Research

@unpublished{pfarrhofer2025asymmetries,
  title = {Are there asymmetries in euro area monetary policy?},
  author = {Pfarrhofer, Michael and Stelzer, Anna},
  year = {2025},
  number = {276},
  note = {Working Paper}
}

@unpublished{pfarrhofer2025gaussian,
  title = {A Bayesian Gaussian Process Dynamic Factor Model},
  author = {Chernis, Tony and Hauzenberger, Niko and Mumtaz, Haroon and Pfarrhofer, Michael},
  year = {2025},
  arxiv = {2509.04928},
  note = {Working Paper}
}

@unpublished{pfarrhofer2025binary,
  title = {Large Bayesian VARs for Binary and Censored Variables},
  author = {Chan, Joshua C.C. and Pfarrhofer, Michael},
  year = {2025},
  arxiv = {2506.01422},
  note = {Working Paper}
}

@unpublished{pfarrhofer2025scenario,
  title = {Scenario analysis with multivariate Bayesian machine learning models},
  author = {Pfarrhofer, Michael and Stelzer, Anna},
  year = {2025},
  arxiv = {2502.08440},
  note = {Working Paper}
}

@unpublished{pfarrhofer2024sulp,
  title = {General Seemingly Unrelated Local Projections},
  author = {Huber, Florian and Matthes, Christian and Pfarrhofer, Michael},
  year = {2024},
  arxiv = {2410.17105},
  note = {Working Paper}
}

@unpublished{pfarrhofer2024asymmetries,
  title = {Asymmetries in International Financial Spillovers},
  author = {Huber, Florian and Klieber, Karin and Marcellino, Massimiliano and Onorante, Luca and Pfarrhofer, Michael},
  year = {2024},
  arxiv = {2410.16214},
  note = {Working Paper}
}

@unpublished{pfarrhofer2024direct,
  title = {Direct Gaussian Process Predictive Regressions with Mixed Frequency Data},
  author = {Hauzenberger, Niko and Marcellino, Massimiliano and Pfarrhofer, Michael and Stelzer, Anna},
  year = {2024},
  arxiv = {2402.10574},
  note = {Working Paper}
}

@unpublished{pfarrhofer2020irga,
  title = {Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations},
  author = {Huber, Florian and Koop, Gary and Pfarrhofer, Michael},
  year = {2020},
  arxiv = {2002.10274},
  note = {Working Paper}
}

@unpublished{pfarrhofer2018volatility,
  title = {Implications of macroeconomic volatility in the Euro area},
  author = {Böck, Maximilian and Hauzenberger, Niko and Pfarrhofer, Michael and Stelzer, Anna and Zens, Gregor},
  year = {2018},
  note = {ESRB Working Paper}
}

@article{pfarrhofer2025interpretable,
  title = {Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns},
  author = {Barbaglia, Luca and Frattarolo, Lorenzo and Hauzenberger, Niko and Hirschbühl, Dominik and Huber, Florian and Onorante, Luca and Pfarrhofer, Michael and Tiozzo Pezzoli, Luca},
  journal = {Journal of Financial Econometrics},
  year = {2026+},
}

@article{pfarrhofer2026nowcasting,
  title = {Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model},
  author = {Barbaglia, Luca and Frattarolo, Lorenzo and Hauzenberger, Niko and Hirschbühl, Dominik and Huber, Florian and Onorante, Luca and Pfarrhofer, Michael and Tiozzo Pezzoli, Luca},
  journal = {International Journal of Forecasting},
  volume = {42},
  number = {2},
  pages = {657--672},
  year = {2026},
}

@article{pfarrhofer2025highfreq,
  title = {High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks},
  author = {Pfarrhofer, Michael and Stelzer, Anna},
  journal = {Macroeconomic Dynamics},
  volume = {29},
  pages = {1--22},
  year = {2025},
  arxiv = {1912.03158}
}

@article{pfarrhofer2025nonparametric,
  title = {Nonparametric Mixed Frequency Monitoring Macro-at-Risk},
  author = {Marcellino, Massimiliano and Pfarrhofer, Michael},
  journal = {Economics Letters},
  volume = {255},
  pages = {112498},
  year = {2025},
}

@article{pfarrhofer2025belief,
  title = {Belief Shocks and Implications of Expectations About Growth-at-Risk},
  author = {Böck, Maximilian and Pfarrhofer, Michael},
  journal = {Journal of Applied Econometrics},
  volume = {40},
  number = {3},
  pages = {341--348},
  year = {2025},
}

@article{pfarrhofer2025shrinkage,
  title = {Introducing shrinkage in heavy-tailed state space models to predict equity excess returns},
  author = {Huber, Florian and Kastner, Gregor and Pfarrhofer, Michael},
  journal = {Empirical Economics},
  volume = {68},
  pages = {535--553},
  year = {2025},
  arxiv = {1805.12217}
}

@article{pfarrhofer2025sparse,
  title = {Sparse time-varying parameter VECMs with an application to modeling electricity prices},
  author = {Hauzenberger, Niko and Pfarrhofer, Michael and Rossini, Luca},
  journal = {International Journal of Forecasting},
  volume = {41},
  number = {1},
  pages = {361--376},
  year = {2025},
  arxiv = {2011.04577},
}

@article{pfarrhofer2024growthfactor,
  title = {Investigating growth-at-risk using a multicountry nonparametric quantile factor model},
  author = {Clark, Todd E. and Huber, Florian and Koop, Gary and Marcellino, Massimiliano and Pfarrhofer, Michael},
  journal = {Journal of Business \& Economic Statistics},
  volume = {42},
  number = {4},
  pages = {1302--1317},
  year = {2024},
  arxiv = {2110.03411},
}

@article{pfarrhofer2024inflation,
  title = {Forecasting euro area inflation using a huge panel of survey expectations},
  author = {Huber, Florian and Onorante, Luca and Pfarrhofer, Michael},
  journal = {International Journal of Forecasting},
  volume = {40},
  number = {3},
  pages = {1042--1054},
  year = {2024},
  arxiv = {2207.12225}
}

@article{pfarrhofer2024tailrisks,
  title = {Predicting Tail-Risks for the Italian Economy},
  author = {Böck, Maximilian and Marcellino, Massimiliano and Pfarrhofer, Michael and Tornese, Tommaso},
  journal = {Journal of Business Cycle Research},
  volume = {20},
  pages = {339--366},
  year = {2024},
}

@article{pfarrhofer2024forecasts,
  title = {Forecasts with Bayesian vector autoregressions under real time conditions},
  author = {Pfarrhofer, Michael},
  journal = {Journal of Forecasting},
  volume = {43},
  number = {3},
  pages = {771--801},
  year = {2024},
  arxiv = {2004.04984}
}

@article{pfarrhofer2024financial,
  title = {Financial markets and legal challenges to unconventional monetary policy},
  author = {Griller, Stefan and Huber, Florian and Pfarrhofer, Michael},
  journal = {European Economic Review},
  volume = {163},
  pages = {104680},
  year = {2024},
  arxiv = {2202.12695},
}

@article{pfarrhofer2023tailbart,
  title = {Tail forecasting with multivariate Bayesian additive regression trees},
  author = {Clark, Todd E. and Huber, Florian and Koop, Gary and Marcellino, Massimiliano and Pfarrhofer, Michael},
  journal = {International Economic Review},
  volume = {64},
  number = {3},
  pages = {979--1022},
  year = {2023},
}

@article{pfarrhofer2023uncertainty,
  title = {Measuring international uncertainty using global vector autoregressions with drifting parameters},
  author = {Pfarrhofer, Michael},
  journal = {Macroeconomic Dynamics},
  volume = {27},
  number = {3},
  pages = {770--793},
  year = {2023},
  arxiv = {1908.06325},
}

@article{pfarrhofer2023climate,
  title = {A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies},
  author = {Huber, Florian and Kristzin, Tamas and Pfarrhofer, Michael},
  journal = {The Annals of Applied Statistics},
  volume = {17},
  number = {2},
  pages = {1543--1573},
  year = {2023},
  arxiv = {1804.01554}
}

@article{pfarrhofer2023tvpvar,
  title = {General Bayesian time-varying parameter VARs for predicting government bond yields},
  author = {Fischer, Manfred M. and Hauzenberger, Niko and Huber, Florian and Pfarrhofer, Michael},
  journal = {Journal of Applied Econometrics},
  volume = {38},
  number = {1},
  pages = {69--87},
  year = {2023},
  arxiv = {2102.13393},
}

@article{pfarrhofer2023nowcasting,
  title = {Nowcasting in a pandemic using non-parametric mixed frequency VARs},
  author = {Huber, Florian and Koop, Gary and Onorante, Luca and Pfarrhofer, Michael and Schreiner, Josef},
  journal = {Journal of Econometrics},
  volume = {232},
  number = {1},
  pages = {52--69},
  year = {2023},
  arxiv = {2008.12706},
}

@article{pfarrhofer2022panelvar,
  title = {Approximate Bayesian inference and forecasting in huge-dimensional panel VARs},
  author = {Feldkircher, Martin and Huber, Florian and Koop, Gary and Pfarrhofer, Michael},
  journal = {International Economic Review},
  volume = {63},
  number = {4},
  pages = {1625--1658},
  year = {2022},
  arxiv = {2103.04944}
}

@article{pfarrhofer2022inflation,
  title = {Modeling tail risks of inflation using unobserved component quantile regressions},
  author = {Pfarrhofer, Michael},
  journal = {Journal of Economic Dynamics and Control},
  volume = {143},
  pages = {104493},
  year = {2022},
  arxiv = {2103.03632},
}

@article{pfarrhofer2021network,
  title = {Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy},
  author = {Hauzenberger, Niko and Pfarrhofer, Michael},
  journal = {The Scandinavian Journal of Economics},
  volume = {123},
  number = {4},
  pages = {1261--1291},
  year = {2021},
  arxiv = {1911.06206},
}

@article{pfarrhofer2021housing,
  title = {The dynamic impact of monetary policy on regional housing prices in the United States},
  author = {Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael and Staufer-Steinnocher, Petra},
  journal = {Real Estate Economics},
  volume = {49},
  number = {4},
  pages = {1039--1068},
  year = {2021},
  arxiv = {1802.05870}
}

@article{pfarrhofer2021ecb,
  title = {On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty},
  author = {Hauzenberger, Niko and Pfarrhofer, Michael and Stelzer, Anna},
  journal = {Journal of Economic Behavior and Organisation},
  volume = {191},
  pages = {822--845},
  year = {2021},
  arxiv = {2011.14424}
}

@article{pfarrhofer2021covid,
  title = {Measuring the effectiveness of US monetary policy during the COVID-19 recession},
  author = {Feldkircher, Martin and Huber, Florian and Pfarrhofer, Michael},
  journal = {Scottish Journal of Political Economy},
  volume = {68},
  number = {3},
  pages = {287--297},
  year = {2021},
  arxiv = {2007.15419}
}

@article{pfarrhofer2021markov,
  title = {Stochastic model specification in Markov switching vector error correction models},
  author = {Hauzenberger, Niko and Huber, Florian and Pfarrhofer, Michael and Zörner, Thomas O.},
  journal = {Studies in Nonlinear Dynamics and Econometrics},
  volume = {25},
  number = {2},
  year = {2021},
  arxiv = {1807.00529},
}

@article{pfarrhofer2021shrinkage,
  title = {Dynamic shrinkage in time-varying parameter stochastic volatility in mean models},
  author = {Huber, Florian and Pfarrhofer, Michael},
  journal = {Journal of Applied Econometrics},
  volume = {36},
  number = {2},
  pages = {262--270},
  year = {2021},
  arxiv = {2005.06851}
}

@article{pfarrhofer2021inequality,
  title = {The regional transmission of uncertainty shocks on income inequality in the United States},
  author = {Fischer, Manfred M. and Huber, Florian and Pfarrhofer, Michael},
  journal = {Journal of Economic Behavior and Organization},
  volume = {183},
  pages = {887--900},
  year = {2021},
  arxiv = {1806.08278}
}

@article{pfarrhofer2020dfm,
  title = {A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis},
  author = {Huber, Florian and Pfarrhofer, Michael and Piribauer, Philipp},
  journal = {Journal of Forecasting},
  volume = {39},
  number = {6},
  pages = {911--926},
  year = {2020},
  arxiv = {2001.03935}
}

@article{pfarrhofer2019spatial,
  title = {Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models},
  author = {Pfarrhofer, Michael and Piribauer, Philipp},
  journal = {Spatial Statistics},
  volume = {29},
  pages = {109--128},
  year = {2019},
  arxiv = {1805.10822}
}

@incollection{pfarrhofer2024nonparametric,
  title = {Bayesian nonparametric methods for macroeconomic forecasting},
  author = {Marcellino, Massimiliano and Pfarrhofer, Michael},
  booktitle = {Handbook of Research Methods and Applications in Macroeconomic Forecasting},
  editor = {Clements, Michael and Galvao, Ana Beatriz},
  chapter = {5},
  year = {2024},
}

@incollection{pfarrhofer2020favars,
  title = {Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs},
  author = {Feldkircher, Martin and Huber, Florian and Pfarrhofer, Michael},
  booktitle = {Macroeconomic Forecasting in the Era of Big Data},
  editor = {Fuleky, Peter},
  chapter = {3},
  year = {2020},
  publisher = {Springer},
}