VGSF - WU Vienna - LC

John Cotter, University College Dublin

online via Microsoft Teams 12:00 - 13:00

Organizer WU Vienna

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.

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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: patrick.weis­s@wu.ac.at

John Cot­ter, Uni­versity Col­lege Dub­lin

Title: "Mac­ro-Fin­an­cial Spillovers"

Ab­stract

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.



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