Do Financial Connectedness Spikes Signal Structural Breaks? Evidence from G7 Equity, Sector, and Energy Markets.

This package reproduces all results in “Do Financial Connectedness Spikes Signal Structural Breaks? Evidence from G7 Equity, Sector, and Energy Markets.” It contains a single R script (MASTER_replication_FINAL.R) that estimates TVP-VAR connectedness (total connectedness index and the spectral radius of the time-varying coefficient matrix) for four systems: G7 equity indices, U.S. sector ETFs before and after September 2018, and energy futures. It applies a self-normalized change-point test with Monte Carlo critical values matched to series persistence, compares start conditions for the simulated null, evaluates a sup-Wald diagnostic, and runs robustness checks (kappa, matrix norm, VAR lags, sample construction, placebo and rolling windows). Contents: the R script; the frozen data used in the paper (Yahoo Finance and FRED downloads ending 30 September 2026, as R .rds files); an archive of an earlier download (ending June 2026) used to document a data-sensitivity difference in early Brent prices; the full result tables and daily connectedness and spectral-radius series; and a README with run instructions. Random seed: 20260629. Software: R 4.5.x with the ConnectednessApproach package. Source data are third-party downloads and may be revised by the providers; the frozen files are those used in the paper.