Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs

Massimiliano Marcellino and Vasja Sivec

No 10610, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency factor models have been also used in a reduced form context, but not for structural applications, and in this paper we close this gap. First, we adapt a simple technique developed in a small scale mixed frequency VAR and factor context to the large scale case, and compare the resulting model with existing alternatives. Second, using Monte Carlo experiments, we show that the finite sample properties of the mixed frequency factor model estimation procedure are quite good. Finally, to illustrate the method we present three empirical examples dealing with the effects of, respectively, monetary, oil, and fiscal shocks.

Keywords: Estimation; Identification; Impulse response function; Mixed frequency data; Structural favar; Temporal aggregation (search for similar items in EconPapers)
JEL-codes: C32 C43 E32 (search for similar items in EconPapers)
Date: 2015-05
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP10610 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:10610

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP10610

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().