Search results for "Mixed frequency"
showing 4 items of 4 documents
ESSAYS ON FINANCIAL STRESS: A MIXED FREQUENCY DATA ANALYSIS
Macro-uncertainty and financial stress spillovers in the Eurozone
2020
Abstract This paper studies macro-uncertainty and financial distress spillovers within the Eurozone. We propose a novel methodology to derive the indices of spillovers, by using a Global Vector autoregressive model fitted to data sampled at mixed-frequencies. We find that macro-uncertainty and financial stress are relatively disconnected in the Eurozone. We also show that connectedness between core and periphery Eurozone countries mainly operates through financial stress and it decreases since the outbreak of the Eurozone sovereign debt crisis (with an increasing role played by peripheral countries). As a result, investors and policymakers should monitor separately macro-uncertainty and fin…
Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR
2020
In this paper, we extend the monthly financial stress index for Lithuania, computed by the European Central Bank, to a daily frequency and we also include banking sector stress among its constituents, beyond bond, equity and foreign exchange markets. We investigate the causal relationship between the daily financial stress index and monthly industrial production growth, using a Granger causality test applied to a mixed-frequency VAR. Our results suggest evidence of Granger causality from financial stress to industrial production growth once the index is enriched by daily observations from the financial markets. Our findings, based on impulse response analysis, confirm the negative effect of…
Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach
2014
Facing several economic and financial uncertainties, assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is often considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor-Augmented MIxed DAta Sampling (FA-MIDAS) model that enables (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low-frequency macroec…