We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
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48 results for “economic shocks”
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
New framework detects time-varying economic persistence.
problem Time-varying persistence in economic shocks.
method Localized regression techniques to identify evolving heterogeneity.
result Substantial persistence variations align with macroeconomic events.
The interconnected wealth of nations: Shock propagation on global trade-investment multiplex networksphysics.soc-ph
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify shock propagation on the global trade-investment multiplex network. To this aim, w…
Paper uses non-linear dimension reduction for better economic forecasting.
problem Analyzing economic effects of shocks in large datasets.
method Non-linear dimension reduction in factor-augmented vector autoregressions.
result Non-linear dimension reduction techniques improve forecasting, especially in volatile data.
Impact of shocks to economies on the efficiency and robustness of the international pesticide trade networksphysics.soc-ph
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
problem Economic shocks impact the efficiency and robustness of international pesticide trade networks.
method Simulations were used to quantify efficiency and robustness under different economic shocks. Three strategies were tested: descending, random, and ascending node removal.
result The international pesticide trade networks became more efficient and robust except for clustering coefficient. Import-oriented economies were more vulnerable to shocks.
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the m…
SOC theory explains financial volatility and economic shocks.
problem Excess volatility and small shocks causing large disruptions.
method Explains system behavior at critical point with fat-tailed fluctuations.
result SOC theory offers a plausible solution to financial market volatility.
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of recession and recovery. We then argue that this equation is the response function of the economy to isolated shocks, hence…
Study recovers investor preferences from portfolio data using synthetic data and robust optimization.
problem Recovering latent investor preferences from observed portfolio allocations under uncertainty.
method Inverse portfolio optimization framework integrating robust optimization and regret-based inference.
result Accurate recovery of transaction cost parameters and partial identifiability of ESG penalties under preference misspecification and market shocks.
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm and sector level. We describe such fluctuations as independent Lévy-stable fluctu…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an e…
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
problem Optimal timing for converting retirement wealth into annuities under a mortality risk.
method Derives explicit closed-form solutions for value function and optimal stopping boundaries.
result The optimal strategy depends on the interplay between annuity attractiveness, investment returns, and bequest motives.
Risk in Network Economiesecon.GN
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
problem Network models assume idiosyncratic risk, which can be unrealistic and lead to incorrect predictions.
method Proposed a production-based asset pricing model to account for substitutability between trade partners and correlation in supply and demand shocks.
result Assets positively exposed to average propagation of upstream and downstream shocks earn lower average risk premia.
New method disentangles shock diffusion on complex networks using graph planarity.
problem Difficult to identify shock sources and destinations in complex network dynamics.
method Combines vector autoregression with graph planarity to uniquely characterize shock propagation.
result Planarity of network allows statistical estimation of shock propagation paths.
Emerging economies use countercyclical policies to manage crises and dominant currencies.
problem Managing economic crises and fluctuations in dominant currencies like USD and EUR.
method Theoretical analysis, case studies, econometric modeling.
result Emerging economies can stabilize growth with countercyclical monetary policies.
Paper forecasts commodity price spikes using AI and economic news.
problem Accurate forecasting of commodity price spikes for economic stability.
method Hybrid framework combining historical data and semantic signals from economic news.
result Model achieves high AUC and accuracy in detecting price shocks.
Study on identifying and inferring nonlinear dynamics on unknown networks.
problem Identifying network structure in nonlinear dynamic systems with unknown interactions.
method Showed network structure is not generically identified, requiring sufficient spectral heterogeneity. Developed necessary and sufficient conditions for identification and proposed a semiparametric estimator.
result Necessary and sufficient conditions for identification of network structure in nonlinear dynamic systems.
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized desc…
Study examines how BRICS nations' economies respond to COVID-19.
problem Impact of COVID-19 on BRICS nations' economic indicators.
method Structural variable autoregression (SVAR) to analyze growth, exchange rate, and stock market data.
result COVID-19 shock to exchange rate growth persists for 10+ days, stock market growth for 15 days.
News sentiment in U.S. economic newspapers has become more persistent over 45 years.
problem Understanding the temporal dynamics of U.S. economic news sentiment over time.
method Daily economic news sentiment index from 1980-2025, analyzed using sentiment indexes.
result News sentiment states have become more persistent, with longer residence times in optimistic or pessimistic regimes.
Bayesian model uses mobile data to assess business resilience after hurricanes.
problem Evaluating economic impact of extreme shocks on businesses.
method Bayesian structural time series model with mobile phone data.
result Estimates business resilience after hurricanes, revealing key characteristics.
Model predicts real-time job applicant numbers for regional economic analysis.
problem Real-time economic analysis using alternative data.
method Mixed-Frequency Aggregate Learning (MF-AGL) model.
result Model accurately predicts regional labor market conditions and economic status changes.
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
Study models systemic risks in BRICS banks under geopolitical shocks.
problem Systemic risks in BRICS banks under geopolitical shocks.
method Dynamic Time Warping, Temporal Graph Neural Network, Agent-Based Model.
result Geopolitical shocks cause more systemic damage than bank failures.
Sandpile Economics: Theory, Identification, and Evidencephysics.soc-ph
Sandpile Economics explains how economies can be prone to large crises from small shocks.
problem Capitalist economies' recurrent crises disproportionate to shocks.
method Formal framework interpreting instability as geometric fragility of production networks.
result Curvature of production networks predicts medium-run output dynamics and resilience.
Reconstructing an economic space from a market metriccond-mat.stat-mech
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Example were worked out involving sets…
HSR reduces analyst earnings forecast errors by lowering travel friction.
problem How HSR connectivity affects analyst earnings forecast errors in China.
method Firm-year panel data from 2008-2019; placebo test to rule out pre-existing trends.
result HSR reduces analyst earnings forecast errors after connectivity, not before.
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical mechanics and Laplacian determinism we develop a model that can predict the respons…
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motion but is subject to liquidity shocks, during which no trading is possible and stock dynamics are modified. The liquidity…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the interbank lending market as an important diffusion channel for financial distress d…
The initial theoretical connections between Leontief input-output models and Markov chains were established back in 1950s. However, considering the wide variety of mathematical properties of Markov chains, there has not been a full investigation of evolving world economic networks with Markov chain formalism. Using the…
When studying social, economic and biological systems, one has often access to only limited information about the structure of the underlying networks. An example of paramount importance is provided by financial systems: information on the interconnections between financial institutions is privacy-protected, dramatical…
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two key stylized features of global markets during presumptive contagion periods: s…
Enhances FAVAR models with autoencoder for better economic forecasting and interpretability.
problem Limitations of linear FAVAR models in forecasting and structural analysis.
method Introduces Grouped Sparse autoencoder with time-varying parameters.
result The Grouped Sparse autoencoder produces more interpretable factors and superior forecasting performance.
Reverse Stress Testing for Multivariate Scenarios: A Conditional Framework for Stressed Time Seriesq-fin.RM
Develops a method for reverse stress testing in multivariate scenarios.
problem Reconstructing a multivariate stress scenario from a single exogenous shock.
method Maximizing conditional density under three distributional assumptions.
result Simulated scenarios are economically coherent and reproduce risk-reward asymmetry.
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respect…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
Study shows climate change can cause a 'run on fossil fuels' affecting prices and production.
problem Impact of climate change expectations on fossil fuel markets and prices.
method Dynamic, general equilibrium model of climate-change-linked transition risk.
result Climate change expectations can lead to either increased or decreased fossil fuel prices, depending on economic responses.
Study shows Bitcoin security tied to mining rewards and prices.
problem Understanding Bitcoin security's dependency on market outcomes.
method Used ARDL approach with daily blockchain and Bitcoin data from 2014-2019.
result Bitcoin security outcomes linked to Bitcoin price and mining rewards.
Paper finds significant impact of stock market swings on equity risk premium predictability.
problem Predicting equity risk premium based on stock market behavior changes.
method Introduced Bullish Index and used FDMAA for returns analysis; considered 28 indicators.
result Positive shocks in Bullish Index correlate with strong equity risk premium predictability for up to six months, while negative shocks correlate for up to nine months.
On the topologic structure of economic complex networks: Empirical evidence from large scale payment network of Estoniaphysics.soc-ph
This paper presents the first topological analysis of the economic structure of an entire country based on payments data obtained from Swedbank. This data set is exclusive in its kind because around 80% of Estonia's bank transactions are done through Swedbank, hence, the economic structure of the country can be reconst…
The paper aims to explore the impacts of bi-demographic structure on the current account and growth. Using a SVAR modeling, we track the dynamic impacts between these underlying variables. New insights have been developed about the dynamic interrelation between population growth, current account and economic growth. Th…
This study shows how trade policy uncertainty affects stock-T bill correlations.
problem The impact of trade policy uncertainty on stock-T bill relationships.
method Extended Dynamic Conditional Correlation (DCC) framework incorporating exogenous variables.
result Trade policy uncertainty significantly alters stock-T bill correlations, especially under specific political conditions.
The Tech Decouplingq-fin.ST
Tech sector decouples from non-tech sectors post-2015, predicting economic growth.
problem Understanding the relationship between technology and economic growth.
method ARIMA modeling, stationarity tests, data wrangling, exploratory data analysis.
result The technology sector decouples from non-technology sectors post-2015 and predicts economic growth.
The study reveals asymmetries in US financial shocks' international impacts.
problem Analyzing nonlinearities in international financial spillovers.
method Developed a flexible nonlinear multi-country model to capture asymmetries in responses to financial shocks.
result Adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks.
Model explains money creation under regulatory constraints.
problem Understanding money creation dynamics under regulatory pressures.
method Agent-based model of secured interbank network.
result Excess liquidity and repurchase agreements emerge due to regulatory constraints.
Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The properties of food trade networks are still poorly documented, especially from a multi-network perspective. In particular,…