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 - 2020/2/15
Y1 - 2020/2/15
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 -