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econ.EM2024★ 1 cited
Machine Learning the Macroeconomic Effects of Financial Shocks
Niko Hauzenberger, Florian Huber, Karin Klieber +1
We propose a method to learn the nonlinear impulse responses to structural shocks using neural networks, and apply it to uncover the effects of US financial shocks. The results rev…
econ.EM2024
Bayesian modelling of VAR precision matrices using stochastic block networks
Florian Huber, Gary Koop, Massimiliano Marcellino +1
Commonly used priors for Vector Autoregressions (VARs) induce shrinkage on the autoregressive coefficients. Introducing shrinkage on the error covariance matrix is sometimes done b…