Research

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

Working papers

• “Scenario analysis with multivariate Bayesian machine learning models,” with Stelzer [WP]
• “Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns,” with Barbaglia, Frattarolo, Hauzenberger, Hirschbühl, Huber, Onorante and Tiozzo Pezzoli [WP]
• “General Seemingly Unrelated Local Projections” with Huber and Matthes [WP]
• “Asymmetries in International Financial Spillovers,” with Huber, Klieber, Marcellino and Onorante [WP]
• “Nowcasting with mixed frequency data using Gaussian processes,” with Hauzenberger, Marcellino and Stelzer [WP]
• “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]

Published

• “Predicting Tail-Risks for the Italian Economy,” with Böck, Marcellino, Tornese, forthcoming Journal of Business Cycle Research [DOI]
• “Belief Shocks and Implications of Expectations About Growth-at-Risk” with Böck, forthcoming Journal of Applied Econometrics [DOI]
• “Introducing shrinkage in heavy-tailed state space models to predict equity excess returns,” with Huber and Kastner, Empirical Economics 68, 535-553, 2025 [DOI/WP]
• “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]

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

Policy briefings and media

• Was genau ist eigentlich eine Rezession?/What is a recession? 12/2023 [Die Presse (german)]
• Wie hoch sind die Inflationsrisiken wirklich?/Inflation and inflation risks, 01/2022 [Die Presse (german)]
• Wie sich ein zweiter Lockdown auf Österreichs Wirtschaft auswirken würde/How a second lockdown would affect the Austrian economy, with Hauzenberger, 08/2020 [Die Presse (german)]
• Makroökonomische Entwicklungen unter Unsicherheit/Macroeconomic dynamics in times of uncertainty, 10/2019 [Der Standard (german)]
• Zur Treffsicherheit von Notenbank-Prognosen nach der Finanzkrise/On the accuracy of central bank forecasts after the financial crisis, with Huber, 08/2019 [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, 02/2019 [Blog featured in ORF, der Standard, die Presse]

Conferences and presentations

• 2025: Economics Research Seminar (JKU Linz)
• See [PDF of CV] for a full list