Identifying high-frequency shocks with Bayesian mixed-frequency VARs
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- Alessia Paccagnini & Fabio Parla, 2021. "Identifying High-Frequency Shockswith Bayesian Mixed-Frequency VARs," Bank of Lithuania Working Paper Series 97, Bank of Lithuania.
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KeywordsBayesian mixed-frequency VAR; MIDAS; uncertainty shocks; macro-financial linkages;
All these keywords.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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