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 statusPublished - 15 Feb 2020

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