Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
货币、财政与石油冲击：混频结构 FAVAR 的证据
Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency factor models have been also used in a reduced form context, but not for structural applications, and in this paper we close this gap. First, we adapt a simple technique developed in a small scale mixed frequency VAR and factor context to the large scale case, and compare the resulting model with existing alternatives.…