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Bibliography

Journal Article

Dynamic industry uncertainty networks and the business cycle

Baruník Jozef, Bevilacqua M., Faff R.

: Journal of Economic Dynamics & Control vol.159, 104793

: GX19-28231X, GA ČR

: Financial uncertainty, Industry network, Options market, Business cycle

: 10.1016/j.jedc.2023.104793

: http://library.utia.cas.cz/separaty/2023/E/barunik-0578729.pdf

: https://www.sciencedirect.com/science/article/pii/S0165188923001999?via%3Dihub

(eng): 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.

: AH

: 50202

2019-01-07 08:39