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

Table 3 3m3m DY

From: Monetary policy uncertainty spillovers in time and frequency domains

 

U

G

F

I

S

UK

J

C

Sw

FROM

U

60.71

3.25

5.23

0.49

4.24

2.01

1.89

17.16

5.02

4.37

G

9.02

18.74

15.65

17.45

19.19

2.86

0.89

15.49

0.70

9.03

F

8.83

11.85

23.88

17.57

18.85

2.03

0.85

15.36

0.77

8.46

I

4.11

10.12

14.44

30.78

21.22

2.79

0.63

14.35

1.56

7.69

S

5.76

9.70

14.64

21.44

27.87

4.62

0.72

14.50

0.75

8.01

UK

7.28

5.82

9.62

14.82

20.80

24.77

0.72

15.20

0.98

8.36

J

3.75

5.21

8.21

9.09

14.36

9.39

41.85

7.03

1.11

6.46

C

19.56

2.89

4.24

7.61

7.29

2.15

3.61

51.67

0.99

5.37

Sw

4.45

7.03

13.50

18.51

16.32

2.53

0.65

12.67

24.34

8.41

TO

6.97

6.21

9.50

11.89

13.59

3.15

1.11

12.42

1.32

66.15

  1. Entry i,j (\(i\ne j\)) represents the estimated contribution to the forecast error variance of country j coming from shocks in country i. The diagonal element (\(i = j\)) captures the fraction of the forecast error variance of country i due to its own shocks. The elements in the last row (labeled “TO”) represent directional spillovers transmitted by country i (column) to all other countries, and those in the last column (labeled “FROM”) are directional spillovers received by country j (row) from all other countries