Dynamic industry uncertainty networks and the business cycle

Baruník, Jozef, Bevilacqua, Mattia ORCID: 0000-0003-3856-2001 and Faff, Robert (2024) Dynamic industry uncertainty networks and the business cycle. Journal of Economic Dynamics and Control, 159. p. 104793.

Text Dynamic_Industry_Uncertainty_JEDC_final.pdf - Author Accepted Manuscript Access to this file is embargoed until 24 November 2025. Download (924kB)

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.

Item Type:	Article
Uncontrolled Keywords:	Financial Uncertainty, Industry Network, Options Market, Business Cycle
Divisions:	Faculty of Humanities and Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	31 Jan 2024 09:07
Last Modified:	31 Jan 2024 09:07
DOI:	10.1016/j.jedc.2023.104793
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3178036