Graph Theory-Based Network Analysis of Regional Uncertainties of the US Economy

Rangan Gupta, Chi Keung Lau, Xin Sheng

Research output: Contribution to journalArticle

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. We find evidence of strong uncertainty spillovers across state borders. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We also find evidence of strong contemporaneous dependence among US states. The results show that the origination of direct edges concentrates on a few states.
LanguageEnglish
JournalPhysica A: Statistical Mechanics and its Applications
Publication statusAccepted/In press - 9 Oct 2019

Fingerprint

graph theory
network analysis
Network Analysis
economy
Graph theory
Uncertainty
borders
Macroeconomics
Graphical Models
Bayesian Model
Time-varying
Network analysis
US economy
U.S. States

Cite this

@article{2c083fdfc2a041d0ac3a29ed9ad3f038,
title = "Graph Theory-Based Network Analysis of Regional Uncertainties of the US Economy",
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. We find evidence of strong uncertainty spillovers across state borders. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We also find evidence of strong contemporaneous dependence among US states. The results show that the origination of direct edges concentrates on a few states.",
keywords = "Uncertainty Spillover, Macroeconomic Uncertainty, Bayesian Graphical Structural VAR",
author = "Rangan Gupta and Lau, {Chi Keung} and Xin Sheng",
year = "2019",
month = "10",
day = "9",
language = "English",
journal = "Physica A: Statistical Mechanics and its Applications",
issn = "0378-4371",
publisher = "Elsevier",

}

Graph Theory-Based Network Analysis of Regional Uncertainties of the US Economy. / Gupta, Rangan ; Lau, Chi Keung; Sheng, Xin.

In: Physica A: Statistical Mechanics and its Applications, 09.10.2019.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Graph Theory-Based Network Analysis of Regional Uncertainties of the US Economy

AU - Gupta, Rangan

AU - Lau, Chi Keung

AU - Sheng, Xin

PY - 2019/10/9

Y1 - 2019/10/9

N2 - 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. We find evidence of strong uncertainty spillovers across state borders. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We also find evidence of strong contemporaneous dependence among US states. The results show that the origination of direct edges concentrates on a few states.

AB - 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. We find evidence of strong uncertainty spillovers across state borders. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We also find evidence of strong contemporaneous dependence among US states. The results show that the origination of direct edges concentrates on a few states.

KW - Uncertainty Spillover

KW - Macroeconomic Uncertainty

KW - Bayesian Graphical Structural VAR

M3 - Article

JO - Physica A: Statistical Mechanics and its Applications

T2 - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

ER -