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Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model

Rangan Gupta (), Chi Keung Lau and Xin Sheng ()
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Xin Sheng: Huddersfield Business School, University of Huddersfield, Huddersfield, HD1 3DH, United Kingdom

No 201910, Working Papers from University of Pretoria, Department of Economics

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. We find evidence of strong uncertainty spillovers across state borders. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We also find evidence of strong contemporaneous dependence among US states. The results show that the origination of direct edges concentrates on a few states.

Keywords: Uncertainty Spillover; US States; Bayesian Graphical Structural VAR (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2019-02
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