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

Narasingha Das; Partha Gangopadhyay

doi:10.1186/s40854-023-00460-y

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

Financ Innov. 2023;9(1):57. doi: 10.1186/s40854-023-00460-y. Epub 2023 Feb 10.

Authors

Narasingha Das¹, Partha Gangopadhyay²

Affiliations

¹ Economists for Peace and Security- Australia Chapter, Sydney, Australia.
² Western Sydney University, Sydney, Australia.

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.

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