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Financial Innovation

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
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