2 citations · 3 across the 6 of their papers we have counts for
6 papers
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…
Asymmetries in Financial Spillovers
Florian Huber, Karin Klieber, Massimiliano Marcellino +2
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our f…
Integration or fragmentation? A closer look at euro area financial markets
Martin Feldkircher, Karin Klieber
This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-auto…
Non-linear dimension reduction in factor-augmented vector autoregressions
Karin Klieber
This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. I argue that controlling for no…
Bayesian Neural Networks for Macroeconomic Analysis
Niko Hauzenberger, Florian Huber, Karin Klieber +1
Macroeconomic data is characterized by a limited number of observations (small T), many time series (big K) but also by featuring temporal dependence. Neural networks, by contrast,…
Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques
Niko Hauzenberger, Florian Huber, Karin Klieber
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning l…