This paper studies macro-uncertainty and nancial distress spillovers within the Eurozone. We propose a novel methodology to derive the indices of spillovers, by using a Global Vector autoregressive model tted to data sampled at mixed-frequencies. We nd that macrouncertainty and nancial stress are relatively disconnected in the Eurozone. We also show that connectedness between core and periphery Eurozone countries is mainly occurring through nancial stress and it decreases since the outbreak of the Eurozone sovereign debt crisis (with an increasing role played by peripheral countries). As a result, investors and policymakers should monitor separately macro-uncertainty and nancial stress. Finally, we nd that the mixed-frequency data should be taken into account in this context, otherwise, the spillovers are underestimated.
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