### Abstract

Language | English |
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Journal | Physica A: Statistical Mechanics and its Applications |

Publication status | Accepted/In press - 9 Oct 2019 |

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### Cite this

*Physica A: Statistical Mechanics and its Applications*.

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

Research output: Contribution to journal › Article

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 -