Table 1: Connectedness table

data("gg2018")
dca = ConnectednessApproach(gg2018, 
                            nlag=1,
                            nfore=10,
                            model="TVP-VAR",
                            connectedness="Time",
                            window.size=200,
                            VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99, prior="BayesPrior")))
## Estimating model
## Computing connectedness measures
## The TVP-VAR connectedness approach is implemented according to:
##  Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84.
kable(dca$TABLE)
US.FPU US.MPU US.TPU US.CPU JP.FPU JP.MPU JP.TPU JP.CPU FROM
US.FPU 61.87 25.27 0.92 2.76 2.89 1.92 1.13 3.23 38.13
US.MPU 24.76 61.33 1.34 5.69 1.53 2.71 1.15 1.49 38.67
US.TPU 1.23 2.50 90.64 0.82 0.50 0.79 2.05 1.48 9.36
US.CPU 1.87 7.50 0.29 76.30 5.52 2.58 1.08 4.86 23.70
JP.FPU 2.59 1.63 1.06 2.48 66.15 18.48 4.55 3.06 33.85
JP.MPU 1.68 2.77 0.14 1.38 18.80 63.93 2.82 8.48 36.07
JP.TPU 1.67 1.27 3.97 1.36 4.54 2.32 84.17 0.71 15.83
JP.CPU 1.96 1.80 0.40 5.35 3.90 8.57 0.54 77.48 22.52
TO 35.75 42.72 8.11 19.85 37.68 37.39 13.32 23.31 218.14
Inc.Own 97.62 104.06 98.75 96.15 103.83 101.32 97.49 100.79 cTCI/TCI
NET -2.38 4.06 -1.25 -3.85 3.83 1.32 -2.51 0.79 31.16/27.27
NPT 2.00 7.00 2.00 4.00 4.00 4.00 2.00 3.00 
# CONNECTEDNESS DECOMPOSITION
int = InternalConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))
## The decomposed connectedness measures are implemented according to:
##  Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71.
ext = ExternalConnectedness(dca, groups=list("US"=c(1,2,3,4), "JP"=c(5,6,7,8)))
## The decomposed connectedness measures are implemented according to:
##  Gabauer, D., & Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171, 63-71.
kable(int$TABLE)
US.FPU US.MPU US.TPU US.CPU JP.FPU JP.MPU JP.TPU JP.CPU FROM
US.FPU 61.87 25.27 0.92 2.76 0.00 0.00 0.00 0.00 28.95
US.MPU 24.76 61.33 1.34 5.69 0.00 0.00 0.00 0.00 31.79
US.TPU 1.23 2.50 90.64 0.82 0.00 0.00 0.00 0.00 4.54
US.CPU 1.87 7.50 0.29 76.30 0.00 0.00 0.00 0.00 9.66
JP.FPU 0.00 0.00 0.00 0.00 66.15 18.48 4.55 3.06 26.10
JP.MPU 0.00 0.00 0.00 0.00 18.80 63.93 2.82 8.48 30.10
JP.TPU 0.00 0.00 0.00 0.00 4.54 2.32 84.17 0.71 7.57
JP.CPU 0.00 0.00 0.00 0.00 3.90 8.57 0.54 77.48 13.02
TO 27.86 35.26 2.55 9.27 27.25 29.38 7.91 12.25 151.72
Inc.Own 89.72 96.60 93.19 85.57 93.39 93.31 92.08 89.72 cTCI/TCI
NET -1.09 3.48 -1.99 -0.39 1.15 -0.72 0.34 -0.77 21.67/18.97
NPT 1.00 3.00 0.00 2.00 2.00 1.00 2.00 1.00 
kable(ext$TABLE)
US.FPU US.MPU US.TPU US.CPU JP.FPU JP.MPU JP.TPU JP.CPU FROM
US.FPU 0.00 0.00 0.00 0.00 2.89 1.92 1.13 3.23 9.18
US.MPU 0.00 0.00 0.00 0.00 1.53 2.71 1.15 1.49 6.88
US.TPU 0.00 0.00 0.00 0.00 0.50 0.79 2.05 1.48 4.82
US.CPU 0.00 0.00 0.00 0.00 5.52 2.58 1.08 4.86 14.04
JP.FPU 2.59 1.63 1.06 2.48 0.00 0.00 0.00 0.00 7.75
JP.MPU 1.68 2.77 0.14 1.38 0.00 0.00 0.00 0.00 5.97
JP.TPU 1.67 1.27 3.97 1.36 0.00 0.00 0.00 0.00 8.26
JP.CPU 1.96 1.80 0.40 5.35 0.00 0.00 0.00 0.00 9.51
TO 7.90 7.46 5.56 10.58 10.44 8.01 5.41 11.06 66.42
Inc.Own 7.90 7.46 5.56 10.58 10.44 8.01 5.41 11.06 cTCI/TCI
NET -1.29 0.58 0.74 -3.46 2.68 2.04 -2.85 1.56 9.49/8.30
NPT 1.00 4.00 2.00 2.00 2.00 3.00 0.00 2.00

Figure 3: Dynamic total connectedness

PlotTCI(dca, int, ylim=c(0, 40))

Figure 4: Net total directional connectedness

PlotNET(dca, int, ylim=c(-10, 10))

Figure 5: Total directional connectedness FROM others

PlotFROM(dca, int, ylim=c(0, 60))

Figure 6: Total directional connectedness TO others

PlotTO(dca, int, ylim=c(0, 60))

Figure 7: Internal net pairwise total directional connectedness

PlotNPDC(dca, int, ylim=c(-5, 5))