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HomeStructural analysis with mixed frequencies
Monetary policy, uncertainty and gross capital flows
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In this paper we study how monetary policy, economic uncertainty and economic policy uncertainty impact on the dynamics of gross capital in ows 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 in ows 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.
- Publicat(ă) la:
- Autor(i) instituţional(i): Joint Research Centre (Comisia Europeană)
- Teme: Politica economică – Uniunea economică și monetară , Politica monetară
- Subiecte: capital movement , econometrics , economic cycle , economic model , economic policy , monetary policy
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| ISSN 2467-2203 | ISBN 978-92-79-57683-6 | DOI 10.2760/393318 | Număr de catalog KJ-AE-16-004-EN-N |
- Released on EU publications website:
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