Effects of Coronavirus Pandemic on U.S Economy: D-Vine Regression Copula Approach

Document Type : Research Note


1 Sharif University of Technology, Department of Management and Economics

2 Department of Math, Ferdowsi University of Mashhad

3 adjunct fellow, Victoria university business school


The rapid spread of Covid-19 since January 2020 has dramatically affected financial markets and economies worldwide, especially in the United States. This paper aims to utilize the regression model of D-Vine Copula introduced by Kraus to investigate the effects of each of three input variables (number of Corona cases, number of deaths, and news)on our three response variables which are three famous indices in the U.S(S&P 500, NASDAQ 100 and Dow Jones). Also, we examine the impact of the unemployment rate on financial markets and the economy using jobless claims reported by the department of labor during the first five months of the outbreak in the United States. At the end of the analysis, we use the C-Vine structure and the dependence coefficient of Kendall's tau to determine which news has the most effect on the three indices under our scrutiny in this study. Findings demonstrate that the fitted quantile curves of all input variables suggest that variable death has the most negative effect on S&P500 and Dow Jones and variable news has the most negative influence on NASDAQ100, and it can be concluded that variable D(GDP news)has the most effect on all mentioned indices.