56 Pages Posted: 25 Jan 2017 Last revised: 26 Oct 2020
Date Written: October 6, 2020
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 show 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
JEL Classification: G10, G01, E30, E44, C13, C32
Suggested Citation: Suggested Citation