Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs

We contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. Based on a new “high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US economy. As main findings, we document a “temporal aggregation bias” when we adopt a common low frequency model instead of estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock.