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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

    (Department of Health Policy Planning and Management, School of Public Health, University of Health and Allied Sciences, Ghana)

  • Rangan Gupta

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

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.

Suggested Citation

  • Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 188-215, March.
    • Handle: RePEc:aag:wpaper:v:25:y:2021:i:1:p:188-215
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    References listed on IDEAS

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    More about this item

    Keywords

    Connectedness; Economic and Financial Uncertainties; Advanced Economies; Directed Acyclic Graphs;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • 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
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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