The Global Financial Crisis (2007-2009) has shown the importance of understanding the linkages between financial sector and real economy. Ample research was done to study the sources and role of macro-financial linkages (see e.g. BCBS (2011, 2012), Morley (2016), Claessens and Kose (2017) for the surveys of recent literature). Notably, the shocks driven by the financial variables were found to have heterogeneous effects across both time and countries. For example, Prieto et al. (2016) found that financial shocks, especially credit shocks, contribute more to the explanation of US GDP growth fluctuations during financial crises and less during the normal times. Bijsterbosch and Falagiarda (2015) and Silvestrini and Zaghini (2015) obtain similar results for the euro area. Some of the recent literature on macro-financial linkages has shown the existence of cross-country heterogeneity in the transmission of financial shocks. As such, Guarda and Jeanfils (2012), Hubrich et al. (2013) and Bijsterbosch and Falagiarda (2015) conclude that real effects of the credit shock differs across European countries. Asset price shocks were also found by Chirinko et al. (2008) to have heterogeneous real effects across 11 EU countries, Japan, and the US.