20 citations · 35 across the 29 of their papers we have counts for
8 papers · 1 filter
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…
Sparse time-varying parameter VECMs with an application to modeling electricity prices
Niko Hauzenberger, Michael Pfarrhofer, Luca Rossini
In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model specific…
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…
Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
Florian Huber, Gary Koop, Michael Pfarrhofer
Researchers increasingly wish to estimate time-varying parameter (TVP) regressions which involve a large number of explanatory variables. Including prior information to mitigate ov…
A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
Florian Huber, Michael Pfarrhofer, Philipp Piribauer
This paper develops a dynamic factor model that uses euro area (EA) country-specific information on output and inflation to estimate an area-wide measure of the output gap. Our mod…