Shock transmissions and business linkages among US sectors

This paper examines the shock spillovers between US sectors and their dependence on the intersectoral business linkages. Our forecast error variance decompositions reveal significant shock transmissions among trading sectors, especially in turbulent periods such as the financial crisis and the COVID...

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Autores principales: Nguyen, Linh Xuan Diep, Chevapatrakul, Thanaset, Mateut, Simona
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734630/
https://www.ncbi.nlm.nih.gov/pubmed/36533274
http://dx.doi.org/10.1007/s10479-022-04979-8
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author Nguyen, Linh Xuan Diep
Chevapatrakul, Thanaset
Mateut, Simona
author_facet Nguyen, Linh Xuan Diep
Chevapatrakul, Thanaset
Mateut, Simona
author_sort Nguyen, Linh Xuan Diep
collection PubMed
description This paper examines the shock spillovers between US sectors and their dependence on the intersectoral business linkages. Our forecast error variance decompositions reveal significant shock transmissions among trading sectors, especially in turbulent periods such as the financial crisis and the COVID-19 pandemic. The dymamics of shock spillovers reflect the impacts of the pandemic on economic sectors. Shock spillovers are shown to be influenced by the strength of the intersectoral trading relationships. Shocks to a sector’s important supplier have a strong impact on the forecast error variance of the sector’s stock return. The total directional spillovers from/ to a sector are linked with the number of close commercial linkages between that sector and other sectors. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s10479-022-04979-8.
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spelling pubmed-97346302022-12-12 Shock transmissions and business linkages among US sectors Nguyen, Linh Xuan Diep Chevapatrakul, Thanaset Mateut, Simona Ann Oper Res Original Research This paper examines the shock spillovers between US sectors and their dependence on the intersectoral business linkages. Our forecast error variance decompositions reveal significant shock transmissions among trading sectors, especially in turbulent periods such as the financial crisis and the COVID-19 pandemic. The dymamics of shock spillovers reflect the impacts of the pandemic on economic sectors. Shock spillovers are shown to be influenced by the strength of the intersectoral trading relationships. Shocks to a sector’s important supplier have a strong impact on the forecast error variance of the sector’s stock return. The total directional spillovers from/ to a sector are linked with the number of close commercial linkages between that sector and other sectors. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s10479-022-04979-8. Springer US 2022-12-05 /pmc/articles/PMC9734630/ /pubmed/36533274 http://dx.doi.org/10.1007/s10479-022-04979-8 Text en © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Original Research
Nguyen, Linh Xuan Diep
Chevapatrakul, Thanaset
Mateut, Simona
Shock transmissions and business linkages among US sectors
title Shock transmissions and business linkages among US sectors
title_full Shock transmissions and business linkages among US sectors
title_fullStr Shock transmissions and business linkages among US sectors
title_full_unstemmed Shock transmissions and business linkages among US sectors
title_short Shock transmissions and business linkages among US sectors
title_sort shock transmissions and business linkages among us sectors
topic Original Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734630/
https://www.ncbi.nlm.nih.gov/pubmed/36533274
http://dx.doi.org/10.1007/s10479-022-04979-8
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