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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