TY - JOUR
T1 - Graph theory-based network analysis of regional uncertainties of the US Economy
AU - Gupta, Rangan
AU - Lau, Chi Keung (Marco)
AU - Sheng, Xin
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
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.
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
AN - SCOPUS:85073960779
SN - 0378-4371
VL - 540
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
M1 - 123064
ER -