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We develop a new VAR model for structural analysis with mixed-frequency data.The MIDAS-SVAR model allows to identify structural dynamic links exploiting theinformation contained in variables sampled at different frequencies. It alsoprovides a general framework to test homogeneous frequency-basedrepresentations versus mixed-frequency data models. A set of Monte Carloexperiments suggests that the test performs well both in terms of size andpower. The MIDAS-SVAR is then used to study how monetary policy and financialmarket volatility impact on the dynamics of gross capital inflows to the US.While no relation is found when using standard quarterly data, exploiting thevariability present in the series within the quarter shows that the effect ofan interest rate shock is greater the longer the time lag between the month ofthe shock and the end of the quarter

Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows