Table 2. Conditional category-specific...

Table 2.

Conditional category-specific connectedness table

	USA	Japan	Greece	Korea	From
EPU
USA	79.25	4.97	2.37	13.41	20.75
Japan	5.18	87.33	0.96	6.53	12.67
Greece	5.59	5.25	83.55	5.62	16.45
Korea	13.1	6.31	3.24	77.35	22.65
To	23.87	16.53	6.57	25.56	TCI
Net	3.12	3.86	−9.88	2.91	24.18
FPU
USA	88.78	2.9	0.75	7.57	11.22
Japan	2.96	89.69	1.21	6.14	10.31
Greece	3.16	2.3	92.46	2.08	7.54
Korea	6.7	6.72	1.08	85.5	14.5
To	12.82	11.92	3.04	15.8	TCI
NET	1.59	1.61	−4.5	1.3	14.53
MPU
USA	86.97	6.61	1.28	5.14	13.03
Japan	6.37	85.05	1.62	6.95	14.95
Greece	3.64	4.86	89.23	2.27	10.77
Korea	5.1	7.09	4.1	83.71	16.29
To	15.11	18.56	6.99	14.36	55.03
Net	2.09	3.61	−3.78	−1.92	18.34

	USA	Japan	Greece	Korea	From
EPU
USA	79.25	4.97	2.37	13.41	20.75
Japan	5.18	87.33	0.96	6.53	12.67
Greece	5.59	5.25	83.55	5.62	16.45
Korea	13.1	6.31	3.24	77.35	22.65
To	23.87	16.53	6.57	25.56	TCI
Net	3.12	3.86	−9.88	2.91	24.18
FPU
USA	88.78	2.9	0.75	7.57	11.22
Japan	2.96	89.69	1.21	6.14	10.31
Greece	3.16	2.3	92.46	2.08	7.54
Korea	6.7	6.72	1.08	85.5	14.5
To	12.82	11.92	3.04	15.8	TCI
NET	1.59	1.61	−4.5	1.3	14.53
MPU
USA	86.97	6.61	1.28	5.14	13.03
Japan	6.37	85.05	1.62	6.95	14.95
Greece	3.64	4.86	89.23	2.27	10.77
Korea	5.1	7.09	4.1	83.71	16.29
To	15.11	18.56	6.99	14.36	55.03
Net	2.09	3.61	−3.78	−1.92	18.34

Note:

Results are based on a TVP-VAR (0.99,0.99) model with a lag length of order 1 (BIC) and a 10-step ahead forecast

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