Modeling and Analysis of the Lead-Lag Network of Economic Indicators (2310.16283v1)

Abstract: We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock index, average unemployment, and several variables that are used to calculate inflation. Three complex networks are created, with these variables and several lags of each as the network nodes. Network edges are weighted based on three relationship metrics: correlation, mutual information, and transfer entropy. In each network, nodes are merged, and edges are aggregated to simplify the weighted directed graph. Pagerank is used to determine the most influential and the most influenced node over the time period. Results were reasonably robust within each network, but they were heavily dependent on the choice of metric.