The Asymmetric Effects of the COVID-19 Infodemic on U.S. Economic Activity

We investigate the asymmetric impacts of the COVID-19 infodemic, announcements of government interventions, and the equity market volatility (fear gauge) on the US weekly economic activity index (WEI) during COVID-19 by segregating the ‘good news’ from the ‘bad news.’ We apply the NARDL model and observe evidence of asymmetric effects on WEI by all three sets of variables. Our results highlight a main flaw in existing literature which has largely assumed symmetric effects. Additionally, ‘good news’ dominate the ‘bad news’ effect particularly for infodemics and government announcements. These findings will be useful to policymakers, especially when designing infodemic management policies.