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Financial Innovation
Fig. 1 | Financial Innovation

Fig. 1

From: Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness

Fig. 1

Net pairwise directional STV interconnectedness network at different quantiles over the full-sample period. a–c Present results of net pairwise directional STV interconnectedness at median (τ = 0.5), lower (τ = 0.05) and upper (τ = 0.95) quantile conditions. The size of the nodes signifies the extent of the spillover effect, and the color of the nodes specifies whether a C-SIB is a net transmitter (steel blue) or receiver (gold) of spillovers. The thickness of the edges represents the strength of spillover towards other C-SIBs, while the direction of the arrows specifies the direction of pairwise spillovers. Note: Results are based on a 200-days rolling-window QVAR model with a lag length of order one (based on the AIC criterion) and a 10-step-ahead generalized forecast error variance decomposition

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