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Dynamic industry uncertainty networks and the business cycle

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  • Baruník, Jozef
  • Bevilacqua, Mattia
  • Faff, Robert

Abstract

This paper identifies smoothly varying industry uncertainty networks from option prices that contain valuable information about business cycles, especially in terms of forecasting. Such information is stronger when the network is formed on uncertainty hubs, firms identified as the main contributors to uncertainty shocks. The stronger predictive ability of the hubs-based network is robust to a wide range of checks, the inclusion of a large set of controls, and is also confirmed out-of-sample.

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  • Baruník, Jozef & Bevilacqua, Mattia & Faff, Robert, 2024. "Dynamic industry uncertainty networks and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999
    DOI: 10.1016/j.jedc.2023.104793
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