Research Podcast: Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs

In the podcast the economists reveal why it is important to take mixed variable frequencies into account when estimating economic models and discuss the potential consequences of ignoring the feature of different variable frequencies. The importance of the latter is revealed by an illustrative example of uncertainty shock effects for the U.S. economy. The discussion develops around the proposed measurement method and the modelling situations in which taking the advantage of mixed frequency economic variables might be most relevant.