标题： 基于混合频率数据的结构分析：美国资本流动的MIDAS-SVAR模型 显示英文标题

标题： Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows

摘要： 我们开发了一个新的VAR模型，用于具有混合频率数据的结构分析。 MIDAS-SVAR模型能够利用在不同频率下采样的变量中包含的信息来识别结构动态联系。 它还提供了一个通用框架，用于测试基于同频的表示方法与混合频率数据模型。 一组蒙特卡洛实验表明，该检验在大小和功效方面表现良好。 然后使用MIDAS-SVAR研究货币政策和金融市场波动如何影响美国总资本流入的动力学。 当使用标准的季度数据时未发现任何关系，但利用季度内系列中存在的变异性表明，利率冲击的影响在冲击月份与季度末之间的时滞越长时越大。 显示英文摘要

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