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

Rangan Gupta, Chi Keung Lau and Xin Sheng

Physica A: Statistical Mechanics and its Applications, 2020, vol. 540, issue C

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.

Keywords: Uncertainty spillover; Macroeconomic uncertainty; US states; Bayesian graphical structural VAR (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317315

DOI: 10.1016/j.physa.2019.123064

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