Over the last decade or so, addressing financial instability has become a policy priority. Despite the efforts made, policymakers are still a long way from developing a satisfactory operational framework. A major challenge complicating this task is the "fuzziness" with which financial...

This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR(MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data,e.g., monthly and quarterly series. MIDAS leads to parsimonious models based onexponential lag polynomials for the coe¢ cients, whereas...