Table 2.
Total Spillover index between commodities, crypto, and G20 markets.
| GOLD | OIL | ARG | AUS | BR | CND | CHI | FR | GER | IND | INDO | ITL | JPN | KOREA | MEX | RUS | SA | SAF | TUR | UK | USA | EU | BIT | FROM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GOLD | 68.04 | 1.72 | 1.08 | 0.95 | 2.56 | 3.64 | 0.51 | 1.08 | 1.32 | 0.55 | 0.57 | 0.93 | 1.2 | 0.38 | 1.52 | 3.51 | 0.97 | 2.31 | 1.31 | 1.57 | 1.76 | 1.36 | 1.15 | 31.96 |
| OIL | 0.93 | 56.9 | 1.7 | 1.57 | 2.73 | 6.39 | 0.73 | 2.11 | 1.77 | 0.88 | 0.69 | 2.1 | 0.3 | 0.53 | 2.37 | 5.73 | 1.24 | 2.03 | 0.89 | 2.68 | 2.66 | 2.39 | 0.68 | 43.1 |
| ARG | 0.58 | 1.24 | 52.58 | 1.37 | 3.98 | 4.54 | 0.59 | 3.05 | 3.05 | 1.35 | 0.86 | 2.27 | 0.55 | 1.08 | 3.38 | 2.31 | 0.76 | 2.94 | 1.31 | 2.49 | 5.44 | 3.38 | 0.87 | 47.42 |
| AUS | 0.69 | 1.54 | 1.73 | 35.84 | 2.65 | 5.74 | 1.04 | 4.26 | 4.06 | 2.12 | 1.51 | 3.33 | 2.61 | 2.83 | 3.5 | 4.13 | 0.93 | 4.09 | 1.55 | 5.07 | 5.07 | 4.92 | 0.78 | 64.16 |
| BR | 1.16 | 1.82 | 3.53 | 2.35 | 44.55 | 4.79 | 0.62 | 3.4 | 2.93 | 1.41 | 1.27 | 2.7 | 0.8 | 1.36 | 5.91 | 2.8 | 0.72 | 4.58 | 2 | 3.39 | 3.61 | 3.67 | 0.64 | 55.45 |
| CND | 1.35 | 3.33 | 3.43 | 4.07 | 4.11 | 20.64 | 0.76 | 6.22 | 5.76 | 1.8 | 1.18 | 5.07 | 0.86 | 1.64 | 4.92 | 5.6 | 0.93 | 4.51 | 1.75 | 6.44 | 8.09 | 6.84 | 0.7 | 79.36 |
| CHI | 0.61 | 0.83 | 1.43 | 1.88 | 1.45 | 1.99 | 61.83 | 1.72 | 1.76 | 1.8 | 1.66 | 1.2 | 1.17 | 3.65 | 1.47 | 4.58 | 0.81 | 2.48 | 0.59 | 1.83 | 2.38 | 1.98 | 0.91 | 38.17 |
| FR | 0.65 | 1.25 | 2.5 | 3.24 | 3.12 | 6.36 | 0.75 | 3.16 | 13.16 | 2.3 | 1.07 | 11.24 | 0.87 | 2.07 | 4.33 | 4.14 | 1.04 | 5.26 | 2.38 | 10.63 | 5.47 | 14.4 | 0.6 | 96.84 |
| GER | 0.69 | 1.1 | 2.49 | 3.21 | 2.79 | 6.12 | 0.8 | 13.8 | 4.28 | 2.41 | 1.06 | 11.01 | 0.85 | 2.12 | 4.05 | 3.94 | 1.02 | 5.35 | 2.4 | 9.99 | 5.37 | 14.43 | 0.68 | 95.72 |
| IND | 0.71 | 0.72 | 1.92 | 2.6 | 2.11 | 2.95 | 1.09 | 3.37 | 3.41 | 48.82 | 3.03 | 2.55 | 0.96 | 3.34 | 2.88 | 2.39 | 1.1 | 3.41 | 1.54 | 3.48 | 3.16 | 3.78 | 0.68 | 51.18 |
| INDO | 0.89 | 0.87 | 1.93 | 2.2 | 2.44 | 2.75 | 1.17 | 2.51 | 2.17 | 3.49 | 52.48 | 1.67 | 0.91 | 3.24 | 3.29 | 3.16 | 0.83 | 3.96 | 1.68 | 2.26 | 2.95 | 2.57 | 0.57 | 47.52 |
| ITL | 0.48 | 1.34 | 2.02 | 2.72 | 2.7 | 5.56 | 0.5 | 12.21 | 11.41 | 1.96 | 0.8 | 12.6 | 0.66 | 1.51 | 3.59 | 5.75 | 1.03 | 4 | 1.96 | 9.24 | 4.45 | 12.8 | 0.7 | 87.4 |
| JPN | 0.82 | 1.04 | 2.35 | 3.57 | 1.87 | 4.56 | 0.8 | 4.18 | 4.01 | 1.66 | 1.02 | 3.62 | 43.91 | 2.6 | 2.25 | 3.16 | 0.73 | 1.91 | 1.23 | 3.59 | 5.9 | 4.48 | 0.72 | 56.09 |
| KOREA | 0.69 | 0.89 | 1.89 | 3.57 | 2.61 | 3.72 | 2.06 | 4.14 | 4.02 | 3.14 | 2.53 | 3 | 2.36 | 41.07 | 3.04 | 2.41 | 0.7 | 4.21 | 1.47 | 3.77 | 3.76 | 4.42 | 0.55 | 58.93 |
| MEX | 0.71 | 1.41 | 2.78 | 2.82 | 5.17 | 5.12 | 0.65 | 4.41 | 3.96 | 1.88 | 1.47 | 3.42 | 0.82 | 1.82 | 38.13 | 3.21 | 0.75 | 5.56 | 2.34 | 4.24 | 4.12 | 4.65 | 0.56 | 61.87 |
| RUS | 0.48 | 1.77 | 1.25 | 1.48 | 2.33 | 3.25 | 0.54 | 2.86 | 2.72 | 0.96 | 0.62 | 2.42 | 0.31 | 0.97 | 2.52 | 62.13 | 0.49 | 3.08 | 1.32 | 2.93 | 2.15 | 3.07 | 0.34 | 37.87 |
| SA | 0.54 | 1.8 | 1.21 | 1.73 | 1.21 | 2.33 | 0.84 | 2.08 | 1.91 | 1.37 | 0.97 | 1.76 | 0.72 | 0.98 | 1.72 | 6.18 | 63.35 | 1.7 | 1.14 | 1.75 | 1.84 | 2.09 | 0.76 | 36.65 |
| SAF | 1.33 | 1.27 | 2.44 | 3.56 | 4.16 | 4.66 | 1.27 | 5.34 | 5.2 | 2.33 | 2 | 3.77 | 0.85 | 2.76 | 5.52 | 3.41 | 0.81 | 31.13 | 3.03 | 5.49 | 3.07 | 5.99 | 0.61 | 68.87 |
| TUR | 0.7 | 0.7 | 1.27 | 1.75 | 2.18 | 2.23 | 0.34 | 3.14 | 3.05 | 1.52 | 1.02 | 2.41 | 0.69 | 1.17 | 2.95 | 2.24 | 0.81 | 3.95 | 59.21 | 2.88 | 1.59 | 3.43 | 0.74 | 40.79 |
| UK | 0.85 | 1.69 | 2.24 | 4.07 | 3.29 | 7.23 | 0.91 | 11.29 | 10.1 | 2.67 | 1.18 | 9.07 | 0.87 | 2.21 | 4.47 | 3.48 | 0.87 | 5.72 | 2.33 | 5.9 | 5.56 | 13.48 | 0.51 | 94.1 |
| USA | 0.79 | 1.66 | 4.56 | 2.39 | 3.46 | 9.27 | 0.77 | 5.54 | 5.24 | 1.82 | 1.16 | 4.39 | 0.73 | 1.42 | 4.26 | 2.42 | 0.82 | 2.99 | 1.35 | 4.8 | 33.54 | 5.92 | 0.69 | 66.46 |
| EU | 0.72 | 1.37 | 2.6 | 3.57 | 3.21 | 6.71 | 0.8 | 13.61 | 13.01 | 2.48 | 1.12 | 11.15 | 0.89 | 2.08 | 4.39 | 4.07 | 1 | 5.62 | 2.47 | 11.98 | 5.71 | 0.79 | 0.65 | 99.21 |
| BIT |
0.78 |
0.62 |
1.19 |
1.09 |
0.9 |
1.25 |
0.84 |
1 |
1.16 |
0.67 |
0.68 |
1.06 |
0.91 |
0.61 |
0.9 |
1.3 |
1.12 |
0.87 |
1.23 |
0.92 |
1.4 |
1.15 |
78.35 |
21.65 |
|
TO |
17.15 |
30 |
47.55 |
55.74 |
61.02 |
101.18 |
18.39 |
111.35 |
105.19 |
40.58 |
27.47 |
90.15 |
20.94 |
40.38 |
73.25 |
79.93 |
19.49 |
80.54 |
37.29 |
101.41 |
85.5 |
121.21 |
15.09 |
TCI |
| NET | −14.81 | −13.1 | 0.13 | −8.41 | 5.57 | 21.82 | −19.78 | 14.51 | 9.46 | −10.61 | −20.05 | 2.74 | −35.15 | −18.56 | 11.38 | 42.06 | −17.16 | 11.67 | −3.5 | 7.31 | 19.04 | 22 | −6.56 | 60.03 |
Notes: System-wide total dynamic connectedness index is based on a 1st-order TVP-VAR with a 1st-order delay length and a 28-level GFEVD.