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Mixed frequency structural models: estimation, and policy analysis

  • Claudia Foroni

    ()

    (Norges Bank (Central Bank of Norway))

  • Massimiliano Marcellino

    (European University Institute, Bocconi University and CEPR)

In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the identfication issues, and yield more reliable policy conclusions. The problems and possible remedy are illustrated in the context of standard structural monetary policy models.

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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2013/WP-201315/
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Paper provided by Norges Bank in its series Working Paper with number 2013/15.

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Length: 43 pages
Date of creation: 11 Jun 2013
Date of revision:
Handle: RePEc:bno:worpap:2013_15
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  1. Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "Temporal Aggregation and Structural Inference in Macroeconomics," NBER Technical Working Papers 0060, National Bureau of Economic Research, Inc.
  2. Jeffrey C. Fuhrer & Glenn D. Rudebusch, 2002. "Estimating the Euler equation for output," Working Papers 02-3, Federal Reserve Bank of Boston.
  3. Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
  4. ., 2008. "Population Aging, Financial Markets and Monetary Policy," Chapters, in: Frontiers in Pension Finance, chapter 11 Edward Elgar.
  5. anonymous, 2008. "Monetary policy report to the Congress," Web Site 16, Board of Governors of the Federal Reserve System (U.S.).
  6. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
  7. anonymous, 2008. "Monetary policy report to the Congress," Web Site 34, Board of Governors of the Federal Reserve System (U.S.).
  8. Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, 02.
  9. Oscar Jorda, . "Random-Time Aggregation In Partial Ajustment Models," Department of Economics 97-32, California Davis - Department of Economics.
  10. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011. "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers 2011-21, School of Economics and Management, University of Aarhus.
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