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

Author

Listed:
  • Aviral Kumar Tiwari

    () (Rajagiri Business School, Rajagiri Valley Campus, Kochi, Kerala, India)

  • Micheal Kofi Boachie

    () (School of Economics, University of Cape Town, Rondebosch 7701, South Africa)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

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.

Suggested Citation

  • Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2019. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Working Papers 201982, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201982
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Connectedness; Economic and Financial Uncertainties; Advanced Economies; Directed Acyclic Graphs;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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