Impacts of social distancing policy and vaccination during the COVID-19 pandemic in the Republic of Korea.

This paper investigates the dynamic impact of social distancing policy on coronavirus disease (COVID-19) infection control, mobility of people, and consumption expenditures in the Republic of Korea. We employ structural and threshold vector autoregressive (VAR) models using big-data-driven mobility data, credit card expenditure, and a social distancing index. We find that the social distancing policy significantly reduces the spread of COVID-19, but there exists a significant, growing trade-off between infection control and economic activity over time. When the level of stringency in social distancing is already high, its marginal effect on mobility is estimated to be smaller than when social distancing stringency is low. The effect of social distancing also becomes secondary after vaccination. Increased vaccination is found to significantly reduce the critical cases while it increases visitors and consumption expenditures. The results also show that the effect of social distancing policy on mobility reduction is strongest among the population of age under 20 and the weakest among the population of age over 60.

Systemic spillover dynamics of crude oil with Indian Financial indicators in post WPI revision and COVID era

The study first investigates the sensitivity of major Indian financial indicators, viz. Equity Index (Nifty), Exchange Rate (USDINR), Bond (Govt 10Y Bond), Gold, Agricultural Index (N-Krishi) to ascertain the existence of significant sensitivity to standard shocks Engle and Campos-Martins (2020) either arising due to global political/economic factor or endogenous macroeconomic scenario. After that, the study undertakes the systemic spillover dynamics of Crude by estimating a self-exciting regime-switching Threshold Vector Auto-regression model based on cut-off values of Crude to test shock transmission from Crude amid major global events empirically. The findings indicate the existence of three regimes with threshold cut-offs for Crude return, viz. −2.358% and 2.294% for 2008 and 2020, respectively. After that Spillover Index is estimated across the three regimes. The findings indicate a sporadic increase in spillover during the Covid era, GFC and Oil Crisis. Despite Govt. Bond ranking high insensitivity, the spillover linkage is low. The results also indicate that, on average, systemic volatility shocks from crude oil are highest in Gold. In fact, Gold's sensitivity to crude price fluctuations escalates to new heights during the 2008–09 crisis, thus serving as a source of idiosyncratic shocks. Moreover, in recent duration, a unique see-saw kind of link has emerged between crude oil and Gold, where downward pressure by Crude on USDINR is eased by a fall in gold imports. Moreover, an analysis of the spillover pattern across the Wholesale Price Index (WPI) 2012 shows an intensification of spillover from Crude. The study is beneficial to policymakers to apply a systemic approach while empirically analyzing the spillover from a Global commodity such as Crude.