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MASTER THESIS
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The use of high-frequency data in mainstream macroeconomic models

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Halleux, Laurène ULiège
Promotor(s) : Lejeune, Thomas ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink : http://hdl.handle.net/2268.2/18670
Details
Title : The use of high-frequency data in mainstream macroeconomic models
Translated title : [fr] L'utilisation des données à haute fréquence dans les principaux modèles macroéconomiques
Author : Halleux, Laurène ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Lejeune, Thomas ULiège
Committee's member(s) : Hambuckers, Julien ULiège
Clerc, Pierrick ULiège
Language : English
Number of pages : 104 (annexes comprises)
Keywords : [en] High-frequency data
[en] Big Data
[en] Dynamic Stochastic General Equilibrium model
[en] New-Keynesian model
[en] Bayesian techniques
Discipline(s) : Business & economic sciences > Macroeconomics & monetary economics
Business & economic sciences > Finance
Target public : Researchers
Professionals of domain
Student
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences économiques, orientation générale, à finalité spécialisée en macroeconomics and finance
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] This study explores two key objectives: evaluating the effectiveness of high-frequency data in predicting economic shocks and ameliorating economic databases by adding time series in order to get a deeper understanding of economic mechanisms. The results indicate the complexity surrounding data frequency and emphasize the need to balance the benefits and limitations of different frequencies in predictive modeling. Furthermore, the study highlights the importance of considering the specific economic context and modeling objectives when making the optimal choice of data frequency. These findings have wide-ranging implications, providing economists and policy-makers with information for the creation of more effective choices and policies and the enhancement of economic resilience.


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Author

  • Halleux, Laurène ULiège Université de Liège > Master sc. éco., or. gén., à fin.

Promotor(s)

Committee's member(s)

  • Hambuckers, Julien ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché
    ORBi View his publications on ORBi
  • Clerc, Pierrick ULiège Université de Liège - ULiège > HEC Liège : UER > UER Economie : Macroéconomie et pensée économique
    ORBi View his publications on ORBi
  • Total number of views 11
  • Total number of downloads 3










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