Journal of Economic Structures

The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 1 Connectedness between oil shocks and exchange rate markets’ returns over the full sample

From: Dynamic structural impacts of oil shocks on exchange rates: lessons to learn

To(i)	Canada					Norway
	From					From
	SS	ADS	OSS	ERR	From others	SS	ADS	OSS	ERR	From others
SS	98.93	0.23	0.31	0.54	1.07	98.90	0.25	0.29	0.56	1.10
ADS	0.45	85.29	10.81	3.44	14.71	0.35	89.13	10.07	0.45	10.87
OSS	0.30	4.89	94.79	0.02	5.21	0.42	4.36	95.06	0.15	4.94
ERR	0.50	2.05	19.55	77.89	22.11	1.05	0.20	14.05	84.70	15.30
To others	1.26	7.17	30.67	4.00	Total = 10.77%	1.82	4.81	24.41	1.16	Total = 8.05%
Net	0.19	− 7.54	25.46	− 18.11	Total = 10.77%	0.73	− 6.06	19.47	− 14.14	Total = 8.05%

To(i)	UK					Japan
	From					From
	SS	ADS	OSS	ERR	From others	SS	ADS	OSS	ERR	From others
SS	98.62	0.22	0.26	0.90	1.38	99.00	0.22	0.29	0.49	1.00
ADS	0.36	89.10	10.47	0.06	10.90	0.24	87.64	10.49	1.63	12.36
OSS	0.42	4.45	95.01	0.13	4.99	0.44	4.39	95.15	0.02	4.85
ERR	0.32	1.15	4.07	94.45	5.55	1.05	0.72	0.49	97.73	2.27
To others	1.10	5.82	14.81	1.10	Total = 5.71%	1.73	5.33	11.28	2.14	Total = 5.12%
Net	− 0.28	− 5.08	9.81	− 4.45	Total = 5.71%	0.73	− 7.03	6.43	− 0.13	Total = 5.12%

To(i)	India					South Korea
	From					From
	SS	ADS	OSS	ERR	From others	SS	ADS	OSS	ERR	From others
SS	98.57	0.41	0.24	0.78	1.43	98.17	0.23	0.34	1.26	1.83
ADS	0.16	89.09	7.85	2.89	10.91	0.05	86.83	11.74	1.38	13.17
OSS	1.15	4.76	92.19	1.89	7.81	0.78	2.95	94.67	1.59	5.33
ERR	0.41	2.44	2.36	94.79	5.21	0.18	0.25	5.67	93.91	6.09
To others	1.72	7.62	10.45	5.57	Total = 6.34%	1.01	3.44	17.75	4.23	Total = 6.60%
Net	0.29	− 3.29	2.65	0.35	Total = 6.34%	− 0.83	− 9.73	12.42	− 1.87	Total = 6.60%

This table presents the connectedness measures, given by Eqs. 4–8, calculated from variance decompositions based on 12-step-ahead forecasts. The column sums (‘To others’) and row sums (‘From others’) of off-diagonal elements indicate the directional connectedness measures ‘to’ and ‘from’ others for each variable, respectively. The row ‘Net’ of each variable means the gap between its ‘To others’ and ‘From others’, which measures its net contribution. The value of ‘Total’ is the average of either the row sums or the column sums and measures total connectedness in the system)

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