Publication:
Macro-financial spillovers

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dc.contributor.coauthorCotter, John
dc.contributor.coauthorHallam, Mark
dc.contributor.departmentDepartment of Economics
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorYılmaz, Kamil
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-12-29T09:41:09Z
dc.date.issued2023
dc.description.abstractWe 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 differ-ences 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 envi-ronments. 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.
dc.description.indexedbyWoS
dc.description.indexedbyScopus
dc.description.openaccessGreen Submitted, hybrid, Green Accepted
dc.description.publisherscopeInternational
dc.description.sponsorsThe authors wish to thank participants of the 2016 FMA Annual Meeting in Las Vegas, the 2016 Financial Econometrics and Empirical Asset Pricing Conference at Lancaster University, the Barcelona GSE Summer Forum at Universitat Pompeu Fabra, the 11th Computational and Financial Econometrics Conference in London, the 5th Asset Pricing Workshop at the University of York, the 2018 Irish Academy of Finance conference, the 2020 FMA Online Annual Meeting, seminar participants at Bilkent University, Bogazici University, University College Dublin, University of Essex, University of Konstanz, University of Liverpool, University of Stirling, the Central Bank of Ireland, University of Groningen, Aarhus University, European Securities and Markets Authority, Vienna University of Economics and Business, and Abhinav Annand, Turan Bali, Michael Brennan, Christian Brownlees, Eric Ghysels, Maureen O Hara, Matt Spiegel and Josef Zechner for valuable feedback and comments. John Cotter and Mark Hallam gratefully acknowledge the support of Science Foundation Ireland under grant number 16/SPP/3347 and 17/SPP/5447. Kamil Yilmaz and Mark Hallam gratefully acknowledge the support of The Scientific and Technological Research Council of Turkey under grant number TUBITAK 114K954.
dc.description.volume133
dc.identifier.doi10.1016/j.jimonfin.2023.102824
dc.identifier.eissn1873-0639
dc.identifier.issn0261-5606
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-85150279401
dc.identifier.urihttps://doi.org/10.1016/j.jimonfin.2023.102824
dc.identifier.urihttps://hdl.handle.net/20.500.14288/23557
dc.identifier.wos957110700001
dc.keywordsSpillovers
dc.keywordsConnectedness
dc.keywordsMacro-financial
dc.keywordsMixed-frequency
dc.keywordsForecasting
dc.languageen
dc.publisherElsevier Sci Ltd
dc.relation.grantnoScience Foundation Ireland [16/SPP/3347, 17/SPP/5447]
dc.relation.grantnoScientific and Technological Research Council of Turkey [TUBITAK 114K954]
dc.sourceJournal of International Money and Finance
dc.subjectBusiness
dc.subjectFinance
dc.titleMacro-financial spillovers
dc.typeJournal article
dspace.entity.typePublication
local.contributor.kuauthorYılmaz, Kamil
relation.isOrgUnitOfPublication7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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