2026-10-13T06:37:21Z https://data.mendeley.com/oai

oai:data.mendeley.com/ssn5mvh442.3 2026-09-01T12:48:28Z

Infante, Luigi Disentangling the effects of COVID-19 induced shocks and uncertainty on households' financial savings Mendeley Data 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. This repository is divided into two main folders: 1. replication_code_ILV 2. replication_code_ILV_robustness The first includes all the results, except for the robustness exercises, which are reported in the second folder. Each folder includes a file, ILV_READ_ME.pdf and ILV_READ_ME_ROBUSTNESS.pdf, respectively (or an equivalent .docx version), containing instructions for replicating the results of the paper, along with the input data and details on data processing. Economics Lilla, Francesca Vercelli, Francesco Dataset doi:10.17632/ssn5mvh442.3 oai:data.mendeley.com/ssn5mvh442.3 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/ssn5mvh442 2026-09-01T12:48:28Z