Macro-financial spillovers

We analyse spillovers between the real and financial sides of US economy, those in other advanced economies. The approach developed allows for differences sampling frequency macroeconomic data. find that markets are typically net transmitters shocks to side particularly during turbulent market conditions. This result holds both domestic macro-financial spillovers, also Our spillover measures found have significant predictive ability future conditions in-sample out-of-sample forecasting environments. Furthermore, frequently our exceeds purely systemic risk previously employed literature same task.