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Financial Innovation

Table 2 Dynamic connectedness of oil supply shock

From: Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

 

Supply Shock

FTSE100

DAX30

CAC40

TSX60

FTSE MIB

S&P500

N225

FROM

Supply shock

88.728

2.176

1.566

1.805

2.103

1.47

1.217

0.934

11.272

FTSE100

0.346

26.294

0.507

18.209

15.455

9.186

17.274

12.729

73.706

DAX30

1.451

2.082

86.556

1.951

3.357

1.257

2.204

1.142

13.444

CAC40

0.49

18.957

0.494

27.319

10.931

8.536

19.379

13.894

72.681

S&P TSX

0.533

20.194

0.34

13.525

35.074

7.521

12.774

10.039

64.926

FTSE MIB

0.421

13.578

0.421

12.221

9.443

37.58

14.468

11.868

62.42

SPY

0.292

17.575

0.278

18.992

10.009

10.356

26.626

15.873

73.374

N225

0.274

15.662

0.26

15.811

10.325

9.476

18.183

30.01

69.99

Contribution TO others

3.806

90.223

3.866

82.514

61.622

47.803

85.499

66.48

441.813

Contribution including own

92.534

116.517

90.421

109.833

96.697

85.383

112.125

96.489

TCI

Net spillovers

 − 7.466

16.517

 − 9.579

9.833

 − 3.303

 − 14.617

12.125

 − 3.511

55.227

  1. Results are based on a TVP-VAR with lag length of order 1 and a 10-step-ahead forecast
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