Research
You can also find my research on Google and Semantic Scholar, most past/present working papers are listed in my arXiv profile, and a full publication list is available on RePec.
Working Papers
- Are there asymmetries in euro area monetary policy?
- A Bayesian Gaussian Process Dynamic Factor Model
- Large Bayesian VARs for Binary and Censored Variables
- Scenario analysis with multivariate Bayesian machine learning models
- Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns
- General Seemingly Unrelated Local Projections
- Asymmetries in International Financial Spillovers
- Direct Gaussian Process Predictive Regressions with Mixed Frequency Data
- Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations
- Implications of macroeconomic volatility in the Euro area
Published Papers
- Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
- High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
- Nonparametric Mixed Frequency Monitoring Macro-at-Risk
- Belief Shocks and Implications of Expectations About Growth-at-Risk
- Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
- Sparse time-varying parameter VECMs with an application to modeling electricity prices
- Investigating growth-at-risk using a multicountry nonparametric quantile factor model
- Forecasting euro area inflation using a huge panel of survey expectations
- Predicting Tail-Risks for the Italian Economy
- Forecasts with Bayesian vector autoregressions under real time conditions
- Financial markets and legal challenges to unconventional monetary policy
- Tail forecasting with multivariate Bayesian additive regression trees
- Measuring international uncertainty using global vector autoregressions with drifting parameters
- A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
- General Bayesian time-varying parameter VARs for predicting government bond yields
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- Approximate Bayesian inference and forecasting in huge-dimensional panel VARs
- Modeling tail risks of inflation using unobserved component quantile regressions
- Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
- The dynamic impact of monetary policy on regional housing prices in the United States
- On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty
- Measuring the effectiveness of US monetary policy during the COVID-19 recession
- Stochastic model specification in Markov switching vector error correction models
- Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
- The regional transmission of uncertainty shocks on income inequality in the United States
- A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
- Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
Book Chapters
- Bayesian nonparametric methods for macroeconomic forecasting
- Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs
Policy and Media
- Monetary Policy under Economic Uncertainty: Evidence from the Euro Area
- Was genau ist eigentlich eine Rezession?
- Wie hoch sind die Inflationsrisiken wirklich?
- Wie sich ein zweiter Lockdown auf Österreichs Wirtschaft auswirken würde
- Makroökonomische Entwicklungen unter Unsicherheit
- Zur Treffsicherheit von Notenbank-Prognosen nach der Finanzkrise
- Brexit – Folgen für Österreich und die EU