Table 4.

Category connectedness

EPUFPUMPUFROM
EPU49.5828.7921.6350.42
FPU32.8753.3813.7546.62
MPU25.9315.0459.0340.97
TO58.843.8435.38TCI
NET8.38−2.78−5.669.01

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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