Dynamic industry uncertainty networks and the business cycle

Jozef Baruník, Mattia Bevilacqua and Robert Faff

Journal of Economic Dynamics and Control, 2024, vol. 159, issue C

Abstract: This paper identifies smoothly varying industry uncertainty networks from option prices that contain valuable information about business cycles, especially in terms of forecasting. Such information is stronger when the network is formed on uncertainty hubs, firms identified as the main contributors to uncertainty shocks. The stronger predictive ability of the hubs-based network is robust to a wide range of checks, the inclusion of a large set of controls, and is also confirmed out-of-sample.

Keywords: Financial uncertainty; Industry network; Options market; Business cycle (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Working Paper: Dynamic industry uncertainty networks and the business cycle (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999

DOI: 10.1016/j.jedc.2023.104793

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