Research

You can also find my research on Google Scholar and most past/present working papers are listed in my arXiv profile.

Forthcoming

• “Belief shocks and implications of expectations about growth-at-risk” with Böck, forthcoming Journal of Applied Econometrics.
• “Introducing shrinkage in heavy-tailed state space models to predict equity excess returns,” with Huber and Kastner, forthcoming in Empirical Economics. [DOI/WP]

Published

• “Sparse time-varying parameter VECMs with an application to modeling electricity prices,” with Hauzenberger and Rossini, International Journal of Forecasting 41(1), 361-376, 2025. [DOI/WP/Code]
• “Investigating growth-at-risk using a multicountry nonparametric quantile factor model,” with Clark, Huber, Koop, and Marcellino, Journal of Business & Economic Statistics 42(4), 1302-1317, 2024. [DOI/WP/Code]
• “Forecasting euro area inflation using a huge panel of survey expectations,” with Huber and Onorante, International Journal of Forecasting 40(3), 1042-1054, 2024. [DOI/WP]
• “Forecasts with Bayesian vector autoregressions under real time conditions,” Journal of Forecasting 43(3), 771-801, 2024. [DOI/WP]
• “Financial markets and legal challenges to unconventional monetary policy,” with Griller and Huber, European Economic Review 163, 104680, 2024. [DOI/WP/Code]
• “Tail forecasting with multivariate Bayesian additive regression trees,” with Clark, Huber, Koop, and Marcellino, International Economic Review 64(3), 979-1022, 2023. [DOI/WP]
• “Measuring international uncertainty using global vector autoregressions with drifting parameters,” Macroeconomic Dynamics 27(3), 770-793, 2023. [DOI/WP/Code]
• “A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies,” with Kristzin and Huber, The Annals of Applied Statistics 17(2), 1543-1573, 2023. [DOI/WP]
• “General Bayesian time-varying parameter VARs for predicting government bond yields,” with Fischer, Hauzenberger, and Huber, Journal of Applied Econometrics 38(1), 69-87, 2023. [DOI/WP]
• “Nowcasting in a pandemic using non-parametric mixed frequency VARs,” with Huber, Koop, Onorante, and Schreiner, Journal of Econometrics 232(1), 52-69, 2023. [DOI/WP/Code]
• “Approximate Bayesian inference and forecasting in huge-dimensional panel VARs,” with Feldkircher, Huber, and Koop, International Economic Review 63(4), 1625-1658, 2022. [DOI/WP]
• “Modeling tail risks of inflation using unobserved component quantile regressions,” Journal of Economic Dynamics and Control 143, 104493, 2022. [DOI/WP/Code]
• “Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy,” with Hauzenberger, The Scandinavian Journal of Economics 123(4), 1261–1291, 2021. [DOI/WP/Code]
• “The dynamic impact of monetary policy on regional housing prices in the United States,” with Fischer, Huber, and Staufer-Steinnocher, Real Estate Economics 49(4), 1039–1068, 2021. [DOI/WP]
• “On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty,” with Hauzenberger and Stelzer, Journal of Economic Behavior and Organisation 191, 822–845, 2021. [DOI/WP]
• “Measuring the effectiveness of US monetary policy during the COVID-19 recession,” with Feldkircher, and Huber, Scottish Journal of Political Economy 68(3), 287–297, 2021 (received the SJPE Best Paper of the Year 2021 Prize). [DOI/WP]
• “Stochastic model specification in Markov switching vector error correction models,” with Hauzenberger, Huber, and Zörner, Studies in Nonlinear Dynamics and Econometrics 25(2), 2021. [DOI/WP/Code]
• “Dynamic shrinkage in time-varying parameter stochastic volatility in mean models,” with Huber, Journal of Applied Econometrics 36(2), 262–270, 2021. [DOI/WP/Data]
• “The regional transmission of uncertainty shocks on income inequality in the United States,” with Fischer and Huber, Journal of Economic Behavior and Organization 183, 887–900, 2021. [DOI/WP]
• “A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis,” with Huber and Piribauer, Journal of Forecasting 39(6), 911–926, 2020. [DOI/WP]
• “Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models,” with Piribauer, Spatial Statistics 29, 109–128, 2019. [DOI/WP]

Book chapters

• “Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs,” with Feldkircher and Huber, for Macroeconomic Forecasting in the Era of Big Data, edited by Fuleky, ch. 3, 2020. [Chapter]
• “Bayesian nonparametric methods for macroeconomic forecasting” with Marcellino, for Handbook of Research Methods and Applications in Macroeconomic Forecasting, edited by Clements and Galvao, ch. 5, 2024. [Chapter]

Working papers

• “High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks,” with Stelzer, R&R. [WP]
• “Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model,” with Barbaglia, Frattarolo, Hauzenberger, Hirschbühl, Huber, Onorante and Tiozzo Pezzoli, R&R. [WP]
• “Nowcasting with mixed frequency data using Gaussian processes,” with Hauzenberger, Marcellino and Stelzer. [WP]
• “Asymmetries in International Financial Spillovers,” with Huber, Klieber, Marcellino and Onorante. [WP]
• “General Seemingly Unrelated Local Projections” with Huber and Matthes. [WP]

Other papers

• “Implications of macroeconomic volatility in the Euro area,” with Hauzenberger, Böck, Stelzer, and Zens, 2018. [ESRB-WP]
• “Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations,” with Huber and Koop. [WP]

Research grants

• Jubiläumsfonds der Oesterreichischen Nationalbank (OeNB): “Between fostering and limiting central bank independence: The impact of constitutional courts decisions,” (co-PI, principal investigator: Florian Huber), total funding EUR 118,000.00, 2020-2022
• Jubiläumsfonds der Oesterreichischen Nationalbank (OeNB): “Inference with Bayesian nonparametric models in the presence of measurement errors and outliers,” (PI), total funding EUR 168,000.00, project 18765 website, 2022-24

Conferences and presentations

• 2024: ECB conference “Macroeconomic Modelling Frontiers for Research and Policy in Central Banks” (presented by co-author), IAAE Annual Conference 2024 (International Association for Applied Econometrics, IAAE, Thessaloniki), Workshop on Agricultural Commodity Prices (International Institute for Applied Systems Analysis, IIASA, Laxenburg), Seminar (Institute for Advanced Studies, IHS, Vienna), Freitagsseminar (Oesterreichische Nationalbank, OeNB, Vienna)
• 2023: 27th International Conference on Macroeconomic Analysis and International Finance (Rethymno, Crete), 12th ECB Conference on Forecasting Techniques (keynote, presented by co-author, Frankfurt), Macro Breakfast Seminar (University of Vienna), Annual Meeting of the Austrian Economic Association (NOeG), Internal Research Seminar (WU Vienna)
• 2022: Internal Research Seminar (European Commission, JRC Ispra), Macro Brownbag Seminar (Economics, Bocconi University), Research Seminar (Decision Sciences, Bocconi University), Annual Meeting of the Austrian Economic Association (NOeG), 12th European Seminar on Bayesian Econometrics (scientific committee member, Salzburg), 15th International Conference on Computational and Financial Econometrics (CFE 2021, session organizer, London)
• 2021: American Economic Association (AEA) – Allied Social Science Association (ASSA 2021, online, presented by co-author), UC Louvain ISBA/CORE seminar (online, presented by co-author), Department of Economics Research Seminar (University of Salzburg), Economic Analysis and Research Department Seminar (Oesterreichische Nationalbank), 11th ECB Conference on Forecasting Techniques (Macroeconomic forecasting in abnormal times, online, presented by co-author), 2021 IAAE Annual Conference (online), Annual Meeting of the Austrian Economic Association (NOeG), 11th European Seminar on Bayesian Econometrics (ESOBE, Madrid, online), 4th Annual Workshop on Financial Econometrics (Örebro University School of Business and Kommuninvest, online)
• Pre-2021: Monetral Econometrics Seminar 2020 (online, presented by co-author), Annual Meeting of the Austrian Economic Association (NOeG, Vienna), 2nd International Conference on Data Science in Finance with R (DSF-R, invited talk, Vienna), 10th European Seminar on Bayesian Econometrics (ESOBE, St. Andrews, UK), Annual Meeting of the Austrian Economic Association (NOeG, Graz), Department of Economics Research Seminar (University of Salzburg), Annual Meeting of the Austrian Economic Association (NOeG, Vienna), XII World Conference of the Spatial Econometrics Association (SEA, Vienna)

Policy briefings and media

• Was genau ist eigentlich eine Rezession?/What is a recession? December 2023. [Die Presse (german)]
• Wie hoch sind die Inflationsrisiken wirklich?/Inflation and inflation risks, January 2022. [Die Presse (german)]
• Wie sich ein zweiter Lockdown auf Österreichs Wirtschaft auswirken würde/How a second lockdown would affect the Austrian economy, with Hauzenberger, August 2020. [Die Presse (german)]
• Makroökonomische Entwicklungen unter Unsicherheit/Macroeconomic dynamics in times of uncertainty, October 2019. [Der Standard (german)]
• Zur Treffsicherheit von Notenbank-Prognosen nach der Finanzkrise/On the accuracy of central bank forecasts after the financial crisis, with Huber, August 2019. [Die Presse (german)]
• Brexit – Folgen für Österreich und die EU/The impact of Brexit on the economies of selected euro area member states, with Griller, Huber and Puntscher-Riekmann, February 2019. [Blog featured in ORF, der Standard, die Presse]