Research

Publications in peer reviewed journals

Book chapters

Working papers (submitted and R&R)

  • Tail Forecasting with Multivariate Bayesian Additive Regression Trees, with Clark T.E., Huber F., Koop G., and M. Marcellino. [Working paper]

  • Approximate Bayesian inference and forecasting in huge-dimensional panel VARs, with Feldkircher M., Huber F., and G. Koop. [Working paper]

  • Tail forecasts of inflation using time-varying parameter quantile regressions. [Working paper]

  • General Bayesian time-varying parameter VARs for predicting government bond yields, with Fischer M.M., Hauzenberger N., and F. Huber. [Working paper]

  • Sparse time-varying parameter VECMs with an application to modeling electricity prices, with Hauzenberger N., and L. Rossini. [Working Paper]

  • Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations, with Huber, F. and G. Koop. [Working paper]

  • A Bayesian panel VAR model to analyze the impact of climate change on high-income economies, with Krisztin, T. and F. Huber. [Working paper]

  • On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty, with Hauzenberger N. and A. Stelzer, revise and resubmit in the Journal of Economic Behavior and Organisation. [Working paper]

  • Measuring international uncertainty using global vector autoregressions with drifting parameters, revise and resubmit in Macroeconomic Dynamics. [Working Paper]

  • Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, with Huber, F., and G. Kastner, revise and resubmit in Empirical Economics. [Working paper]

Other papers

  • Forecasts with Bayesian vector autoregressions under real time conditions. [Working Paper]

  • The international effects of central bank information shocks, with A. Stelzer. [Working Paper]

  • Implications of macroeconomic volatility in the Euro area, with Hauzenberger, N., Böck, M., Stelzer, A. and G. Zens, 2018. [ESRB Working Paper]

Policy briefings and media

  • Wie sich ein zweiter Lockdown auf Österreichs Wirtschaft auswirken würde/How a second lockdown would affect the Austrian economy, with N. Hauzenberger, August 2020. [German: Die Presse, Blog of the NOeG]

  • Makroökonomische Entwicklungen unter Unsicherheit/Macroeconomic dynamics in times of uncertainty, October 2019. [German: derStandard, Blog of WUEcon]

  • Zur Treffsicherheit von Notenbank-Prognosen nach der Finanzkrise/On the accuracy of central bank forecasts after the financial crisis, with F. Huber, August 2019. [German: Die Presse, Blog of the NOeG]

  • Brexit – Folgen für Österreich und die EU/The impact of Brexit on the economies of selected euro area member states, with Griller, S., Huber, F. and S. Puntscher-Riekmann, February 2019. [English: Blog; German: Memo, ORF, Der Standard, die Presse]

List of co-authors

M. Böck, T.E. Clark, M. Feldkircher, M.M. Fischer, N. Hauzenberger, F. Huber, G. Kastner, G. Koop, T. Krisztin, M. Marcellino, L. Onorante, P. Piribauer, L. Rossini, P. Staufer-Steinnocher, J. Schreiner, A. Stelzer, G. Zens, T.O. Zörner.