Working Paper


Kamil Yilmaz
Mark Hallam
John Cotter



data information macro financial connectedness mixed frequency financial markets low frequency high frequency data spillovers

Mixed-Frequency Macro-Financial Spillovers (2017)

Abstract We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs a mixed-frequency modelling approach. This enables high-frequency financial and low-frequency macroeconomic data series to be employed directly, avoiding the data aggregation and information loss incurred when using common-frequency methods. In a detailed analysis of macro-financial spillovers for the US economy, we find that the additional high-frequency information preserved by our mixed-frequency approach results in estimated spillovers that are typically substantially higher than those from an analogous common-frequency approach and are more consistent with known in-sample events. We also show that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during turbulent market conditions, but that the bond and equity markets act heterogeneously in both transmitting and receiving shocks to the non-financial sector. We observe substantial short and medium-run variation in macro-financial spillovers that is statistically associated with key variables related to financial and macroeconomic fundamentals; the values of the term spread, VIX and unemployment rate in particular appear to be important determinants of macro- financial spillovers.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> Geary Institute Research Collection
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Kamil Yilmaz, Mark Hallam, John Cotter

Experts in our system

John Cotter
University College Dublin
Total Publications: 93