Publications 

Selected working papers under revision

• Enhanced Bayesian Neural Networks for Macroeconomics and Finance with N. Hauzenberger, K. Klieber and M. Marcellino. (Revise and Resubmit, Journal of Econometrics)

• A tale of two tails: 130 years of growth-at-risk with M. Gächter, E. Hasler. (Revise and Resubmit, Macroeconomic Dynamics)

Publications in international refereed journals 

2024 & Forthcoming

• Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks with G. Koop, Journal of Applied Econometrics, forthcoming.

• Gaussian process vector autoregressions and macroeconomic uncertainty with Niko Hauzenberger, Massimiliano Marcellino and Nico Petz, Journal of Business & Economic Statistics, forthcoming.

• Financial markets and legal challenges to unconventional monetary policy with Stefan Griller and Michael Pfarrhofer, European Economic Review, forthcoming.

• Investigating Growth at Risk Using a Multi-Country Non-parametric Quantile Factor Model with Todd Clark, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer, Journal of Business & Economic Statistics, forthcoming.

• Forecasting US Inflation using Bayesian Nonparametric Models, with Todd Clark, Gary Koop and Massimiliano Marcellino, Annals of Applied Statistics, forthcoming.

• Tail Forecasting with Multivariate Bayesian Additive Regression Trees with Todd Clark, Gary Koop, Massimiliano Marcellino and Michael Pfarrhofer, International Economic Review, forthcoming.

• Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods, with Niko Hauzenberger and Gary Koop, Studies in Nonlinear Dynamics & Econometrics, forthcoming.

• Forecasting Macroeconomic Tail Risks with Big Data Quantile Regressions with Jan Prüser, Journal of Applied Econometrics, forthcoming.

• Bayesian Forecasting in the 21st Century: A Modern Review with Gael Martin, David Frazier, Worapree Maneesoonthorn, Ruben Loaiza-Maya, Gary Koop, John Maheu, Didier Nibbering and Anastasios Panagiotelis. International Journal of Forecasting, forthcoming.

• Introducing shrinkage in heavy-tailed state space models to predict equity excess returns with G. Kastner and M. Pfarrhofer, Empirical Economics, forthcoming.

• Forecasting euro area inflation using a huge panel of survey expectations with Luca Onorante and Michael Pfarrhofer. International Journal of Forecasting, forthcoming.

• Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? with Martin Feldkircher, Luis Gruber and Gregor Kastner. Journal of Forecasting, forthcoming.

2023

• Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions with Gary Koop, Journal of Applied Econometrics,  38/4 (2023): 556-576.

• A Bayesian panel VAR model to analyze the impact of climate change on high-income economies  with Tamas Krisztin and Michael Pfarrhofer, Annals of Applied Statistics, 17/2 (2023): 1543-1573.

• General Bayesian time-varying parameter VARs for modeling government bond yields with Manfred M. Fischer, Niko Hauzenberger and Michael Pfarrhofer, Journal of Applied Econometrics, 38/1 (2023): 69-87.

• Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques, with Niko Hauzenberger and Karin Klieber. International Journal of Forecasting, 39/2 (2023): 901-921.

• Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, with Gary Koop, Michael Pfarrhofer,  Luca Onorante and Josef Schreiner, Journal of Econometrics, 232/1 (2023): 52-69.

2022

• Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs with Martin Feldkircher, Gary Koop and Michael Pfarrhofer, International Economic Review, 63/4 (2022): 1625-1658.

• BGVAR: Bayesian Global Vector Autoregressions with shrinkage priors in R, with Max Böck and Martin Feldkircher, Journal of Statistical Software, 104/9 (2022)

• Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models with Niko Hauzenberger, Gary Koop and Luca Onorante, Journal of Business & Economic Statistics, 40/4 (2022): 1904 - 1918.

• Inference in Bayesian Additive Vector Autoregressive Tree Models, with Luca Rossini, Annals of Applied Statistics, 16/1 (2022): 104-123.

2021

• Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, with Gary Koop and Luca Onorante, Journal of Business & Economic Statistics, 39/3 (2021): 669 - 683

• Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models, with Niko Hauzenberger and Luca Onorante, Journal of Applied Econometrics, 36/3 (2021): 304-327.

• Dynamic shrinkage in time-varying parameter stochastic volatility in mean models, with Michael Pfarrhofer, Journal of Applied Econometrics, 36/2 (2021): 262-270.

• The transmission of uncertainty shocks on regional income inequality in the United States, with Manfred M. Fischer and Michael Pfarrhofer,  Journal of Economic Behavior and Organization, 183/3: 887-900.

• The impact of macroprudential policies on capital flows in CESEE, with Markus Eller, Niko Hauzenberger, Helene Schuberth and Lukas Vashold. Journal of International Money and Finance, 119 (2021): 102495.

• The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions, with Manfred M.Fischer, Michael Pfarrhofer and Petra Staufer-Steinocher, Real Estate Economics, 49/4 (2021): 1039 - 1068.

• Sparse Bayesian vector autoregressions in huge dimensions, with Gregor Kastner,  Journal of Forecasting, 39/7 (2021): 1142-1165.

• Stochastic model specification in Markov switching vector error correction models, with Niko Hauzenberger, Michael Pfarrhofer and Thomas Zörner, Studies in Nonlinear Dynamics and Econometrics, 25/2 (2021).

• Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession, with Martin Feldkircher and Michael Pfarrhofer,
  Scottish Journal of Political Economy,  68/3 (2021): 287-297.

2020

• How Important are Global Factors for Understanding the Dynamics of International Capital Flows?, with Michael Eller and Helene Schuberth, Journal of International Money and Finance, 109 (2020).

• Fragility and the spillovers of international uncertainty shocks, with Jesus Crespo Cuaresma and Luca Onorante,  Journal of International Money and Finance, 108 (2020).

• Trend Fundamentals and Exchange Rate Dynamics, with Daniel Kaufmann, Economica, 87/348 (2020): 1016-1036.

• International effects of a compression of euro area yield curves, with Martin Feldkircher and Thomas Gruber. Journal of Banking and Finance, 113 (2020): ID 105533.

• A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis, with Michael Pfarrhofer and Philipp Piribauer, Journal of Forecasting, 39/6 (2020): 911-926.

• Model instability in predictive exchange rate regressions, with Niko Hauzenberger, Journal of Forecasting, 39/2 (2020): 168 - 186.

• International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound, with Maria Teresa Punzi, Macroeconomic Dynamics, 24/4 (2020):  774-806. 

2019

• Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, with Gregor Kastner and Martin Feldkircher, Journal of Applied Econometrics, 34/5 (2019): 621-640.

• Adaptive shrinkage in Bayesian vector autoregressive models, with Martin Feldkircher, Journal of Business and Economic Statistics, 37/1 (2019): 27-39.

• Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model, with Jesus Crespo Cuaresma, Gernot Doppelhofer and Martin Feldkircher, Journal of the Royal Statistical Society: A, 182/3 (2019): 831-861.

• Threshold cointegration in international exchange rates: A Bayesian approach, with Thomas Zörner, International Journal of Forecasting, 35 (2019): 458-473.

• Changes in US Monetary Policy and its Transmission over the last Century, with Sebastian Breitfuß and Martin Feldkircher, German Economic Review, 20/4 (2019): 447-470. 

• The role of US based FDI flows for global output dynamics, with Manfred M. Fischer & Philipp Piribauer, Macroeconomic Dynamics, 23/3 (2019): 943-973.

2018

• Debt regimes and the effectiveness of monetary policy, with Clara De Luigi, Journal of Economic Dynamics and Control, 93 (2018): 218-238. 

• Predicting crypto-currencies using sparse non-Gaussian state space models, with Christian Hotz-Behofsits and Thomas Zörner, Journal of Forecasting, 37/6 (2018): 627-640.

• A Markov switching factor-augmented VAR model to analyze US monetary policy and business cycles, with Manfred M. Fischer, Oxford Bulletin of Economics and Statistics, 80/3 (2018): 575-604.

• Human Capital Accumulation and Long-Term Income Growth Projections for European Regions, with Jesus Crespo Cuaresma, Gernot Doppelhofer and Philipp Piribauer, Journal of Regional Science, 58/3 (2018): 81-99.

2017

• The shortage of safe assets in the US investment portfolio: Some international evidence, with Maria Teresa Punzi, Journal of International Money and Finance, 74 (2017): 318-336.

• Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models, Economics Letters, 150 (2017): 48-52.

• Forecasting Equity Indices using Large Bayesian VARs, with Tamas Krisztin and Philipp Piribauer, Bulletin of Economic Research, 69/3 (2017): 288-308.

2016

• Forecasting using Global Vector Autoregressions: A Bayesian Approach, with Jesus Crespo Cuaresma and Martin Feldkircher, Journal of Applied Econometrics, 31/7 (2016): 1371-1391.

• Does Joint Modeling of the World Economy Pay Off? Evaluating GVAR Forecasts from a Multivariate Perspective, with Jonas Dovern and M. Feldkircher, Journal of Economic Dynamics and Control, 70/9 (2016): 86–100.

• Density Forecasting using Bayesian Global Vector Autoregressions with Stochastic Volatility, International Journal of Forecasting, 32/3 (2016): 818-837.

• The International Transmission of US Shocks – Evidence from Global Vector Autoregressions, with Martin Feldkircher, European Economic Review, 81 (2016): 167-188.

• Forecasting Exchange Rates using Multivariate Threshold Models, B.E. Journal of Macroeconomics, 16/1 (2016): 193-201.

2015

• Global Prediction of Recessions, with Jonas Dovern, Economics Letters, 133 (2015): 81-84. 

Other refereed/policy publications

• A Shot for the US Economy, with Martin Gächter and Martin Meier, Finance Research Letters, forthcoming.

• Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models, with Rangan Gupta and Philipp Piribauer, International Review of Financial Analysis, 68 (2020): ID 101456

• The transmission of euro area interest rate shocks to Asia - Do effects differ when nominal interest rates are negative?, with Martin Feldkircher, Maria Teresa Punzi and Pornpinum Chantapacdepong, Emerging Markets Finance & Trade, forthcoming. 

• Unconventional Monetary Policy: New Tools, Same Channels?, with Martin Feldkircher, Journal of Risk and Financial Management, 11/4 (2018): 71-101.

• How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions, with Markus Eller and Martin Feldkircher, Focus on European Economic Integration, 1 (2017): 34-54.

• Weathering Global Shocks and Macrofinancial Vulnerabilities in Emerging Europe, with Markus Eller and Helene Schuberth, Focus on European Economic Integration, 1 (2016): 46-65.

• Modeling the evolution of monetary policy rules in CESEE, with Martin Feldkircher and Isabella Moder, Focus on European Economic Integration, 1 (2016): 8–27.

• Understanding the drivers of capital flows into the CESEE countries, with Markus Eller and Helene Schuberth, Focus on European Economic Integration, 2 (2016): 79–104.

• Back to a New Normal: How Different Paths of US Monetary Policy Affect the World Economy, with Martin Feldkircher and Isabella Moder, Economic Notes, 44/3 (2015): 409-418.

• Bridging the Information Gap: Early Estimates of Real GDP for Selected CESEE Countries, with Martin Feldkircher, Josef Schreiner, Marcel Tirpak, Peter Toth and Julia Wörz, Focus on European Economic Integration, 2 (2015): 56-75. 

• Price and Wage Rigidities in the Republic of Macedonia: Survey Evidence from Micro-Level Data, with Magdalena Petrovska, Focus on European Economic Integration, 1 (2015): 49-64.  

Contributions to books 

• Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs, with Martin Feldkircher and Michael Pfarrhofer. Chapter 3 in the Springer book Macroeconomic Forecasting in the Era of Big Data, edited by Peter Fuleky.