7 citations · 9 across the 7 of their papers we have counts for
15 papers
General Bayesian time-varying parameter VARs for predicting government bond yields
Manfred M. Fischer, Niko Hauzenberger, Florian Huber +1
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such mode…
On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
Niko Hauzenberger, Michael Pfarrhofer, Anna Stelzer
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level o…
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
Florian Huber, Gary Koop, Luca Onorante +2
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree model…
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
Martin Feldkircher, Florian Huber, Michael Pfarrhofer
The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks eng…
Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
Florian Huber, Michael Pfarrhofer
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but a…
Forecasts with Bayesian vector autoregressions under real time conditions
Michael Pfarrhofer
This paper investigates the sensitivity of forecast performance measures to taking a real time versus pseudo out-of-sample perspective. We use monthly vintages for the United State…