Structural analysis with mixed-frequency data: A model of US capital flows

Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale and Eduardo Rossi

Economic Modelling, 2020, vol. 89, issue C, 427-443

Abstract: We develop a new structural Vector Autoregressive (SVAR) model for analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also provides a general framework to test homogeneous frequency-based representations versus mixed-frequency data models. A set of Monte Carlo experiments suggests that the test performs well both in terms of size and power. The MIDAS-SVAR is then used to study how monetary policy and financial uncertainty impact on the dynamics of gross capital inflows to the US. While no relation is found when using standard quarterly data, mixed frequency analysis exploiting the variability present in the series within the quarter shows that the effect of an interest rate shock is greater the longer the time lag between the month of the shock and the end of the quarter.

Keywords: Mixed frequency variables; Capital flows; Monetary policy; Uncertainty shocks (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443

DOI: 10.1016/j.econmod.2019.11.010

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