Disentangling the effects of COVID-19 induced shocks and uncertainty on households' financial savings

Data and codes are used to investigates the effects of COVID-19 induced shocks and uncertainty on households' financial savings. In the paper, we identify a containment shock, a fear-of-infection shock and an uncertainty shock. We employ a time-varying parameter vector autoregression model with stochastic volatility. Our findings indicate that the containment shock has a positive and significant impact on household financial savings, whereas the effects of the fear-of-infection and the uncertainty shocks are smaller. Data employed are macroeconomic variables (financial savings, consumption, full-time equivalent employment, number of tourists). We further build a macroeconomic uncertainty index, following Jurado et al. (2015) and use Oxford COVID-19 Government Response Tracker.