Electroencephalographic (EEG) correlates of movement have been studied extensively over many years. In the present work, we focus on investigating neural correlates that originate from the spine and study their connectivity to corresponding signals from the sensorimotor cortex using multivariate autoregressive (MVAR) models. To study cortico-spinal interactions, we simultaneously measured spinal cord potentials (SCPs) and somatosensory evoked potentials (SEPs) of wrist movements elicited by neuromuscular electrical stimulation. We identified directional connections between spine and cortex during both the extension and flexion of the wrist using only non-invasive recording techniques. Our connectivity estimation results are in alignment with various studies investigating correlates of movement, i.e., we found the contralateral side of the sensorimotor cortex to be the main sink of information as well as the spine to be the main source of it. Both types of movement could also be clearly identified in the time-domain signals.