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

Aviral Tiwari, Micheal Boachie () and Rangan Gupta
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Micheal Boachie: School of Economics, University of Cape Town, Rondebosch 7701, South Africa

No 201982, Working Papers from University of Pretoria, Department of Economics

Abstract: We investigate 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 among macroeconomic and financial uncertainties. 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: C32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2019-12
New Economics Papers: this item is included in nep-mac
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Journal Article: Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory (2021)
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