NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Kyle J. Kost

University of Chicago

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Institutional Affiliation: University of Chicago

NBER Working Papers and Publications

April 2020The Unprecedented Stock Market Impact of COVID-19
with Scott R. Baker, Nicholas Bloom, Steven J. Davis, Marco C. Sammon, Tasaneeya Viratyosin: w26945
No previous infectious disease outbreak, including the Spanish Flu, has impacted the stock market as powerfully as the COVID-19 pandemic. We use text-based methods to develop this point with respect to large daily stock market moves back to 1900 and with respect to overall stock market volatility back to 1985. We also argue that policy responses to the COVID-19 pandemic provide the most compelling explanation for its unprecedented stock market imact.
March 2019Policy News and Stock Market Volatility
with Scott R. Baker, Nicholas Bloom, Steven J. Davis: w25720
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of EMV articles refer to Fiscal Policy (mostly Tax Policy), 30 percent discuss Monetary Policy, 25 percent refer to one or more forms of Regulation, and 13 percent mention National Security matters. The contribution of particular policy areas fluctuates greatly over time. Trade Policy news, for example, went from a virtual nonfactor in equity market volatility to a leading source after Donald Trump’s election and especially after the int...
 
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