| |
Net spillovers
|
TCI
|
|---|
|
China
|
France
|
Germany
|
Italy
|
Russia
|
Spain
|
UK
|
US
|
|---|
|
Returns
|
|
\(k = 1\)
|
−21.86
|
19.522
|
12.199
|
6.941
|
−21.509
|
8.985
|
3.649
|
−7.926
|
65.346
|
|
\(k = 2\)
|
−22.16
|
19.457
|
11.983
|
7.568
|
−21.682
|
9.451
|
3.992
|
−8.609
|
65.747
|
|
\(k = 3\)
|
−24.241
|
19.847
|
12.754
|
7.951
|
−21.72
|
8.693
|
1.682
|
−4.966
|
66.033
|
|
\(k = 4\)
|
−24.888
|
20.192
|
12.572
|
8.018
|
−21.259
|
8.779
|
2.696
|
−6.111
|
66.646
|
|
\(k = 5\)
|
−27.521
|
20.388
|
13.076
|
8.267
|
−20.806
|
9.377
|
3.879
|
−6.661
|
67.491
|
|
Positive returns
|
|
\(k = 1\)
|
−16.885
|
18.911
|
12.268
|
6.062
|
−20.077
|
7.234
|
1.894
|
−9.406
|
61.378
|
|
\(k = 2\)
|
−18.905
|
19.165
|
11.719
|
6.899
|
−20.444
|
7.741
|
3.573
|
−9.748
|
62.452
|
|
\(k = 3\)
|
−13.386
|
18.667
|
10.69
|
4.896
|
−19.964
|
7.244
|
0.301
|
−8.447
|
59.999
|
|
\(k = 4\)
|
−16.58
|
18.404
|
10.899
|
5.715
|
−19.541
|
7.83
|
0.561
|
−7.288
|
60.907
|
|
\(k = 5\)
|
−17.39
|
18.053
|
10.441
|
6.335
|
−20.001
|
8.289
|
0.754
|
−6.481
|
61.869
|
|
Negative returns
|
|
\(k = 1\)
|
−30.015
|
21.141
|
13.197
|
7.796
|
−20.678
|
10.021
|
−0.929
|
−0.532
|
66.516
|
|
\(k = 2\)
|
−27.667
|
20.847
|
13.23
|
8.035
|
−21.479
|
9.496
|
0.121
|
−2.582
|
66.565
|
|
\(k = 3\)
|
−28.208
|
19.29
|
10.69
|
9.633
|
−16.894
|
9.068
|
−2.017
|
−1.561
|
63.988
|
|
\(k = 4\)
|
−27.422
|
18.559
|
11.209
|
10.035
|
−17.457
|
9.475
|
−1.783
|
−2.616
|
64.428
|
|
\(k = 5\)
|
−29.064
|
18.888
|
11.153
|
10.673
|
−18.446
|
9.631
|
−0.651
|
−2.185
|
65.341
|
- This table contains the averages of the dynamic total and net spillover indices based on the TVP-VAR model with lag order between 1 and 5
