The Finance Brown Bag Seminar is held by the Institute for Finance, Banking and Insurance (WU Vienna) and the Vienna Graduate School of Finance (VGSF). It serves as a presentation platform for PhD students, faculty members, and visitors. An overview of BBS on the website of the Institute for Finance, Banking and Insurance.
May 14th, 2020, 12:00 noon - 1:00 pm
You can participate in the seminar online via Microsoft Teams
The meeting will open at 11:45 am for you to dial in. To join the stream please follow this link.
In case of technical problems please contact: firstname.lastname@example.org
John Cotter, University College Dublin
Title: "Macro-Financial Spillovers"
We analyze 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.