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In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis of their performance. We show that standard estimators of large connectedness tables lead to biased results and high estimation uncertainty, both of which are mitigated by regularization. To explore possible causes for the Great Moderation, we apply a cross\u2010validated estimator on sectoral spillovers of industrial production in the US from 1972 to 2019. We find that the spillover network has considerably weakened, which hints at structural change, for example, through improved inventory management, as a critical explanation for the Great Moderation.<\/jats:p>","DOI":"10.3982\/qe1947","type":"journal-article","created":{"date-parts":[[2023,7,17]],"date-time":"2023-07-17T11:43:42Z","timestamp":1689594222000},"page":"1021-1058","source":"Crossref","is-referenced-by-count":2,"title":["Estimating large\u2010dimensional connectedness tables: The great moderation through the lens of sectoral spillovers"],"prefix":"10.3982","volume":"14","author":[{"given":"Felix","family":"Brunner","sequence":"first","affiliation":[{"name":"Nova School of Business and Economics"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ruben","family":"Hipp","sequence":"additional","affiliation":[{"name":"Financial Stability Department, Bank of Canada"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"2359","published-online":{"date-parts":[[2023]]},"reference":[{"issue":"5","key":"quan200284-bib-0001","doi-asserted-by":"crossref","first-page":"1977","DOI":"10.3982\/ECTA9623","volume":"80","author":"Acemoglu","year":"2012","journal-title":"Econometrica"},{"issue":"1","key":"quan200284-bib-0002","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1007\/s00199-006-0172-9","volume":"32","author":"Arias","year":"2007","journal-title":"Economic theory"},{"key":"quan200284-bib-0003","doi-asserted-by":"crossref","unstructured":"Barigozzi, Matteo and Christian Brownlees (2013), \u201cNets: Network estimation for time series.\u201d Journal of Applied Econometrics.","DOI":"10.2139\/ssrn.2249909"},{"key":"quan200284-bib-0004","doi-asserted-by":"crossref","unstructured":"Bauer, Michael D. and Eric T. 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