학술논문
Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory
Document Type
redif-paper
Source
University of Pretoria, Department of Economics, Working Papers.
Subject
Language
English
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.