Research

Five most important publications

• “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]
• “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/PDF/WP]
• “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]
• “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]

List of all publications

• “Forecasting euro area inflation using a huge panel of survey expectations,” with Huber and Onorante, forthcoming International Journal of Forecasting. [WP]
• “Introducing shrinkage in heavy-tailed state space models to predict equity excess returns,” with Huber and Kastner, forthcoming in Empirical Economics. [DOI/WP]
• “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/PDF/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, draft of chapter for Handbook of Macroeconomic Forecasting, edited by Clements and Galvao. [Draft]

Working papers

• “Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model,” with Clark, Huber, Koop, and Marcellino, R&R Journal of Business & Economic Statistics. [WP]
• “Financial markets and legal challenges to unconventional monetary policy,” with Griller and Huber, R&R European Economic Review. [WP]
• “Forecasts with Bayesian vector autoregressions under real time conditions,” R&R Journal of Forecasting. [WP]
• “Sparse time-varying parameter VECMs with an application to modeling electricity prices,” with Hauzenberger and Rossini, R&R International Journal of Forecasting. [WP]
• “Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations,” with Huber and Koop. [WP]
• “The international effects of central bank information shocks,” with Stelzer. [WP]

Other papers

• “Implications of macroeconomic volatility in the Euro area,” with Hauzenberger, Böck, Stelzer, and Zens, 2018. [ESRB]

Policy briefings and media

• 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]

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 website, 2022-24