Dynamic industry uncertainty networks and the business cycle
Abstrak
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we uncover an uncertainty hub role for the communications, industrials and information technology sectors, while shocks to materials, real estate and utilities do not create strong linkages in the network. Moreover, we find that this ex-ante network of uncertainty is a useful predictor of business cycles, especially when it is based on uncertainty hubs. The industry uncertainty network behaves counter-cyclically in that a tighter network tends to associate with future business cycle contractions.
Topik & Kata Kunci
Penulis (3)
Jozef Barunik
Mattia Bevilacqua
Robert Faff
Akses Cepat
- Tahun Terbit
- 2021
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓