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Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows

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Abstract

In this paper we study how monetary policy, economic uncertainty and economic policy uncertainty impact on the dynamics of gross capital inflows in the US. Particular attention is paid to the mixed frequency-nature of the economic time series involved in the analysis. A MIDAS-SVAR model is presented and estimated over the period 1988-2013. While no relation is found when using standard quarterly data, exploiting the variability present in the series within the quarter shows that the effect of a monetary policy shock is greater the longer the time lag between the month of the shock and the end of the quarter. In general, the effects of economic and policy uncertainty on US capital inflows are negative and significant. Finally, the effect of the three shocks is different when distinguishing between financial and bank capital in ows from one side, and FDI from the other.

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  • Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016. "Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows," Working Papers 2016-04, Joint Research Centre, European Commission (Ispra site).
  • Handle: RePEc:jrs:wpaper:201604
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    Cited by:

    1. Alexander Chudik & Georgios Georgiadis, 2019. "Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables," Globalization Institute Working Papers 356, Federal Reserve Bank of Dallas.

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    More about this item

    Keywords

    Gross capital inflows; monetary policy; economic and policy uncertainty; mixed frequency variables;
    All these keywords.

    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
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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