Covid-19 pandemic. These results have real activity implications, while close monitoring of inflation expectations could signal inflation expectations un-anchoring risks.
The role of Covid-19 for Chinese stock returns: evidence from a GARCHX modelApergis, Nicholas; Apergis, Emmanuel; University of Derby; University of Huddersfield (Taylor & Francis, 2020-09-03)This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.