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Persistence in Economic Networks

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  • Jozef Barunik
  • Michael Ellington

Abstract

This paper studies heterogeneous network structures driven by different degrees of persistence in economic connections. Using frequency domain techniques, we introduce measures that characterize network connections stemming from transitory and persistent components of shocks. Our approach permits testing for statistical differences in such connections that evolve over time. We estimate uncertainty networks from the main US sectors and argue that they track transitory and persistent sources of systemic risk. Hence they may serve as a useful tool for macro-prudential supervisors and investors alike.

Suggested Citation

  • Jozef Barunik & Michael Ellington, 2020. "Persistence in Economic Networks," Papers 2007.07842, arXiv.org, revised Nov 2021.
  • Handle: RePEc:arx:papers:2007.07842
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    Cited by:

    1. Mykola Babiak & Jozef Barunik, 2021. "Currency Network Risk," Papers 2101.09738, arXiv.org, revised Jul 2021.
    2. Jozef Barunik & Mattia Bevilacqua & Robert Faff, 2021. "Dynamic industry uncertainty networks and the business cycle," Papers 2101.06957, arXiv.org, revised Mar 2021.

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