Measuring the Impact of the EU Health Emergency Response Authority on the Economic Sectors and the Public Sentiment

The present paper describes the main findings of an extensive quantitative exercise (based on Bayesian Graphical SVAR) aimed at quantifying the correlated risk and the effects, on the most important economic sectors, of the Covid-19 pandemic and of a list of actions undertaken at the EU level. The considered data refers to the time series of equities and public sentiment of 89 top-listed companies from EuroStoxx 600. We show the relevant impact of the events both at the companies and at the sector levels. Results show that the actions produce an effect on the economic sector differentiated in terms of magnitude and reaction times.