20 citations · 35 across the 29 of their papers we have counts for
33 papers
Are there asymmetries in euro area monetary policy transmission?
Michael Pfarrhofer, Anna Stelzer
We answer the question posed in the title with a nonlinear mixed-frequency vector autoregression, estimated with Bayesian additive regression trees. The model combines monthly macr…
Conditional projection methods for large-scale Bayesian VARs
Niko Hauzenberger, Michael Pfarrhofer
We develop fast methods for conditional forecasting and structural scenario analysis with high-dimensional Bayesian vector autoregressions (VARs). Our general framework features a…
A Bayesian Gaussian Process Dynamic Factor Model
Tony Chernis, Niko Hauzenberger, Haroon Mumtaz +1
We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of fl…
Large Bayesian VARs for Binary, Censored and Count Variables
Joshua C. C. Chan, Michael Pfarrhofer, Davide Pettenuzzo +2
We extend the vector autoregression (VAR) to model binary, censored, count and unrestricted variables jointly, treating missing observations of any type in the same way. Each restr…
Scenario Analysis with Multivariate Bayesian Machine Learning Models
Michael Pfarrhofer, Anna Stelzer
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonpa…
Asymmetries in Financial Spillovers
Florian Huber, Karin Klieber, Massimiliano Marcellino +2
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our f…