countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural …

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …

, is a commonly used indicator of aggregate demand conditions. In-sample evidence for the US, the euro area, Japan and the … performance is mixed. An FCI would have predicted the recent economic downturn in Japan and the UK, but not in the US and the euro …