Graph theory-based network analysis of regional uncertainties of the US Economy

Gupta, Rangan and Lau, Marco C. K. and Sheng, Xin (2019) Graph theory-based network analysis of regional uncertainties of the US Economy. Physica A: Statistical Mechanics and its Applications. ISSN 0378-4371

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Official URL: https://doi.org/10.1016/j.physa.2019.123064

Abstract

We study the transmission mechanism of time-varying macroeconomic uncertainty across the US states. We analyse the contemporaneous and temporal causal relationships of uncertainty at the state level by utilising the Bayesian graphical VAR (BGVAR) model. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We find evidence of strong contemporaneous and lagged dependence among US states. The analysis of this paper has important policy implications.

Item Type: Journal Article
Keywords: Uncertainty Spillover, Macroeconomic Uncertainty, US States, Bayesian Graphical Structural VAR
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 15 Oct 2019 08:36
Last Modified: 14 Nov 2019 16:07
URI: http://arro.anglia.ac.uk/id/eprint/704874

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