Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M


  • Muzafar Shah Habibullah Putra Business School, EIS-UPMCS Centre for Future Labour Market Studies, PERKESO, Malaysia
  • Evan Lau EIS-UPMCS Centre for Future Labour Market Studies, PERKESO, Faculty of Economics and Business, Universiti Malaysia Sarawak, Malaysia
  • Badariah Haji Din College of Government, Law and International Studies, Universiti Utara, Malaysia
  • Muhammad Daaniyall Abd Rahman EIS-UPMCS Centre for Future Labour Market Studies, PERKESO, School of Business and Eco- nomics, Universiti Putra Malaysia, Malaysia
  • Musalman Ahmad Iskandar Shah EIS-UPMCS Centre for Future Labour Market Studies, PERKESO, Malaysia


Covid-19, Perda de emprego, Cointegração, PGARCH-M, Malásia


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 variabi- lidade 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.


Ahmad, M., Khan, Y.A., Jiang, C., Kazmi, S.J.H., & Abbas, S.Z. (2021). The impact of Covid-19 on unemployment rate: An intelligent based unemployment rate prediction in selected countries in Europe. International Journal of Finance and Economics, DOI: 10.1002/ijfe.2434

Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control 19(6): 716-723.

Alexander, C. (2009). Market risk analysis, volume iv, value at risk models. Honoken: John Wiley & Sons, Ltd.

Almeida, F., & Santos, J.D. (2020). The effects of Covid-19 on job security and unemployment in Por- tugal. International Journal of Sociology and Social Policy, DOI: 10.1108/IJSSP-07-2020-0291

Béland, L.P., Brodeur, A., & Wright, T. (2020) The short-term economic consequences of COVID-19: exposure to disease, remote work and government response. IZA Discussion Paper 13159, Institute of La- bor Economics, Germany.

Blundell, R., Dias, M.C., Joyce, R., & Xu, X. (2020). Covid-19 and inequalities. Fiscal Studies, 41(2), 291-319.

Blustein, D.L., & Guarino, P.A. (2020). Work and unemployment in the time of Covid-19: The existen- tial experience of loss and fear. Journal of Humanistic Psychology, 1-8, DOI:10.1177/0022167820934229 Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.

Bollerslev, T. (1987). Conditionally heteroskedasticity time series model for speculative prices and rates of return. Review of Economics and Statistics, 69(3), 542-547.

Busse, M., & Hefeker, C. (2007). Political risk, institutions and foreign direct investment. European Journal of Political Economy, 23, 397–415.

Couch, K.A., Fairlie, R.W., & Xu, H. (2020). The impacts of Covid-19 on minority unemployment: First evidence from April 2020 CPS microdata. Discussion Paper Series, IZA Institute of Labor Economics, Bonn Germany.

Davidescu, A.A., Apostu, S.A., & Stoica, L.A. (2021). Socioeconomic effects of Covid-19 pandemic: Exploring uncertainty in the forecast of the Romanian unemployment rate for the period 2020-2023. Sus- tainability, 13, 7378.

Deadly, M., Tan, L., Kugenthiran, N., Collins, D., Christensen, H., & Harvey, S.B. (2020). Unem- ployment, suicide and Covid-19: Using the evidence to plan for prevention. The Medical Journal of Aus- tralia, 213(4), 153-154.

Dias, M.C., Joyce, R., Postel-Vinay, F., & Xu, X. (2020). The challenges for labour market policy during the Covid-19 pandemic. Fiscal Studies, 41(2), 371-382.

Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1077.

Ding, Z., Granger, C.W.J., 7 Engle, R.F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance 1: 83-106.

DOSM (Department of Statistics Malaysia). (2020a). Labour Force, Malaysia August 2020. Department of Statistics, Malaysia.

DOSM (Department of Statistics Malaysia). (2020b). Labour market review, Malaysia second quarter 2020. Department of Statistics, Malaysia.

DOSM (Department of Statistics Malaysia). (2020c). Report of special survey on effects of Covid-19 on economy and individual (Round 1). Department of Statistics, Malaysia.

DOSM. (2021). Labour market review, Malaysia first quarter 2021. Department of Statistics, Malaysia. Elliott, G., Rothenberg, T.J., & Stock, J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813-836.

Engle, R.F. (2004). Risk and volatility: Econometric models and financial practice. American Economic Review 94(3): 405-420.

Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom Inflation. Econometrica 50: 987-1007.

Engle, R.F., & Granger, C.W.J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55, 251-276.

Falk, G., Carter, J.A., Nicchitta, I.A., Nyhof, E.C., & Romero, P.D. (2020). Unemployment rates during the Covid-19 pandemic: In brief. CRS Report R46554, Congressional Research Service.

Fontaine, I. (2020). Uncertainty and labour force participation. Oxford Bulletin of Economics and Sta- tistics,

Fromentin, V., & Leon, F. (2019). Remittances and credit in developed and developing countries: A dynamic panel analysis. Research in International Business and Finance 48: 310-320.

Granger, C.W.J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120

Hale, T., Angrist, N., Kira, B., Petherick, A., Phillips, T., & Webster, S. 2020. Variation in government responses to COVID-19. Blavatnik School of Government Working Paper BSG-WP-2020/032 Version 6.0. Available:

Hannan, E.J., & Quinn, B.G. (1979). The determination of the order of an autoregression. Journal of the Royal Statistical Society, Series B (Methodological) 41(2): 190-195.

Hansen, B.E. (1992). Tests for parameter instability in regressions with I(1) processes. Journal of Busi- ness & Economic Statistics,10(3):321-335.

Haughton, A.Y., & Iglesias, E.M. (2017). Exchange rate movements, stock prices and volatility in the Caribbean and Latin America. International Journal of Economics and Financial Issues 7(2): 437-447.

International Labor Organization. (2020). How will Covid-19 affect the world of work?

Karabulut, G., Zimmermann, K.F., Bilgin, M.H., & Doker, A.C. (2021). Democracy and Covid-19 out- comes. Economics Letters, 203, 109840.

Katris, C. (2021). Unemployment and Covid-19 impact in Greece: A vector autoregression (VAR) data analysis. Engineering Proceedings, 5:41. Kttps://

Kong, E., & Prinz, D. (2020). The impact of shutdown policies on unemployment during a pandemic. Covid Economics, 17, 29-50.

Loayza, N.V., & Rancière, R. (2006). Financial development, financial fragility, and growth. Journal of Money, Credit and Banking 38(4): 1051-1076.

MacKinnon, J.G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, 601-618.

Narayan, P.K. (2005). The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37(17), 1979–1990.

Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370.

Newey, W.K., & West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocor- relation consistent covariance matrix. Econometrica, 55, 703-708.

Ozdurak, C., Alcan, G., & Guvenbas, S.D. (2020). The impact of Covid-19 to global pharmaceuticals and biotechnology company stocks returns. Journal of Business, Economics and Finance, 9(2), 68-79.

Pesaran, M.H., Shin, Y., & Smith, R.J. (2001). Bounds testing approaches to the analysis of level rela- tionships. Journal of Applied Econometrics, 16(3), 289–326.

Phan, D.H.B., & Narayan, P.K. (2020). Country responses and the reaction of the stock market to CO- VID-19 – A preliminary exposition. Emerging Markets Finance and Trade, 56(10), 2138-2150.

Phillips, P.C.B., & Ouliaris, S. (1990) Asymptotic properties of residual based tests for cointegration. Econometrica, 58(1), 165-193.

Powell, A., & Francis-Devine, B. (2021). Coronavirus: Impact on the labour market. Common Library Research Briefing, Number CBP8898, House of Common Library, United Kingdom.

Rahman, A.A., Jasmin, A.F., & Schmillen, A. (2020). The vulnerability of jobs to Covid-19: The case of Malaysia. Economics Working Paper No. 2020-09, Yusof Ishak Institute, ISEAS, Singapore.

Salisu, A.A., & Akanni, L.O. (2020). Constructing a global fear index for the Covid-19 pandemic. Emerging Markets Finance and Trade, 56(10), 2310-2331.

Samargandi, N., Fidrmuc, J., & Ghosh, S. (2015). Is the relationship between financial development and economic growth monotonic? Evidence from a sample of middle-income countries. World Development, 68: 66-81.

Schwarz, G. (1978). Estimating the dimension of a model. The Annals of Statistics 6(2): 461-464. Shah, A.U.M., Safri, S.N.A., Thevadas, R., Noordin, N.K., Rahman, A.A., Sekawi, Z., Ideris, A., & Sultan, M.T.H. (2020). COVID-19 outbreak in Malaysia: Actions taken by the Malaysian government. International Journal of Infectious Diseases, 97, 108-116.

Stock, J.H., & Watson, M. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61, 783-820.

Su, C.W., Dai, K., Ullah, S., & Andlib, Z. (2021). Covid-19 pandemic and unemployment dynamics in European economies. Economic Research-Ekonomska Istrazivanja.

Theil, H. (1967). Economics and Information Theory. Chicago: Rand McNally and Company.

Van der Wielen, W., & Barrios, S. (2020). Fear and employment during the Covid pandemic: Evidence from search behaviour in the EU. JRC Working Papers on Taxation and Structural Reforms No. 08/2020, JRC Technical Reports, European Commission.

Zimmermann, K.F., Karabulut, G., Bilgin, M.H., & Doker, A.C. (2020). Inter-country distancing, glob- alisation and the coronavirus pandemic. The World Economy, 43(6): 1484-1498.




Como Citar

Habibullah, M. S. . ., Lau , E., Haji Din , B. ., Abd Rahman , M. D. ., & Iskandar Shah, M. A. . (2022). Relações de Longo e Curto Prazo Entre Covid-19 e Perda de Empregos na Malásia: Evidência Usando Modelos GARCH-M, EGARCH-M e PGARCH-M. RPER, (60), 9–31. Obtido de