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. 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.
Original languageEnglish
Article number123064
Number of pages11
JournalPhysica A: Statistical Mechanics and its Applications
Volume540
Early online date11 Oct 2019
DOIs
Publication statusE-pub ahead of print - 11 Oct 2019

Fingerprint

graph theory
network analysis
Network Analysis
economy
Graph theory
Uncertainty
Macroeconomics
Graphical Models
Bayesian Model
Time-varying
US economy
Network analysis
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. 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.",
keywords = "Uncertainty Spillover, Macroeconomic Uncertainty, Bayesian Graphical Structural VAR, US states",
author = "Rangan Gupta and Lau, {Chi Keung} and Xin Sheng",
year = "2019",
month = "10",
day = "11",
doi = "10.1016/j.physa.2019.123064",
language = "English",
volume = "540",
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, Vol. 540, 123064, 15.02.2020.

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 - 2019/10/11

Y1 - 2019/10/11

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. 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.

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. 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.

KW - Uncertainty Spillover

KW - Macroeconomic Uncertainty

KW - Bayesian Graphical Structural VAR

KW - US states

UR - http://www.scopus.com/inward/record.url?scp=85073960779&partnerID=8YFLogxK

U2 - 10.1016/j.physa.2019.123064

DO - 10.1016/j.physa.2019.123064

M3 - Article

VL - 540

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

M1 - 123064

ER -