| |
China
|
France
|
Germany
|
Italy
|
Russia
|
Spain
|
UK
|
US
|
From
|
|---|
|
China
|
69.304
|
4.609
|
4.442
|
3.614
|
2.936
|
4.179
|
4.797
|
6.118
|
30.696
|
|
France
|
1.106
|
22.099
|
18.598
|
15.393
|
4.371
|
15.944
|
14.243
|
8.247
|
77.901
|
|
Germany
|
1.101
|
19.693
|
23.364
|
15.263
|
3.749
|
15.359
|
13.306
|
8.165
|
76.636
|
|
Italy
|
0.858
|
17.194
|
16.099
|
24.878
|
3.976
|
18.076
|
11.794
|
7.124
|
75.122
|
|
Russia
|
1.982
|
9.146
|
7.421
|
7.449
|
48.6
|
7.613
|
10.332
|
7.457
|
51.4
|
|
Spain
|
0.932
|
17.463
|
15.878
|
17.761
|
4.061
|
24.426
|
11.999
|
7.48
|
75.574
|
|
UK
|
1.344
|
16.886
|
14.854
|
12.518
|
5.752
|
13.083
|
26.322
|
9.242
|
73.678
|
|
USA
|
1.512
|
12.432
|
11.543
|
10.064
|
5.046
|
10.305
|
10.858
|
38.24
|
61.76
|
|
Contribution to others
|
8.835
|
97.423
|
88.835
|
82.063
|
29.892
|
84.559
|
77.327
|
53.833
|
522.767
|
|
Contribution including own
|
78.14
|
119.522
|
112.199
|
106.941
|
78.491
|
108.985
|
103.649
|
92.074
|
TCI
|
|
Net spillovers
|
-21.86
|
19.522
|
12.199
|
6.941
|
-21.50
|
8.985
|
3.649
|
-7.926
|
65.346
|
- This table reports the variance decompositions for the estimated TVP-VAR model addressing different stock market returns. Variance decompositions are based on 10-step-ahead forecasts and a TVP-VAR lag length of order 1. The terms “Contribution to others” indicate the measure of the directional connectedness that a given variable i transmits its shock to all other variables j, following Eq. (9). The term “From” indicates the measure of the directional connectedness that a given variable i receives the shocks from all other variables j, following Eq. (8). “Net spillovers” means the difference between the two directional connectedness following Eq. (10). TCI indicates the total connectedness following Eq. (7)
