Shock transmissions and business linkages among US sectors
研究了美国经济部门间冲击的溢出效应及其对部门间商业关联的依赖，发现交易部门间冲击传导显著，尤其在金融危机和新冠疫情期间，且冲击溢出受部门间贸易关系强度影响。
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.