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摘要翻译：
本文提出了一种新的基于混合频率数据的结构分析VAR模型。MIDAS-SVAR模型允许利用不同频率下采样的变量所包含的信息来识别结构动态链接。它还提供了一个通用的框架来测试同质的基于频率的表示和混合频率的数据模型。一组蒙特卡罗实验表明，该测试在大小和功率方面都表现良好。然后利用MIDAS-SVAR模型研究了货币政策和金融市场波动对美国总资本流入动态的影响。虽然在使用标准季度数据时没有发现任何关系，但利用季度内序列中存在的可变性表明，利率冲击的影响越大，从冲击月份到季度末的时间间隔越长
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英文标题：
《Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US
capital flows》
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作者：
Emanuele Bacchiocchi, Andrea Bastianin, Alessandro Missale, Eduardo
Rossi
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
We develop a new VAR model for structural analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also provides a general framework to test homogeneous frequency-based representations versus mixed-frequency data models. A set of Monte Carlo experiments suggests that the test performs well both in terms of size and power. The MIDAS-SVAR is then used to study how monetary policy and financial market volatility impact on the dynamics of gross capital inflows to the US. 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 an interest rate shock is greater the longer the time lag between the month of the shock and the end of the quarter
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PDF链接：
https://arxiv.org/pdf/1802.00793
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