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Table 3 Dynamic connectedness of oil aggregate demand shock

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

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