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

Rangan Gupta; Chi Keung (Marco) Lau; Xin Sheng

doi:10.1016/j.physa.2019.123064

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

Rangan Gupta, Chi Keung (Marco) Lau, Xin Sheng

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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 language	English
Article number	123064
Journal	Physica A: Statistical Mechanics and its Applications
Volume	540
DOIs	https://doi.org/10.1016/j.physa.2019.123064
Publication status	Published - 11 Oct 2019

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© 2019 Elsevier B.V.

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Copyright 2019 Elsevier B.V., All rights reserved.

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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.",

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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.

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

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