Network analysis of economic and financial uncertainties in advanced economies : evidence from graph-theory
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Date
Authors
Tiwari, Aviral Kumar
Boachie, Micheal Kofi
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Hindawi
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.
Description
Keywords
Connectedness, Advanced economies, Economic uncertainty, Financial uncertainty, Directed acyclic graphs (DAGs)
Sustainable Development Goals
Citation
Tiwari, A.K., Boachie, M.K. & Gupta, R. 2021, 'Network analysis of economic and financial uncertainties in advanced economies : evidence from graph-theory', Advances in Decision Sciences, vol. 25, no. 1, pp. 1-27.