Dynamic industry uncertainty networks and the business cycle

0578729 - ÚTIA 2025 RIV NL eng J - Článek v odborném periodiku
Baruník, Jozef - Bevilacqua, M. - Faff, R.
Dynamic industry uncertainty networks and the business cycle.
Journal of Economic Dynamics & Control. Roč. 159, č. 1 (2024), č. článku 104793. ISSN 0165-1889. E-ISSN 1879-1743
Grant CEP: GA ČR(CZ) GX19-28231X
Institucionální podpora: RVO:67985556
Klíčová slova: Financial uncertainty * Industry network * Options market * Business cycle
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 1.9, rok: 2022
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2023/E/barunik-0578729.pdf https://www.sciencedirect.com/science/article/pii/S0165188923001999?via%3Dihub

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.
Trvalý link: https://hdl.handle.net/11104/0347796