A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in terms of time-varying spillover effects. The framework is applied to analyse the dynamics of international relationships among the G7 economies and their impact on stock market returns and volatilities. The findings underscore the substantial impact of cooperative interactions and highlight discernible disparities in network exposure across G7 nations, along with nuanced patterns in direct and indirect spillover effects.

翻译：本文提出了一种新型面板数据空间自回归模型，该模型融合多层网络结构并刻画时变关系。所提方法允许结构方差随时间平滑演变，并能够从时变溢出效应角度分析冲击传播机制。将该框架应用于分析G7经济体间国际关系的动态演变及其对股市收益与波动的影响。研究结果凸显了合作互动的显著影响，揭示了G7国家在网络暴露程度上的明显差异，并识别出直接与间接溢出效应的精细模式。