Identifying high-frequency shocks with Bayesian mixed-frequency VARs

Alessia Paccagnini and Fabio Parla ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. Based on a new “high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US economy. As main findings, we document a “temporal aggregation bias” when we adopt a common low frequency model instead of estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock.

Keywords: Bayesian mixed-frequency VAR; MIDAS; uncertainty shocks; macro-financial linkages (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2021-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Identifying High-Frequency Shockswith Bayesian Mixed-Frequency VARs (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2021-26

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