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Contenuto archiviato il 2024-06-18

The Econometric Analysis of Mixed Frequency Data and its use in Policy Making

Obiettivo

"The project deals with methods that are applicable across different scientific disciplines and is therefore inherently multidisciplinary. Our focus, however, will be on economic applications, as this is our field of expertise. Economic time series are sampled at different frequencies. For example, financial markets data are available on a (intra-)daily basis, while many macroeconomic series are observed monthly or quarterly. The typical approach adopted in empirical research is to align the data at the lowest sampling frequency and run regressions with same-frequency data. This leads to loss of information. In addition, the availability of high frequency financial data represents an opportunity to update expectations about low frequency macroeconomic time series – something that is of key importance to policy decision makers. Our research pertains to methods that allow us to handle mixed frequency data in empirical research as well as provide tools for policy makers to use the steady flow of high frequency data to help guide their decision making process. The research is based on a framework, using so called MIDAS, meaning Mi(xed) Da(ta) S(ampling) regressions that involve data sampled at different frequencies. This research opens up many new areas, some of which have already been studied, while many others remain unexplored. The purpose of this research project is to study the many unexplored areas ranging from systemic risk monitoring to macroeconomic forecasting for the Euro area for the purpose of policy decision."

Campo scientifico (EuroSciVoc)

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Argomento(i)

Invito a presentare proposte

FP7-PEOPLE-2010-IIF
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Meccanismo di finanziamento

MC-IIF - International Incoming Fellowships (IIF)

Coordinatore

UNIVERSITY OF CYPRUS
Contributo UE
€ 198 860,00
Indirizzo
AVENUE PANEPISTIMIOU 2109 AGLANTZI
1678 Nicosia
Cipro
Regione
Κύπρος Κύπρος Κύπρος
Tipo di attività
Higher or Secondary Education Establishments
Collegamenti
Costo totale
Nessun dato