1 citations · 1 across the 6 of their papers we have counts for
6 papers · 1 filter
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…
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…
Nowcasting with Mixed Frequency Data Using Gaussian Processes
Niko Hauzenberger, Massimiliano Marcellino, Michael Pfarrhofer +1
We develop Bayesian machine learning methods for mixed data sampling (MIDAS) regressions. This involves handling frequency mismatches and specifying functional relationships betwee…
High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
Michael Pfarrhofer, Anna Stelzer
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector auto…
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…
Implications of macroeconomic volatility in the Euro area
Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer +2
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area.…