| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10610
|
| 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
|
| URL | https://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.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
