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Table 5 Static STV interconnectedness at the extreme upper quantile (τ = 0.95)

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

 

PAB

BON

HXB

CMBC

BOB

CEB

SPD

CITIC

CMB

CIB

BoCom

ABC

ICBC

CCB

BOC

FROM

PAB

9.28

6.57

6.88

6.70

6.55

6.46

6.81

7.97

6.38

6.52

5.96

5.86

5.85

6.28

5.94

90.72

BON

7.24

8.67

6.90

6.60

6.51

6.43

6.84

8.08

6.45

6.48

6.09

5.83

5.82

6.25

5.81

91.33

HXB

6.97

6.52

9.00

6.68

6.78

6.49

6.75

8.04

6.21

6.51

5.92

6.02

5.83

6.25

6.05

91.00

CMBC

7.13

6.31

6.88

8.86

6.60

6.66

6.85

8.52

6.14

6.22

6.10

6.03

5.72

6.06

5.92

91.14

BOB

6.74

6.41

6.91

6.73

8.81

6.55

6.67

8.49

6.17

6.22

6.11

5.95

5.83

6.37

6.04

91.19

CEB

6.96

6.43

6.78

6.61

6.56

8.89

6.83

8.06

6.12

6.36

6.13

5.96

5.88

6.29

6.14

91.11

SPD

6.91

6.42

6.95

6.67

6.67

6.56

8.86

8.21

6.18

6.56

6.09

5.78

5.87

6.27

6.00

91.14

CITIC

7.03

6.47

6.87

6.84

6.66

6.80

6.91

10.59

6.05

6.24

6.06

5.82

5.71

6.20

5.76

89.41

CMB

7.08

6.53

6.77

6.68

6.62

6.30

6.70

7.79

8.53

6.55

6.19

5.95

5.91

6.46

5.93

91.47

CIB

7.03

6.44

6.91

6.53

6.56

6.45

6.89

7.99

6.37

8.43

6.13

5.85

5.96

6.44

6.02

91.57

BoCom

6.88

6.28

6.77

6.66

6.70

6.49

6.69

8.33

6.08

6.19

8.52

6.02

5.93

6.24

6.21

91.48

ABC

6.82

6.13

6.78

6.58

6.53

6.50

6.51

7.79

6.09

6.20

6.33

8.92

6.14

6.46

6.23

91.08

ICBC

6.63

6.17

6.85

6.60

6.46

6.47

6.47

7.85

6.26

6.44

6.21

6.15

8.67

6.49

6.28

91.33

CCB

6.88

6.50

6.84

6.41

6.39

6.63

6.61

7.78

6.15

6.62

6.25

6.04

6.13

8.54

6.23

91.46

BOC

6.74

6.20

6.90

6.54

6.59

6.67

6.52

7.85

5.95

6.21

6.38

6.03

6.08

6.32

9.01

90.99

TO

97.04

89.37

96.01

92.83

92.17

91.46

94.05

112.8

86.61

89.33

85.95

83.28

82.65

88.38

84.56

TCI

NET

6.31

− 1.96

5.00

1.69

0.99

0.35

2.91

23.34

− 4.86

− 2.24

− 5.53

− 7.81

− 8.68

− 3.08

− 6.42

91.09%

  1. Results are based on a 200-days rolling-window QVAR model with lag length of order 1 (based on the AIC criterion) and a 10-step-ahead generalized forecast error variance decomposition