We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs 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 …

response to the pandemic. Moving to the analysis of spillovers/connectedness of Covid-19 cases across the states, we apply the …, leading to different growth trajectories of Covid-19 cases and their connectedness across the U.S. states. Our regression … Diebold-Yilmaz connectedness methodology to the growth rates of Covid-19 cases. Using the total directional connectedness …

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show … that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It …