Cross-Country Connectedness in Inflation and Unemployment: Measurement and Macroeconomic Consequences

We bring the notion of connectedness (Diebold and Yilmaz, 2012) to a set two critical macroeconomic variables as inflation unemployment. focus on G7 economies plus Spain, use monthly data –high-frequency in macro setting– explore extent consequences total directional volatility spillovers across countries. find that is larger for prices (58.28%) than unemployment (41.81%). also identify asymmetries per country result higher short-run Phillips curve trade-offs recessions lower expansions. Besides, by exploring time-varying (resulting from country-specific shocks), we magnify periods common economic turmoil such Global Financial Crisis. Our results call an enhancement international policy coordination.