| |
Aggregate demand shock
|
FTSE100
|
DAX30
|
CAC40
|
TSX60
|
FTSE MIB
|
S&P500
|
N225
|
FROM
|
|---|
|
Aggregate demand shock
|
83.071
|
1.761
|
1.011
|
3.1
|
2.828
|
2.422
|
2.325
|
3.482
|
16.929
|
|
FTSE100
|
0.481
|
26.161
|
0.459
|
18.34
|
15.42
|
9.059
|
17.289
|
12.791
|
73.839
|
|
DAX30
|
1.406
|
1.974
|
87.047
|
1.844
|
3.171
|
1.308
|
2.134
|
1.115
|
12.953
|
|
CAC40
|
0.257
|
19.14
|
0.512
|
27.294
|
11.129
|
8.295
|
19.457
|
13.915
|
72.706
|
|
S&P TSX
|
0.643
|
20.024
|
0.316
|
13.736
|
34.954
|
7.37
|
12.816
|
10.14
|
65.046
|
|
FTSE MIB
|
0.432
|
13.589
|
0.378
|
12.022
|
9.346
|
37.906
|
14.421
|
11.908
|
62.094
|
|
SPY
|
0.421
|
17.605
|
0.257
|
19.016
|
10.089
|
10.168
|
26.532
|
15.914
|
73.468
|
|
N225
|
0.518
|
15.714
|
0.258
|
15.695
|
10.388
|
9.441
|
18.193
|
29.791
|
70.209
|
|
Contribution TO others
|
4.158
|
89.806
|
3.191
|
83.752
|
62.371
|
48.063
|
86.635
|
69.266
|
447.243
|
|
Contribution including own
|
87.229
|
115.968
|
90.238
|
111.046
|
97.325
|
85.968
|
113.167
|
99.058
|
TCI
|
|
Net spillovers
|
− 12.771
|
15.968
|
− 9.762
|
11.046
|
− 2.675
|
− 14.032
|
13.167
|
− 0.942
|
55.905
|
- Results are based on a TVP-VAR with lag length of order 1 and a 10-step-ahead forecast
