Before revision:  We argue that the frequency dynamics is insightful for studying this connectedness because shocks with heterogeneous frequency responses create linkages with various degrees of persistence. Such connections are important for understanding the possible sources of systemic risk specific to economic cycles but remain hidden when aggregate measures of connectedness are used .
After revision:  We argue that the frequency dynamics is insightful for studying this connectedness because shocks with heterogeneous frequency responses to shocks .