Cronin, David - In: Journal of Macroeconomics 39 (2014) PA, pp. 185-202
We employ Diebold and Yilmaz’s (2009, 2012) spillover approach to study the relationship between US money and financial assets since 2000. We find that sizeable spillovers arise during periods of economic and financial turbulence (after the 11 September 2001 terrorist attacks, the post-Lehman...