Average connectedness of crude oil and agricultural commodities, COVID-19 outbreak, India (11 March 2020 to 23 February 2022)
| Commodity . | Bajra . | Barley . | Cotton . | Turmeric . | Coriander . | Jeera . | Soybean . | Soy oil . | Mustard . | Crude oil . | From . |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bajra | 76.82 | 8.2 | 2.26 | 1.66 | 1.05 | 3.95 | 1.52 | 1.66 | 1.57 | 1.33 | 23.18 |
| (62.31) | (6.79) | (2.03) | (1.34) | (0.74) | (3.64) | (1.17) | (1.49) | (1.31) | (0.96) | (19.46) | |
| {14.5} | {1.4} | {0.24} | {0.32} | {0.31} | {0.31} | {0.34} | {0.17} | {0.26} | {0.37} | {3.72} | |
| Barley | 7.46 | 72.56 | 1.73 | 3.93 | 2.11 | 2.46 | 3.07 | 3.3 | 3.11 | 0.28 | 27.44 |
| (5.57) | (53.03) | (1.41) | (2.77) | (1.5) | (2.1) | (2.34) | (2.72) | (2.33) | (0.19) | (20.92) | |
| {1.89} | {19.53} | {0.32} | {1.16} | {0.61} | {0.37} | {0.74} | {0.58} | {0.78} | {0.08} | {6.52} | |
| Cotton | 1.75 | 6.92 | 64.52 | 4.3 | 1.31 | 3.95 | 6.2 | 8.03 | 1.23 | 1.8 | 35.48 |
| (1.33) | (4.38) | (49) | (3.21) | (1.19) | (3.42) | (5.6) | (7.48) | (1.06) | (1.33) | (29) | |
| {0.42} | {2.54} | {15.52} | {1.09} | {0.11} | {0.52} | {0.6} | {0.55} | {0.17} | {0.47} | {6.47} | |
| Turmeric | 1.94 | 3.7 | 4.98 | 71.52 | 6.62 | 5.13 | 1.57 | 2.27 | 1.32 | 0.95 | 28.48 |
| (1.82) | (2.79) | (3.41) | (53.01) | (4.93) | (4.16) | (1.1) | (1.75) | (1.01) | (0.69) | (21.65) | |
| {0.12} | {0.9} | {1.57} | {18.52} | {1.7} | {0.97} | {0.47} | {0.53} | {0.3} | {0.26} | {6.82} | |
| Coriander | 0.59 | 3.51 | 1.3 | 7.57 | 69.21 | 7.7 | 4.34 | 3.29 | 1.99 | 0.49 | 30.79 |
| (0.49) | (3.28) | (0.98) | (4.93) | (54.43) | (6.12) | (3.17) | (2.41) | (1.67) | (0.37) | (23.41) | |
| {0.1} | {0.23} | {0.32} | {2.64} | {14.78} | {1.58} | {1.18} | {0.88} | {0.32} | {0.12} | {7.37} | |
| Jeera | 3.06 | 2.34 | 3.98 | 7.2 | 7.57 | 68.52 | 1.65 | 2.4 | 1.93 | 1.35 | 31.48 |
| (1.96) | (1.79) | (3.05) | (6.21) | (5.74) | (54.75) | (1.09) | (2.06) | (1.76) | (1.31) | (24.97) | |
| {1.1} | {0.55} | {0.93} | {0.99} | {1.83} | {13.77} | {0.56} | {0.34} | {0.17} | {0.04} | {6.52} | |
| Soybean | 0.93 | 3.08 | 3.26 | 1.22 | 1.71 | 1.2 | 55.49 | 28.05 | 4.78 | 0.27 | 44.51 |
| (0.71) | (2.49) | (2.42) | (0.9) | (1.32) | (0.89) | (42.56) | (22.48) | (3.88) | (0.2) | (35.28) | |
| {0.22} | {0.58} | {0.85} | {0.32} | {0.39} | {0.32} | {12.93} | {5.58} | {0.9} | {0.07} | {9.23} | |
| Soy oil | 0.88 | 3.18 | 4.11 | 1.72 | 1.35 | 1.65 | 26.68 | 52.17 | 7.57 | 0.7 | 47.83 |
| (0.71) | (2.76) | (3.06) | (1.19) | (1.09) | (1.23) | (20.85) | (39.53) | (5.77) | (0.45) | (37.12) | |
| {0.17} | {0.42} | {1.04} | {0.53} | {0.26} | {0.41} | {5.82} | {12.65} | {1.8} | {0.25} | {10.71} | |
| Mustard | 0.75 | 3.54 | 0.98 | 1.24 | 2.09 | 1.38 | 5.74 | 9.79 | 74.08 | 0.42 | 25.92 |
| (0.62) | (2.45) | (0.87) | (1.05) | (1.56) | (1.18) | (4.42) | (7.6) | (60.15) | (0.35) | (20.1) | |
| {0.13} | {1.08} | {0.11} | {0.19} | {0.53} | {0.2} | {1.32} | {2.2} | {13.93} | {0.07} | {5.81} | |
| Crude oil | 1.76 | 3.49 | 13.6 | 1.92 | 1.1 | 1.32 | 3.08 | 2.93 | 1.17 | 69.62 | 30.38 |
| (1.67) | (2.55) | (12.12) | (1.68) | (0.81) | (1) | (2.88) | (2.67) | (1.06) | (60.44) | (26.44) | |
| {0.09} | {0.94} | {1.48} | {0.25} | {0.29} | {0.32} | {0.19} | {0.26} | {0.12} | {9.18} | {3.94} | |
| To | 19.12 | 37.94 | 36.2 | 30.75 | 24.9 | 28.74 | 53.85 | 61.73 | 24.67 | 7.58 | TCI |
| (14.88) | (29.29) | (29.34) | (23.27) | (18.88) | (23.72) | (42.61) | (50.65) | (19.86) | (5.86) | ||
| {4.23} | {8.65} | {6.87} | {7.48} | {6.02} | {5.01} | {11.23} | {11.08} | {4.81} | {1.72} | ||
| Net | −4.07 | 10.5 | 0.73 | 2.28 | −5.89 | −2.74 | 9.34 | 13.91 | −1.25 | −22.8 | 32.55 |
| −(4.58) | (8.37) | (0.33) | (1.62) | −(4.54) | −(1.24) | (7.34) | (13.54) | −(0.25) | −(20.58) | (25.84) | |
| {0.51} | {2.13} | {0.39} | {0.66} | −{1.35} | −{1.5} | {2} | {0.37} | −{1} | −{2.22} | {6.71} |
| Commodity . | Bajra . | Barley . | Cotton . | Turmeric . | Coriander . | Jeera . | Soybean . | Soy oil . | Mustard . | Crude oil . | From . |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bajra | 76.82 | 8.2 | 2.26 | 1.66 | 1.05 | 3.95 | 1.52 | 1.66 | 1.57 | 1.33 | 23.18 |
| (62.31) | (6.79) | (2.03) | (1.34) | (0.74) | (3.64) | (1.17) | (1.49) | (1.31) | (0.96) | (19.46) | |
| {14.5} | {1.4} | {0.24} | {0.32} | {0.31} | {0.31} | {0.34} | {0.17} | {0.26} | {0.37} | {3.72} | |
| Barley | 7.46 | 72.56 | 1.73 | 3.93 | 2.11 | 2.46 | 3.07 | 3.3 | 3.11 | 0.28 | 27.44 |
| (5.57) | (53.03) | (1.41) | (2.77) | (1.5) | (2.1) | (2.34) | (2.72) | (2.33) | (0.19) | (20.92) | |
| {1.89} | {19.53} | {0.32} | {1.16} | {0.61} | {0.37} | {0.74} | {0.58} | {0.78} | {0.08} | {6.52} | |
| Cotton | 1.75 | 6.92 | 64.52 | 4.3 | 1.31 | 3.95 | 6.2 | 8.03 | 1.23 | 1.8 | 35.48 |
| (1.33) | (4.38) | (49) | (3.21) | (1.19) | (3.42) | (5.6) | (7.48) | (1.06) | (1.33) | (29) | |
| {0.42} | {2.54} | {15.52} | {1.09} | {0.11} | {0.52} | {0.6} | {0.55} | {0.17} | {0.47} | {6.47} | |
| Turmeric | 1.94 | 3.7 | 4.98 | 71.52 | 6.62 | 5.13 | 1.57 | 2.27 | 1.32 | 0.95 | 28.48 |
| (1.82) | (2.79) | (3.41) | (53.01) | (4.93) | (4.16) | (1.1) | (1.75) | (1.01) | (0.69) | (21.65) | |
| {0.12} | {0.9} | {1.57} | {18.52} | {1.7} | {0.97} | {0.47} | {0.53} | {0.3} | {0.26} | {6.82} | |
| Coriander | 0.59 | 3.51 | 1.3 | 7.57 | 69.21 | 7.7 | 4.34 | 3.29 | 1.99 | 0.49 | 30.79 |
| (0.49) | (3.28) | (0.98) | (4.93) | (54.43) | (6.12) | (3.17) | (2.41) | (1.67) | (0.37) | (23.41) | |
| {0.1} | {0.23} | {0.32} | {2.64} | {14.78} | {1.58} | {1.18} | {0.88} | {0.32} | {0.12} | {7.37} | |
| Jeera | 3.06 | 2.34 | 3.98 | 7.2 | 7.57 | 68.52 | 1.65 | 2.4 | 1.93 | 1.35 | 31.48 |
| (1.96) | (1.79) | (3.05) | (6.21) | (5.74) | (54.75) | (1.09) | (2.06) | (1.76) | (1.31) | (24.97) | |
| {1.1} | {0.55} | {0.93} | {0.99} | {1.83} | {13.77} | {0.56} | {0.34} | {0.17} | {0.04} | {6.52} | |
| Soybean | 0.93 | 3.08 | 3.26 | 1.22 | 1.71 | 1.2 | 55.49 | 28.05 | 4.78 | 0.27 | 44.51 |
| (0.71) | (2.49) | (2.42) | (0.9) | (1.32) | (0.89) | (42.56) | (22.48) | (3.88) | (0.2) | (35.28) | |
| {0.22} | {0.58} | {0.85} | {0.32} | {0.39} | {0.32} | {12.93} | {5.58} | {0.9} | {0.07} | {9.23} | |
| Soy oil | 0.88 | 3.18 | 4.11 | 1.72 | 1.35 | 1.65 | 26.68 | 52.17 | 7.57 | 0.7 | 47.83 |
| (0.71) | (2.76) | (3.06) | (1.19) | (1.09) | (1.23) | (20.85) | (39.53) | (5.77) | (0.45) | (37.12) | |
| {0.17} | {0.42} | {1.04} | {0.53} | {0.26} | {0.41} | {5.82} | {12.65} | {1.8} | {0.25} | {10.71} | |
| Mustard | 0.75 | 3.54 | 0.98 | 1.24 | 2.09 | 1.38 | 5.74 | 9.79 | 74.08 | 0.42 | 25.92 |
| (0.62) | (2.45) | (0.87) | (1.05) | (1.56) | (1.18) | (4.42) | (7.6) | (60.15) | (0.35) | (20.1) | |
| {0.13} | {1.08} | {0.11} | {0.19} | {0.53} | {0.2} | {1.32} | {2.2} | {13.93} | {0.07} | {5.81} | |
| Crude oil | 1.76 | 3.49 | 13.6 | 1.92 | 1.1 | 1.32 | 3.08 | 2.93 | 1.17 | 69.62 | 30.38 |
| (1.67) | (2.55) | (12.12) | (1.68) | (0.81) | (1) | (2.88) | (2.67) | (1.06) | (60.44) | (26.44) | |
| {0.09} | {0.94} | {1.48} | {0.25} | {0.29} | {0.32} | {0.19} | {0.26} | {0.12} | {9.18} | {3.94} | |
| To | 19.12 | 37.94 | 36.2 | 30.75 | 24.9 | 28.74 | 53.85 | 61.73 | 24.67 | 7.58 | TCI |
| (14.88) | (29.29) | (29.34) | (23.27) | (18.88) | (23.72) | (42.61) | (50.65) | (19.86) | (5.86) | ||
| {4.23} | {8.65} | {6.87} | {7.48} | {6.02} | {5.01} | {11.23} | {11.08} | {4.81} | {1.72} | ||
| Net | −4.07 | 10.5 | 0.73 | 2.28 | −5.89 | −2.74 | 9.34 | 13.91 | −1.25 | −22.8 | 32.55 |
| −(4.58) | (8.37) | (0.33) | (1.62) | −(4.54) | −(1.24) | (7.34) | (13.54) | −(0.25) | −(20.58) | (25.84) | |
| {0.51} | {2.13} | {0.39} | {0.66} | −{1.35} | −{1.5} | {2} | {0.37} | −{1} | −{2.22} | {6.71} |
Notes: The results are based on a TVP-VAR model with a lag length of order one (BIC) and a 100-step-ahead GFEVD.
Values in parentheses () and brackets {} represent short- and long-term frequency connectedness measures, respectively, while all other values are the corresponding time connectedness measures.
Source: Authors’ calculations.
Average connectedness of crude oil and agricultural commodities, COVID-19 outbreak, India (11 March 2020 to 23 February 2022)
| Commodity . | Bajra . | Barley . | Cotton . | Turmeric . | Coriander . | Jeera . | Soybean . | Soy oil . | Mustard . | Crude oil . | From . |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bajra | 76.82 | 8.2 | 2.26 | 1.66 | 1.05 | 3.95 | 1.52 | 1.66 | 1.57 | 1.33 | 23.18 |
| (62.31) | (6.79) | (2.03) | (1.34) | (0.74) | (3.64) | (1.17) | (1.49) | (1.31) | (0.96) | (19.46) | |
| {14.5} | {1.4} | {0.24} | {0.32} | {0.31} | {0.31} | {0.34} | {0.17} | {0.26} | {0.37} | {3.72} | |
| Barley | 7.46 | 72.56 | 1.73 | 3.93 | 2.11 | 2.46 | 3.07 | 3.3 | 3.11 | 0.28 | 27.44 |
| (5.57) | (53.03) | (1.41) | (2.77) | (1.5) | (2.1) | (2.34) | (2.72) | (2.33) | (0.19) | (20.92) | |
| {1.89} | {19.53} | {0.32} | {1.16} | {0.61} | {0.37} | {0.74} | {0.58} | {0.78} | {0.08} | {6.52} | |
| Cotton | 1.75 | 6.92 | 64.52 | 4.3 | 1.31 | 3.95 | 6.2 | 8.03 | 1.23 | 1.8 | 35.48 |
| (1.33) | (4.38) | (49) | (3.21) | (1.19) | (3.42) | (5.6) | (7.48) | (1.06) | (1.33) | (29) | |
| {0.42} | {2.54} | {15.52} | {1.09} | {0.11} | {0.52} | {0.6} | {0.55} | {0.17} | {0.47} | {6.47} | |
| Turmeric | 1.94 | 3.7 | 4.98 | 71.52 | 6.62 | 5.13 | 1.57 | 2.27 | 1.32 | 0.95 | 28.48 |
| (1.82) | (2.79) | (3.41) | (53.01) | (4.93) | (4.16) | (1.1) | (1.75) | (1.01) | (0.69) | (21.65) | |
| {0.12} | {0.9} | {1.57} | {18.52} | {1.7} | {0.97} | {0.47} | {0.53} | {0.3} | {0.26} | {6.82} | |
| Coriander | 0.59 | 3.51 | 1.3 | 7.57 | 69.21 | 7.7 | 4.34 | 3.29 | 1.99 | 0.49 | 30.79 |
| (0.49) | (3.28) | (0.98) | (4.93) | (54.43) | (6.12) | (3.17) | (2.41) | (1.67) | (0.37) | (23.41) | |
| {0.1} | {0.23} | {0.32} | {2.64} | {14.78} | {1.58} | {1.18} | {0.88} | {0.32} | {0.12} | {7.37} | |
| Jeera | 3.06 | 2.34 | 3.98 | 7.2 | 7.57 | 68.52 | 1.65 | 2.4 | 1.93 | 1.35 | 31.48 |
| (1.96) | (1.79) | (3.05) | (6.21) | (5.74) | (54.75) | (1.09) | (2.06) | (1.76) | (1.31) | (24.97) | |
| {1.1} | {0.55} | {0.93} | {0.99} | {1.83} | {13.77} | {0.56} | {0.34} | {0.17} | {0.04} | {6.52} | |
| Soybean | 0.93 | 3.08 | 3.26 | 1.22 | 1.71 | 1.2 | 55.49 | 28.05 | 4.78 | 0.27 | 44.51 |
| (0.71) | (2.49) | (2.42) | (0.9) | (1.32) | (0.89) | (42.56) | (22.48) | (3.88) | (0.2) | (35.28) | |
| {0.22} | {0.58} | {0.85} | {0.32} | {0.39} | {0.32} | {12.93} | {5.58} | {0.9} | {0.07} | {9.23} | |
| Soy oil | 0.88 | 3.18 | 4.11 | 1.72 | 1.35 | 1.65 | 26.68 | 52.17 | 7.57 | 0.7 | 47.83 |
| (0.71) | (2.76) | (3.06) | (1.19) | (1.09) | (1.23) | (20.85) | (39.53) | (5.77) | (0.45) | (37.12) | |
| {0.17} | {0.42} | {1.04} | {0.53} | {0.26} | {0.41} | {5.82} | {12.65} | {1.8} | {0.25} | {10.71} | |
| Mustard | 0.75 | 3.54 | 0.98 | 1.24 | 2.09 | 1.38 | 5.74 | 9.79 | 74.08 | 0.42 | 25.92 |
| (0.62) | (2.45) | (0.87) | (1.05) | (1.56) | (1.18) | (4.42) | (7.6) | (60.15) | (0.35) | (20.1) | |
| {0.13} | {1.08} | {0.11} | {0.19} | {0.53} | {0.2} | {1.32} | {2.2} | {13.93} | {0.07} | {5.81} | |
| Crude oil | 1.76 | 3.49 | 13.6 | 1.92 | 1.1 | 1.32 | 3.08 | 2.93 | 1.17 | 69.62 | 30.38 |
| (1.67) | (2.55) | (12.12) | (1.68) | (0.81) | (1) | (2.88) | (2.67) | (1.06) | (60.44) | (26.44) | |
| {0.09} | {0.94} | {1.48} | {0.25} | {0.29} | {0.32} | {0.19} | {0.26} | {0.12} | {9.18} | {3.94} | |
| To | 19.12 | 37.94 | 36.2 | 30.75 | 24.9 | 28.74 | 53.85 | 61.73 | 24.67 | 7.58 | TCI |
| (14.88) | (29.29) | (29.34) | (23.27) | (18.88) | (23.72) | (42.61) | (50.65) | (19.86) | (5.86) | ||
| {4.23} | {8.65} | {6.87} | {7.48} | {6.02} | {5.01} | {11.23} | {11.08} | {4.81} | {1.72} | ||
| Net | −4.07 | 10.5 | 0.73 | 2.28 | −5.89 | −2.74 | 9.34 | 13.91 | −1.25 | −22.8 | 32.55 |
| −(4.58) | (8.37) | (0.33) | (1.62) | −(4.54) | −(1.24) | (7.34) | (13.54) | −(0.25) | −(20.58) | (25.84) | |
| {0.51} | {2.13} | {0.39} | {0.66} | −{1.35} | −{1.5} | {2} | {0.37} | −{1} | −{2.22} | {6.71} |
| Commodity . | Bajra . | Barley . | Cotton . | Turmeric . | Coriander . | Jeera . | Soybean . | Soy oil . | Mustard . | Crude oil . | From . |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bajra | 76.82 | 8.2 | 2.26 | 1.66 | 1.05 | 3.95 | 1.52 | 1.66 | 1.57 | 1.33 | 23.18 |
| (62.31) | (6.79) | (2.03) | (1.34) | (0.74) | (3.64) | (1.17) | (1.49) | (1.31) | (0.96) | (19.46) | |
| {14.5} | {1.4} | {0.24} | {0.32} | {0.31} | {0.31} | {0.34} | {0.17} | {0.26} | {0.37} | {3.72} | |
| Barley | 7.46 | 72.56 | 1.73 | 3.93 | 2.11 | 2.46 | 3.07 | 3.3 | 3.11 | 0.28 | 27.44 |
| (5.57) | (53.03) | (1.41) | (2.77) | (1.5) | (2.1) | (2.34) | (2.72) | (2.33) | (0.19) | (20.92) | |
| {1.89} | {19.53} | {0.32} | {1.16} | {0.61} | {0.37} | {0.74} | {0.58} | {0.78} | {0.08} | {6.52} | |
| Cotton | 1.75 | 6.92 | 64.52 | 4.3 | 1.31 | 3.95 | 6.2 | 8.03 | 1.23 | 1.8 | 35.48 |
| (1.33) | (4.38) | (49) | (3.21) | (1.19) | (3.42) | (5.6) | (7.48) | (1.06) | (1.33) | (29) | |
| {0.42} | {2.54} | {15.52} | {1.09} | {0.11} | {0.52} | {0.6} | {0.55} | {0.17} | {0.47} | {6.47} | |
| Turmeric | 1.94 | 3.7 | 4.98 | 71.52 | 6.62 | 5.13 | 1.57 | 2.27 | 1.32 | 0.95 | 28.48 |
| (1.82) | (2.79) | (3.41) | (53.01) | (4.93) | (4.16) | (1.1) | (1.75) | (1.01) | (0.69) | (21.65) | |
| {0.12} | {0.9} | {1.57} | {18.52} | {1.7} | {0.97} | {0.47} | {0.53} | {0.3} | {0.26} | {6.82} | |
| Coriander | 0.59 | 3.51 | 1.3 | 7.57 | 69.21 | 7.7 | 4.34 | 3.29 | 1.99 | 0.49 | 30.79 |
| (0.49) | (3.28) | (0.98) | (4.93) | (54.43) | (6.12) | (3.17) | (2.41) | (1.67) | (0.37) | (23.41) | |
| {0.1} | {0.23} | {0.32} | {2.64} | {14.78} | {1.58} | {1.18} | {0.88} | {0.32} | {0.12} | {7.37} | |
| Jeera | 3.06 | 2.34 | 3.98 | 7.2 | 7.57 | 68.52 | 1.65 | 2.4 | 1.93 | 1.35 | 31.48 |
| (1.96) | (1.79) | (3.05) | (6.21) | (5.74) | (54.75) | (1.09) | (2.06) | (1.76) | (1.31) | (24.97) | |
| {1.1} | {0.55} | {0.93} | {0.99} | {1.83} | {13.77} | {0.56} | {0.34} | {0.17} | {0.04} | {6.52} | |
| Soybean | 0.93 | 3.08 | 3.26 | 1.22 | 1.71 | 1.2 | 55.49 | 28.05 | 4.78 | 0.27 | 44.51 |
| (0.71) | (2.49) | (2.42) | (0.9) | (1.32) | (0.89) | (42.56) | (22.48) | (3.88) | (0.2) | (35.28) | |
| {0.22} | {0.58} | {0.85} | {0.32} | {0.39} | {0.32} | {12.93} | {5.58} | {0.9} | {0.07} | {9.23} | |
| Soy oil | 0.88 | 3.18 | 4.11 | 1.72 | 1.35 | 1.65 | 26.68 | 52.17 | 7.57 | 0.7 | 47.83 |
| (0.71) | (2.76) | (3.06) | (1.19) | (1.09) | (1.23) | (20.85) | (39.53) | (5.77) | (0.45) | (37.12) | |
| {0.17} | {0.42} | {1.04} | {0.53} | {0.26} | {0.41} | {5.82} | {12.65} | {1.8} | {0.25} | {10.71} | |
| Mustard | 0.75 | 3.54 | 0.98 | 1.24 | 2.09 | 1.38 | 5.74 | 9.79 | 74.08 | 0.42 | 25.92 |
| (0.62) | (2.45) | (0.87) | (1.05) | (1.56) | (1.18) | (4.42) | (7.6) | (60.15) | (0.35) | (20.1) | |
| {0.13} | {1.08} | {0.11} | {0.19} | {0.53} | {0.2} | {1.32} | {2.2} | {13.93} | {0.07} | {5.81} | |
| Crude oil | 1.76 | 3.49 | 13.6 | 1.92 | 1.1 | 1.32 | 3.08 | 2.93 | 1.17 | 69.62 | 30.38 |
| (1.67) | (2.55) | (12.12) | (1.68) | (0.81) | (1) | (2.88) | (2.67) | (1.06) | (60.44) | (26.44) | |
| {0.09} | {0.94} | {1.48} | {0.25} | {0.29} | {0.32} | {0.19} | {0.26} | {0.12} | {9.18} | {3.94} | |
| To | 19.12 | 37.94 | 36.2 | 30.75 | 24.9 | 28.74 | 53.85 | 61.73 | 24.67 | 7.58 | TCI |
| (14.88) | (29.29) | (29.34) | (23.27) | (18.88) | (23.72) | (42.61) | (50.65) | (19.86) | (5.86) | ||
| {4.23} | {8.65} | {6.87} | {7.48} | {6.02} | {5.01} | {11.23} | {11.08} | {4.81} | {1.72} | ||
| Net | −4.07 | 10.5 | 0.73 | 2.28 | −5.89 | −2.74 | 9.34 | 13.91 | −1.25 | −22.8 | 32.55 |
| −(4.58) | (8.37) | (0.33) | (1.62) | −(4.54) | −(1.24) | (7.34) | (13.54) | −(0.25) | −(20.58) | (25.84) | |
| {0.51} | {2.13} | {0.39} | {0.66} | −{1.35} | −{1.5} | {2} | {0.37} | −{1} | −{2.22} | {6.71} |
Notes: The results are based on a TVP-VAR model with a lag length of order one (BIC) and a 100-step-ahead GFEVD.
Values in parentheses () and brackets {} represent short- and long-term frequency connectedness measures, respectively, while all other values are the corresponding time connectedness measures.
Source: Authors’ calculations.
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