Related papers: Causal Links Between US Economic Sectors
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
The Great Recession highlighted the role of financial and uncertainty shocks as drivers of business cycle fluctuations. However, the fact that uncertainty shocks may affect economic activity by tightening financial conditions makes…
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative returns for the S&P500 stock market index…
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a…
We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to…
We investigate how crises alter societies by analyzing the timing and channels of change using a longitudinal multi-wave survey of a representative sample of Americans throughout 2020. This methodology allows us to overcome some of the…
There is bountiful evidence that political uncertainty stemming from presidential elections or doubt about the direction of future policy make financial markets significantly volatile, especially in proximity to close elections or elections…
We argue that the present crisis and stalling economy continuing since 2007 are rooted in the delusionary belief in policies based on a "perpetual money machine" type of thinking. We document strong evidence that, since the early 1980s,…
We consider weighted directed networks for analysing, over the period 2000-2013, the interdependencies between volatilities of a large panel of stocks belonging to the S\&P100 index. In particular, we focus on the so-called {\it Long-Run…
The European Credit Research Institute Research Report 2013 identifies Households debt "rapid increase and abrupt retrenchment" among the causes of macroeconomic instability in the European Union after 2008. In our research: i) we accessed…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we…
The COVID-19 pandemic reignited debate on the U.S. Phillips curve. Using MSA-level panel data (2001-2024), we employ a Two-Stage Least Squares (2SLS) instrumental variable strategy with a shift-share instrument to estimate core non-tradable…
This paper introduces a novel concept of impulse response decomposition to disentangle the dynamic contributions of the mediator variables in the transmission of structural shocks. We justify our decomposition by drawing on causal mediation…
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…
In the face of a pandemic, urban protests, and an affordability crisis, is the desirability of dense urban settings at a turning point? Assessing cities' long term trends remains challenging. The first part of this chapter describes the…
The COVID-19 pandemic has had serious impacts on the airline industry. Ensuring that aviation policies in emergent situations both guarantee network connectivity and maintain competition among airlines is crucial in these circumstances. To…
This paper is part of the Global Income Dynamics Project cross-country comparison of earnings inequality, volatility, and mobility. Using data from the U.S. Census Bureau's Longitudinal Employer-Household Dynamics (LEHD) infrastructure…