Nowcasting causality in mixed frequency vector autoregressive models

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models. •Nowcasting causality (NC) is the mixed-frequency version of instantaneous causality.•We analyze the impact of NC on Granger causality (GC) in reduced-form VAR models.•Mixed-frequency conditional models can merge the implications of GC and NC.•The results are illustrated in a Monte Carlo study and several empirical applications.