Figure 6
The heatmaps are arranged in three rows and two columns. In all panels, the horizontal axis is labeled “Time” and spans from 2021 to 2025 in increments of 1 year. The vertical axis is labeled “Quantile Pair” and lists five pairs from bottom to top: (5, 5), (95,5), (55, 55), (5, 95), and (95, 95). Top left panel, “Entropy: I C L N right arrow B G R N; E P U”: A color bar labeled “Entropy”, ranging from 0.005 to 0.015 in increments of 0.005 units. Entropy is concentrated mainly in the (5, 95) quantile pair, showing persistent moderate to high values across most of the sample, especially from 2022 onward. Other quantile pairs remain largely low. Top right panel, “Entropy: I C L N right arrow Energy; E P U”: A color bar labeled “Entropy”, ranging from 0.00 to 0.03 in increments of 0.01 units. Elevated entropy appears intermittently in the (5, 95) quantile pair, with noticeable intensification around 2022 to 2024. Lower and median quantile pairs show weak transmission. Middle left panel, “Entropy: B G R N right arrow I C L N; E P U”: A color bar labeled “Entropy”, ranging from 0.00 to 0.02 in increments of 0.01 units. Moderate entropy is observed primarily in the (5, 95) quantile pair, particularly during 2021 to 2023. The remaining quantile pairs display consistently low entropy. Middle right panel, “Entropy: B G R N right arrow Energy; E P U”: A color bar labeled “Entropy”, ranging from 0.01 to 0.02 in increments of 0.01 units. This panel shows relatively strong and persistent entropy in the (5, 95) quantile pair throughout the period, with additional increases in the (5, 5) quantile pair after 2023, indicating broader transmission under E P U conditions. Bottom left panel, “Entropy: Energy right arrow I C L N; E P U”: A color bar labeled “Entropy”, ranging from 0.01 to 0.04 in increments of 0.01 units. Entropy intensifies notably in the (5, 95) quantile pair during 2023 to 2025, while other quantile pairs remain mostly weak, suggesting tail-driven spillovers. Bottom right panel, “Entropy: Energy right arrow B G R N; E P U”: A color bar labeled “Entropy”, ranging from 0.00 to 0.03 in increments of 0.01 units. The strongest entropy levels appear in this panel. High entropy is concentrated in the (5, 95) quantile pair during 2021 to 2022, followed by sustained moderate levels afterward. The (95, 95), (95, 5), and (5, 5) pairs also show intermittent increases from 201 to 2022. Moderate entropy is also concentrated in the (55, 55) quantile pair during 2022 to 2023. Note: All entropy values and time boundaries are approximated.EPU conditioned dynamic estimation