• The dynamic relationships between economic and financial variables and the mechanism of shock transmission are crucial to policymakers and asset market participants. Such a relationship provokes early risk assessments to forestall turbulence in economic and financial systems. More specifically, the ability to recognise, comprehend, and diversify underlying sources of risk and return in financial markets is one of the many reasons why the empirical analysis of the cross-section of stock returns is relevant (Fama and French, 1992; Christoffersen et al., 2014; Engle, 2016). Researchers can determine important drivers of returns, such as size, value, momentum, and quality, by looking at the returns of particular stocks (Fama and French, 1992; Carhart, 1997). Because it offers insights into both stock selection and portfolio construction, this information is crucial for both practitioners and researchers. In this regard, Diebold and Yılmaz’s (2012) ground-breaking research might be considered a turning point in the study of dynamic network spillovers and the unfavourable consequences of potentially contagious times.
• In recent times, authorities have become interested in the synchronisation of inflation in various nations. A number of factors are thought to be significant for the international spillover of inflation, including the co-movement of business cycles internationally (Monacelli and Sala 2009; Mumtaz et al., 2011), purchasing power parity internationally (Gefang 2008; Chang et al., 2010), technology spillover internationally (Henriksen et al., 2011), common economic shocks internationally (Neely and Rapach 2011), common monetary policies internationally (Tiwari et al., 2016), etc. In addition to knowing where inflation spillover originates, forecasting future business cycles also requires a solid grasp of the phenomenon. Countries may overestimate domestic progress if they do not have a solid understanding of the inflation spillover mechanism (Ciccarelli and Mojon, 2010). In the literature on macroeconomic and financial analysis, examining the problem of inflation spillover is crucial. In the wake of the COVID-19 pandemic, the G7 countries have implemented standard fiscal (tax cuts, business grant programmes, interest rate reduction policies , etc.) and monetary policies (decreasing interest rate policies, quantitative easing, etc.) that could lead to significant inflationary spillovers within this group of nations in the near future. As a result, the connectedness of inflations has gained increasing relevance.