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Shock transmissions and business linkages among US sectors

Nguyen, Linh Xuan Diep; Chevapatrakul, Thanaset; Mateut, Simona

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Linh Xuan Diep Nguyen

Professor of Financial Economics


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.


Nguyen, L. X. D., Chevapatrakul, T., & Mateut, S. (2023). Shock transmissions and business linkages among US sectors. Annals of Operations Research, 330(1-2), 517-552.

Journal Article Type Article
Acceptance Date Sep 6, 2022
Online Publication Date Dec 5, 2022
Publication Date Nov 1, 2023
Deposit Date Sep 8, 2022
Publicly Available Date Dec 6, 2023
Journal Annals of Operations Research
Print ISSN 0254-5330
Electronic ISSN 1572-9338
Publisher Springer Verlag
Peer Reviewed Peer Reviewed
Volume 330
Issue 1-2
Pages 517-552
Keywords Asset pricing; Stock market; Shock transmission; Variance decomposition; Connectedness; Input-Output linkage; Management Science and Operations Research; General Decision Sciences
Public URL
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Additional Information Accepted: 6 September 2022; First Online: 5 December 2022; The authors have no conflicts of interest to declare that are relevant to the content of this article.


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