Resumen de Long-Run and Short-Run Relationships Between Covid-19 and the Loss of Employment in Malaysia: Evidence Using GARCH-M, EGARCH-M and PGARCH-M Models

Muzafar Shah Habibullah, Evan Lau, Badariah Haji Din, Muhammad Daaniyall Abd Rahman, Musalman Ahmad Iskandar Shah

• English

  The purpose of the present paper is to investigate the long-run and short-run relationships between the loss of employment and theCovid-19 pandemic in Malaysia’s labour market. The Covid-19 measures in-clude the number of Covid-19 new cases, the number of Covid-19 new deaths, the number of total Covid-19 cases and the Covid-19 fear index. Using cointegration analysis, we found that the loss of employment exhibit long-run relationships with the four Covid-19 measures. Our short-run analysis using the PGARCH-M model able to captures the volatility and clustering of the variability in the loss of employment. The PGARCH-M model shows evidence of the leverage effects or asymmetric effects which suggest that the positive shocks (good news) increase volatility in the loss of employment, more than the negative shocks (bad news) in a crisis situation.

• português

  O objetivo do presente artigo é investigar as relações de longo e curto prazo entre a perda de emprego e a pandemia de Covid-19 no mercado de trabalho da Malásia. As variáveis usadas para medir a expressão da Covid-19 incluem o número de novos casos de Covid-19, o número de novas mortes de Covid-19, o número total de casos de Covid-19 e o índice de medo da Covid-19. Usando a análise de cointegração, descobrimos que a perda de emprego exibe relações de longo prazo com as quatro medidas de Covid-19. A nossa análise de curto prazo recorreu ao modelo PGARCH-M, capaz de capturar a volatilidade e a variabilidade na perda de emprego. O modelo PGARCH-M mostra evidências de efeitos de alavancagem ou efeitos assimétricos, o que sugere que os choques positivos (boas notícias) aumentam a volatilidade na perda de empregos mais do que os choques negativos (más notícias) numa situação de crise