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Did weekly economic index and volatility index impact US food sales during the first year of the pandemic?

Author

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  • Narasingha Das

    (Economists for Peace and Security- Australia Chapter)

  • Partha Gangopadhyay

    (Western Sydney University)

Abstract

We explore the impacts of economic and financial dislocations caused by COVID-19 pandemic shocks on food sales in the United States from January 2020 to January 2021. We use the US weekly economic index (WEI) to measure economic dislocations and the Chicago Board Options Exchange volatility index (VIX) to capture the broader stock market dislocations. We validate the NARDL model by testing a battery of models using the autoregressive distributed lags (ARDL) methodology (ARDL, NARDL, and QARDL specifications). Our study postulates that an increase in WEI has a significant negative long-term effect on food sales, whereas a decrease in WEI has no statistically significant (long-run) effect. Thus, policy responses that ignore asymmetric effects and hidden cointegration may fail to promote food security during pandemics.

Suggested Citation

  • Narasingha Das & Partha Gangopadhyay, 2023. "Did weekly economic index and volatility index impact US food sales during the first year of the pandemic?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    • Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00460-y
    DOI: 10.1186/s40854-023-00460-y
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    More about this item

    Keywords

    COVID-19; Food sales; US weekly economic index; CBOE’s volatility index; ARDL model; Bewley transformation; NARDL model; QARDL model;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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