Macroeconomic effects and spillovers among countries of the Covid-19 pandemic

Since December 2019, the Covid-19 pandemic spread worldwide from China, passing to Europe in February 2020, and lastly in the US, in March 2020. According to the Air Transport Association, in February 2020 the global growth rate of air passengers demand collapsed about 14.1%, showing the most severe collapse since the 9/11 attacks. I estimate a Panel-VAR on a panel of monthly time-series of the US, the Euro Area and China, in which the air passengers is the key variable that univocally identifies the structural shock due to the pandemic. This variable is taken by taking monthly records of air passengers of the main airports in the countries. By exploiting cross-sectional interdependence of the model, the paper aims at estimating the economic effects of the Covid-19 in each country, and how these spillover into the other countries. The investigation focuses on the industrial production, the inflation rate, the ratio between export and import, and the interest rates of the countries in the sample. However, the model will be augmented by including asset prices and credit variables in order to track the effects on financial stability.