Macro-financial spillovers

John Cotter, Mark Sebastian Hallam, Kamil Yilmaz

Research output: Contribution to journalArticlepeer-review


We analyse spillovers between the real and financial sides of the US economy, and between those in the US and other advanced economies. The approach developed allows 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. This result holds both for domestic US macro-financial spillovers, and also those between the US and other advanced economies. Our macro-financial spillover measures are found to have significant predictive ability for future macroeconomic conditions in both in-sample and out-of-sample forecasting environments. Furthermore, the predictive ability frequently of our macro-financial measures frequently exceeds that of purely financial systemic risk measures previously employed in the literature for the same task.
Original languageEnglish
Article number102824
Number of pages28
JournalJournal of International Money and Finance
Early online date17 Mar 2023
Publication statusPublished - 1 May 2023

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© 2023 Published by Elsevier Ltd.

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