Table 3.

Net pairwise spillovers based on generalized FEVD

SeriesCPUMY_GSID_GSID_STOCKMY_STOCK
CPU0.0002.0350.227−0.041−0.029
MY_GS−2.0350.0000.4310.4180.964
ID_GS−0.227−0.4310.0001.8352.433
ID_STOCK0.041−0.418−1.8350.0000.208
MY_STOCK0.029−0.964−2.433−0.2080.000
Note(s):

Net pairwise directional connectedness matrix derived from the generalized forecast error variance decomposition (H = 10). Each entry measures bilateral net spillover asymmetry between variables, computed as the contribution of shocks from market j to market i minus the reverse contribution. Positive values indicate that the row variable is a net receiver from the column variable, while negative values indicate net transmission

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