Bridge Proxy-SVAR: Estimating the Macroeconomic Effects of Shocks Identified at High-Frequency
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- Andrea Gazzani & Alejandro Vicondoa, 2020. "Bridge Proxy-SVAR: estimating the macroeconomic effects of shocks identified at high-frequency," Temi di discussione (Economic working papers) 1274, Bank of Italy, Economic Research and International Relations Area.
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- Venditti, Fabrizio & Veronese, Giovanni, 2020. "Global financial markets and oil price shocks in real time," Working Paper Series 2472, European Central Bank.
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More about this item
JEL classification:
- 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
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2021-07-12 (Macroeconomics)
- NEP-MST-2021-07-12 (Market Microstructure)
- NEP-ORE-2021-07-12 (Operations Research)
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