Shock transmissions and business linkages among US sectors

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

Abstract

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.

Citation

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. https://doi.org/10.1007/s10479-022-04979-8

• 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
• DOI: https://doi.org/10.1007/s10479-022-04979-8
• Keywords: Asset pricing; Stock market; Shock transmission; Variance decomposition; Connectedness; Input-Output linkage; Management Science and Operations Research; General Decision Sciences
• Public URL: https://nottingham-repository.worktribe.com/output/10916380
• Publisher URL: https://link.springer.com/article/10.1007/s10479-022-04979-8
• 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.