Dynamic industry uncertainty networks and the business cycle

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Tác giả: Jozef Barunik, Mattia Bevilacqua, Robert Faff

Ngôn ngữ: eng

Ký hiệu phân loại: 338.542 Business cycles

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 166014

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.
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