Macro-Financial Spillovers

John Cotter, Mark Hallam and Kamil Yilmaz ()

No 202005, Working Papers from Geary Institute, University College Dublin

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

Keywords: spillovers; connectedness; macro-financial; mixed-frequency; forecasting (search for similar items in EconPapers)
JEL-codes: C13 C32 E30 E44 G01 G10 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2020-07-07
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Macro-financial spillovers (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:202005

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