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US policy responses to the COVID-19 pandemic and sectoral stock indices: a fractional integration approach

Autores: Caporale, G. M.; Gil Alaña, Luis Alberiko (Autor de correspondencia); Abakah, E. J. A.
Título de la revista: APPLIED ECONOMICS
ISSN: 0003-6846
Volumen: 55
Número: 3
Páginas: 283 - 292
Fecha de publicación: 2023
Resumen:
This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.
DOI: https://doi.org/10.1080/00036846.2022.2086686
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