How to fill spaces between subplots with a color in Matplotlib?

With the following code :

nb_vars=4

fig, axs = plt.subplots(4,4,figsize=(8,8), gridspec_kw = {'wspace':0.20, 'hspace':0.20}, dpi= 100)
for i_ax in axs:
    for ii_ax in i_ax:
        ii_ax.set_yticklabels([])
for i_ax in axs:
    for ii_ax in i_ax:
        ii_ax.set_xticklabels([])

The space between the subplots is white. How is it possible to colour them ? And with different colors ?
See for example this figure :