Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory

Aviral Tiwari, Micheal Kofi Boachie and Rangan Gupta
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Micheal Kofi Boachie: Department of Health Policy Planning and Management, School of Public Health, University of Health and Allied Sciences, Ghana

Advances in Decision Sciences, 2021, vol. 25, issue 1, 188-215

Abstract: The paper investigates the nonlinear dependencies and interconnectedness of macroeconomic and financial uncertainties in 11 developed countries. The study applies structure learning with weakly additive noise model using Directed Acyclic Graphs (DAGs) to data covering 1997:01 to 2017:09. The results indicate the existence of nonlinear dependencies of macroeconomic and financial uncertainties among the 11 advanced economies considered. That an increased macroeconomic and financial uncertainty in a particular economy affects other economies. Overall, Spain happens to be a major receiver of macroeconomic and financial uncertainties from the other developed economies. The findings call for macroprudential policies to ensure stability in these economies.

Keywords: Connectedness; Economic and Financial Uncertainties; Advanced Economies; Directed Acyclic Graphs (search for similar items in EconPapers)
JEL-codes: B26 C32 C58 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (29)

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Related works:
Working Paper: Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:aag:wpaper:v:25:y:2021:i:1:p:188-215

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