Table 2.

Residual Correlation Matrix.

Panel A: Innovation Correlation Matrix Before COVID-19
btc	usa	eu	cn	gold	usd	gsci	vix	bond
1
−0.1054	1
−0.1036	0.7689	1
−0.0413	0.2100	0.3059	1
0.1927	−0.2880	−0.3402	−0.0247	1
−0.1038	0.0839	0.1241	0.0282	−0.4293	1
−0.0459	0.3286	0.2952	0.1609	−0.0648	−0.0440	1
0.1140	−0.8376	−0.6510	−0.1675	0.2189	−0.0709	−0.3112	1
0.0479	−0.4753	−0.3645	−0.0545	0.5234	−0.1807	−0.3348	0.3774	1
Panel B: Innovation Correlation Matrix During COVID-19
btc	usa	eu	cn	gold	usd	gsci	vix	bond
1
0.5647	1
0.6313	0.8510	1
0.2322	0.3676	0.3842	1
0.3394	0.2508	0.3156	0.2559	1
−0.0071	−0.0513	−0.1736	−0.1422	−0.2202	1
0.3208	0.5678	0.5453	0.3679	0.2746	−0.0388	1
−0.4536	−0.7586	−0.5942	−0.1612	0.0028	−0.1596	−0.4458	1
0.1091	−0.1382	0.0057	−0.0474	0.2477	−0.4093	0.0515	0.1484	1