3 papers
econ.EM2025
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…
econ.GN2020
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…
econ.EM2019
Predicting credit default probabilities using machine learning techniques in the face of unequal class distributions
Anna Stelzer
This study conducts a benchmarking study, comparing 23 different statistical and machine learning methods in a credit scoring application. In order to do so, the models' performanc…