Are low frequency macroeconomic variables important for high frequency electricity prices?

Recent research finds that forecasting electricity prices is very relevant. In many applications, it might be interesting to predict daily by using their own lags or renewable energy sources. However, the recent turmoil of and Russian–Ukrainian war increased attention in evaluating relevance industrial production Purchasing Managers’ Index output survey prices. We develop a Bayesian reverse unrestricted MIDAS model which accounts for mismatch frequency between monthly macro variables Germany Italy. find inclusion macroeconomic low more important short than medium term horizons means point density measures. particular, accuracy increases combining hard soft information, while only surveys gives less accurate forecasts data.