Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows
Emanuele Bacchiocchi (),
Andrea Bastianin (),
Alessandro Missale () and
Eduardo Rossi ()
No 2016-04, Working Papers from Joint Research Centre, European Commission (Ispra site)
In this paper we study how monetary policy, economic uncertainty and economic policy uncertainty impact on the dynamics of gross capital inflows in the US. Particular attention is paid to the mixed frequency-nature of the economic time series involved in the analysis. A MIDAS-SVAR model is presented and estimated over the period 1988-2013. While no relation is found when using standard quarterly data, exploiting the variability present in the series within the quarter shows that the effect of a monetary policy shock is greater the longer the time lag between the month of the shock and the end of the quarter. In general, the effects of economic and policy uncertainty on US capital inflows are negative and significant. Finally, the effect of the three shocks is different when distinguishing between financial and bank capital in ows from one side, and FDI from the other.
Keywords: Gross capital inflows; monetary policy; economic and policy uncertainty; mixed frequency variables (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
References: Add references at CitEc
Citations: Track citations by RSS feed
Published by Publications office of the European Union, 2016
Downloads: (external link)
https://bookshop.europa.eu/en/structural-analysis- ... er=KJ-AE-16-004-EN-N (application/pdf)
Working Paper: Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows (2018)
Working Paper: Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:jrs:wpaper:201604
Access Statistics for this paper
More papers in Working Papers from Joint Research Centre, European Commission (Ispra site) Contact information at EDIRC.
Bibliographic data for series maintained by Peter Benczur ().