Coronavirus, Vaccination and the Reaction of Consumer Sentiment in The United States: Time Trends and Persistence Analysis

Abstract

At the beginning of the COVID-19 pandemic, the entire world was waiting for a medical solution (for example, vaccines) in order to return to normality. Sanitary restrictions changed our consumption behaviors and feelings. Therefore, this paper analyzes the stochastic properties of consumer sentiment during the COVID-19 episode and the appearance of vaccines against the virus in December 2020 in the United States of America. This study adds a new dimension to the literature because it is the first research paper that uses advanced methodologies based on fractional integration and fractional cointegration analysis to understand the statistical properties of these time series and their behavior in the long term. The results using fractional integration methodologies exhibit a high degree of persistence, finding behavior of mean reversion during the pandemic episode. Therefore, the shock duration in consumer sentiment will be transitory, recovering to its previous trend in the short run. Focusing on the cointegrating part, we arrive at two main conclusions. First, an increase in total vaccination produces a positive reaction or impact on the behavior of consumers. On the other hand, an increase in new COVID-19 cases negatively affects the behavior of the consumer.