G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10610
DP10610 Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs
Massimiliano Marcellino
发表日期2015-05-24
出版年2015
语种英语
摘要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.
主题International Macroeconomics
关键词Estimation Identification Impulse response function Mixed frequency data Structural favar Temporal aggregation
URLhttps://cepr.org/publications/dp10610
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/539442
推荐引用方式
GB/T 7714
Massimiliano Marcellino. DP10610 Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs. 2015.
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