Graph theory-based network analysis of regional uncertainties of the US Economy

【Author】 Gupta, Rangan; Lau, Chi-Keung (Marco); Sheng, Xin

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【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. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Uncertainty spillover; Macroeconomic uncertainty; US states; Bayesian graphical structural VAR

【发表时间】2020 15-Feb

【收录时间】2022-01-02

【文献类型】

【主题类别】

--