Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Vol:
26/2021
Year:
2021
Month:
February
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.
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