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Florian Huber

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Florian Huber, 2023. "Bayesian Nonlinear Regression using Sums of Simple Functions," Papers 2312.01881, arXiv.org.

    Cited by:

    1. Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.

  2. Martin Gachter & Elias Hasler & Florian Huber, 2023. "A tale of two tails: 130 years of growth-at-risk," Papers 2302.08920, arXiv.org.

    Cited by:

    1. Cristian Andrei Budris & Bogdan Dima, 2024. "Exploring The Fama-French Five Factor Model Within a Time-Varying Parameters Framework," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(2), pages 309-357, December.
    2. Gächter, Martin & Hasler, Elias & Scharler, Johann, 2023. "Kicking the can down the road: A historical growth-at-risk perspective," Economics Letters, Elsevier, vol. 228(C).

  3. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022. "Bayesian Neural Networks for Macroeconomic Analysis," Papers 2211.04752, arXiv.org, revised Apr 2024.

    Cited by:

    1. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.

  4. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.

    Cited by:

    1. Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision Synthesis in Monetary Policy," Staff Working Papers 24-30, Bank of Canada.
    2. Hamid Ahaggach & Lylia Abrouk & Eric Lebon, 2024. "Systematic Mapping Study of Sales Forecasting: Methods, Trends, and Future Directions," Forecasting, MDPI, vol. 6(3), pages 1-31, July.

  5. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Papers 2202.13793, arXiv.org.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
    3. Petar Soric & Enric Monte & Salvador Torra & Oscar Claveria, 2022. "“Density forecasts of inflation using Gaussian process regression models”," AQR Working Papers 202207, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2022.
    4. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    5. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," CEPR Discussion Papers 18298, C.E.P.R. Discussion Papers.
    6. Martin Gachter & Elias Hasler & Florian Huber, 2023. "A tale of two tails: 130 years of growth-at-risk," Papers 2302.08920, arXiv.org.
    7. Jacobi Liana & Kwok Chun Fung & Ramírez-Hassan Andrés & Nghiem Nhung, 2024. "Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 403-434, April.

  6. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.

    Cited by:

    1. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    2. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022. "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers 2209.11970, arXiv.org, revised May 2023.

  7. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Working Papers 23-30, Federal Reserve Bank of Cleveland.
    2. Huang, Yu-Fan & Liao, Wenting & Wang, Taining, 2024. "Does US financial uncertainty spill over through the (asymmetric) international credit channel? The role of market expectations," Journal of International Money and Finance, Elsevier, vol. 148(C).
    3. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    4. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
    5. Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
    6. Massimiliano MARCELLINO & Michael PFARRHOFER, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," BAFFI CAREFIN Working Papers 24224, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Forecasting euro area inflation with machine-learning models," Research Bulletin, European Central Bank, vol. 112.
    8. Oyebayo Ridwan Olaniran & Ali Rashash R. Alzahrani, 2023. "On the Oracle Properties of Bayesian Random Forest for Sparse High-Dimensional Gaussian Regression," Mathematics, MDPI, vol. 11(24), pages 1-29, December.
    9. Tibor Szendrei & Arnab Bhattacharjee, 2024. "Momentum Informed Inflation-at-Risk," Papers 2408.12286, arXiv.org.
    10. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    11. Florian Huber & Josef Schreiner, 2023. "Are Phillips curves in CESEE still alive and well behaved?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/23, pages 7-27.
    12. Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.
    13. Zhemkov, Michael, 2021. "Nowcasting Russian GDP using forecast combination approach," International Economics, Elsevier, vol. 168(C), pages 10-24.
    14. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    15. Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.
    16. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2024. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2126-2145, September.

  8. Florian Huber & Luca Onorante & Michael Pfarrhofer, 2022. "Forecasting euro area inflation using a huge panel of survey expectations," Papers 2207.12225, arXiv.org.

    Cited by:

    1. Philippe Goulet Coulombe & Maximilian Goebel & Karin Klieber, 2024. "Dual Interpretation of Machine Learning Forecasts," Papers 2412.13076, arXiv.org.

  9. Florian Huber & Gary Koop, 2021. "Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions," Papers 2107.07804, arXiv.org.

    Cited by:

    1. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.

  10. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.

    Cited by:

    1. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers 2023_07, Business School - Economics, University of Glasgow.
    3. Prüser, Jan & Blagov, Boris, 2022. "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers 960, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Florian Huber & Gary Koop & Massimiliano Marcellino & Tobias Scheckel, 2024. "Bayesian modelling of VAR precision matrices using stochastic block networks," Papers 2407.16349, arXiv.org.

  11. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.

    Cited by:

    1. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.

  12. Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.

    Cited by:

    1. Andrea Renzetti, 2023. "Theory coherent shrinkage of Time-Varying Parameters in VARs," Papers 2311.11858, arXiv.org, revised Nov 2024.

  13. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," ESRB Working Paper Series 118, European Systemic Risk Board.

    Cited by:

    1. Beck, Roland & Berganza, Juan Carlos & Brüggemann, Axel & Cezar, Rafael & Eijking, Carlijn & Eller, Markus & Fuentes, Alberto & Alves, Joel Graça & Kreitz, Lilian & Marsilli, Clement & Moder, Isabella, 2023. "Recent advances in the literature on capital flow management," Occasional Paper Series 317, European Central Bank.
    2. Norring, Anni, 2022. "Taming the tides of capital: Review of capital controls and macroprudential policy in emerging economies," BoF Economics Review 1/2022, Bank of Finland.
    3. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    4. Ćehajić, Aida & Košak, Marko, 2021. "Macroprudential measures and developments in bank funding costs," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Liu, Zixi, 2024. "Chinese monetary policy spillovers on its international portfolio investment flows," Journal of International Money and Finance, Elsevier, vol. 141(C).

  14. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Papers 2110.03411, arXiv.org.

    Cited by:

    1. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers 2023_07, Business School - Economics, University of Glasgow.
    3. Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
    4. Vegard Høghaug Larsen & Nicolò Maffei-Faccioli & Laura Pagenhardt, 2023. "Where do they care? The ECB in the media and inflation expectations," Working Papers No 04/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    5. Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
    6. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.
    7. Ignace De Vos & Gerdie Everaert, 2024. "GLS Estimation of Local Projections: Trading Robustness for Efficiency," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1095, Ghent University, Faculty of Economics and Business Administration.

  15. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.

    Cited by:

    1. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    2. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    3. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    4. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    5. Kashif Yousuf & Serena Ng, 2019. "Boosting High Dimensional Predictive Regressions with Time Varying Parameters," Papers 1910.03109, arXiv.org.
    6. Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.

  16. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.

    Cited by:

    1. Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
    2. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.

  17. Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
    3. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
    4. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
    5. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
    6. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2024. "Lessons from nowcasting GDP across the world," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 8, pages 187-217, Edward Elgar Publishing.
    7. Martin Guth, 2022. "Predicting Default Probabilities for Stress Tests: A Comparison of Models," Papers 2202.03110, arXiv.org.
    8. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    9. Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    10. Lin, Jiahe & Michailidis, George, 2024. "A multi-task encoder-dual-decoder framework for mixed frequency data prediction," International Journal of Forecasting, Elsevier, vol. 40(3), pages 942-957.
    11. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    12. Barbaglia, Luca & Frattarolo, Lorenzo & Onorante, Luca & Pericoli, Filippo Maria & Ratto, Marco & Tiozzo Pezzoli, Luca, 2022. "Testing big data in a big crisis: Nowcasting under COVID-19," JRC Working Papers in Economics and Finance 2022-06, Joint Research Centre, European Commission.
    13. Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
    14. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
    15. Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
    16. Kaustubh & Soumya Bhadury & Saurabh Ghosh, 2024. "Reinvigorating Gva Nowcasting In The Postpandemic Period: A Case Study For India," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(Spesial I), pages 95-130, Februari.
    17. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers 21-02R, Federal Reserve Bank of Cleveland, revised 09 Aug 2021.
    18. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2024. "Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1302-1317, October.
    19. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022. "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers 2209.11970, arXiv.org, revised May 2023.
    20. Florian Huber & Josef Schreiner, 2023. "Are Phillips curves in CESEE still alive and well behaved?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/23, pages 7-27.
    21. Ballarin, Giovanni & Dellaportas, Petros & Grigoryeva, Lyudmila & Hirt, Marcel & van Huellen, Sophie & Ortega, Juan-Pablo, 2024. "Reservoir computing for macroeconomic forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1206-1237.
    22. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    23. Andrew J. Patton & Yasin Simsek, 2023. "Generalized Autoregressive Score Trees and Forests," Papers 2305.18991, arXiv.org.
    24. José R. Maria & Paulo Júlio, 2023. "Trends and cycles during the COVID-19 pandemic period," Working Papers w202311, Banco de Portugal, Economics and Research Department.
    25. Emilio Blanco & Fiorella Dogliolo & Lorena Garegnani, 2022. "Nowcasting during the Pandemic: Lessons from Argentina," BCRA Working Paper Series 202299, Central Bank of Argentina, Economic Research Department.
    26. Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021. "Measuring the effectiveness of US monetary policy during the COVID‐19 recession," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
    27. Zhemkov, Michael, 2021. "Nowcasting Russian GDP using forecast combination approach," International Economics, Elsevier, vol. 168(C), pages 10-24.
    28. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    29. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    30. Serena Ng, 2021. "Modeling Macroeconomic Variations After COVID-19," Papers 2103.02732, arXiv.org, revised Jul 2021.
    31. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    32. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
    33. Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
    34. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    35. Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 2023.
    36. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    37. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022. "Bayesian Neural Networks for Macroeconomic Analysis," Papers 2211.04752, arXiv.org, revised Apr 2024.
    38. Luca Barbaglia & Lorenzo Frattarolo & Niko Hauzenberger & Dominik Hirschbuehl & Florian Huber & Luca Onorante & Michael Pfarrhofer & Luca Tiozzo Pezzoli, 2024. "Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model," Papers 2401.10054, arXiv.org.
    39. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    40. Liu, Ying & Wen, Long & Liu, Han & Song, Haiyan, 2024. "Predicting tourism recovery from COVID-19: A time-varying perspective," Economic Modelling, Elsevier, vol. 135(C).
    41. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
    42. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    43. Daniel Hopp, 2022. "Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisis," Papers 2203.11872, arXiv.org.

  18. Florian Huber & Michael Pfarrhofer, 2020. "Dynamic shrinkage in time-varying parameter stochastic volatility in mean models," Papers 2005.06851, arXiv.org.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    3. Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
    4. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    5. Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org, revised Jan 2025.
    6. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022. "Bayesian Neural Networks for Macroeconomic Analysis," Papers 2211.04752, arXiv.org, revised Apr 2024.

  19. Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020. "Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession," Papers 2007.15419, arXiv.org.

    Cited by:

    1. Víctor Manuel Cuevas Ahumada & Cuauhtémoc Calderón Villarreal, 2023. "Government policies and manufacturing production during the COVID-19 pandemic," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(4), pages 1-19, Octubre -.
    2. Ayhan Kuloğlu, 2021. "Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 710-727.
    3. Jacek Pietrucha, 2021. "Drivers of the Cash Paradox," Risks, MDPI, vol. 9(12), pages 1-17, December.
    4. Hakan Yilmazkuday, 2021. "COVID-19 and Monetary Policy with Zero Bounds: A Cross-Country Investigation," Working Papers 2112, Florida International University, Department of Economics.
    5. Andre Amaral & Taysir E. Dyhoum & Hussein A. Abdou & Hassan M. Aljohani, 2022. "Modeling for the Relationship between Monetary Policy and GDP in the USA Using Statistical Methods," Mathematics, MDPI, vol. 10(21), pages 1-20, November.
    6. Wang, Hao & Xu, Ning & Yin, Haiyan & Ji, Hao, 2022. "The dynamic impact of monetary policy on financial stability in China after crises," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    7. Müller, Fernanda Maria & Santos, Samuel Solgon & Righi, Marcelo Brutti, 2023. "A description of the COVID-19 outbreak role in financial risk forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    8. Mariana Hatmanu & Cristina Cautisanu, 2021. "The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania," IJERPH, MDPI, vol. 18(17), pages 1-22, September.

  20. Markus Eller & Niko Hauzenberger & Florian Huber & Helene Schuberth & Lukas Vashold, 2020. "Capital Flows and the Stabilizing Role of Macroprudential Policies in CESEE," Papers 2009.06391, arXiv.org.

    Cited by:

    1. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    2. Daniel Carvalho & Etienne Lepers & Rogelio V. Mercado, Jr., 2022. "Taming the "Capital Flows-Credit Nexus": A Sectoral Approach," Working Papers wp46, South East Asian Central Banks (SEACEN) Research and Training Centre.

  21. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.

    Cited by:

    1. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.

  22. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.

    Cited by:

    1. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    2. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.

  23. Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.

    Cited by:

    1. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
    2. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2024. "Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany," Working Paper Series 2930, European Central Bank.
    3. Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
    4. Daniel Borup & Philippe Goulet Coulombe & Erik Christian Montes Schütte & David E. Rapach & Sander Schwenk-Nebbe, 2022. "The Anatomy of Out-of-Sample Forecasting Accuracy," FRB Atlanta Working Paper 2022-16, Federal Reserve Bank of Atlanta.
    5. Panpan Zhu & Qingjie Zhou & Yinpeng Zhang, 2024. "Investor attention and consumer price index inflation rate: Evidence from the United States," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
    6. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    7. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2024. "Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging," Working Papers 202420, University of Pretoria, Department of Economics.

  24. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis," Papers 2001.03935, arXiv.org.

    Cited by:

    1. Wu, Ping, 2024. "Should I open to forecast? Implications from a multi-country unobserved components model with sparse factor stochastic volatility," International Journal of Forecasting, Elsevier, vol. 40(3), pages 903-917.
    2. Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
    3. Nataliia Ostapenko, 2022. "Do output gap estimates improve inflation forecasts in Slovakia?," Working and Discussion Papers WP 4/2022, Research Department, National Bank of Slovakia.
    4. Kai Carstensen & Felix Kießner & Thies Rossian, 2023. "Estimation of the TFP Gap for the Largest Five EMU Countries," CESifo Working Paper Series 10245, CESifo.
    5. Florian Eckert & Nina Mühlebach, 2023. "Global and local components of output gaps," Empirical Economics, Springer, vol. 65(5), pages 2301-2331, November.

  25. Niko Hauzenberger & Florian Huber & Luca Onorante, 2020. "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers 2002.08760, arXiv.org, revised Aug 2020.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
    3. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    4. Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    5. Florian Huber & Gary Koop, 2021. "Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions," Papers 2107.07804, arXiv.org.

  26. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2019. "The regional transmission of uncertainty shocks on income inequality in the United States," Working Papers in Regional Science 2019/01, WU Vienna University of Economics and Business.

    Cited by:

    1. Angeliki Theophilopoulou, 2022. "The impact of macroeconomic uncertainty on inequality: An empirical study for the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 859-884, June.
    2. Carl-Christian Groh, 2024. "Big Data and Inequality," CRC TR 224 Discussion Paper Series crctr224_2024_555, University of Bonn and University of Mannheim, Germany.
    3. Sangyup Choi & Jeeyeon Phi, 2022. "Impact of Uncertainty Shocks on Income and Wealth Inequality," Working papers 2022rwp-196, Yonsei University, Yonsei Economics Research Institute.
    4. Edmond Berisha & John Meszaros & Rangan Gupta, 2021. "Income Inequality and House Prices across US States," GRU Working Paper Series GRU_2021_018, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    5. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    6. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    7. Obiakor, Rowland & Akpa, Emeka & Okwu, Andy, 2022. "Economic Size, Uncertainty, and Income Inequality in Nigeria," MPRA Paper 113637, University Library of Munich, Germany.
    8. Lucia Errico & Andrea Mosca & Sandro Rondinella & Carmela Ciccarelli, 2024. "The Role Of Natural Hazard On Income Inequality," Working Papers 202402, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    9. Edmond Berisha & Orkideh Gharehgozli & Rangan Gupta, 2022. "Inflation-Inequality Puzzle: Is it Still Apparent?," Working Papers 202206, University of Pretoria, Department of Economics.
    10. Edmond Berisha & Ram Sewak Dubey & Orkideh Gharehgozli, 2023. "Inflation and income inequality: does the level of income inequality matter?," Applied Economics, Taylor & Francis Journals, vol. 55(37), pages 4319-4330, August.

  27. Cuaresma, Jesús Crespo & Huber, Florian & Onorante, Luca, 2019. "The macroeconomic effects of international uncertainty," Working Paper Series 2302, European Central Bank.

    Cited by:

    1. Hauzenberger, Niko & Böck, Maximilian & Pfarrhofer, Michael & Stelzer, Anna & Zens, Gregor, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Department of Economics Working Paper Series 6246, WU Vienna University of Economics and Business.
    2. Christian Glocker & Werner Hölzl, 2019. "Assessing the Economic Content of Direct and Indirect Business Uncertainty Measures," WIFO Working Papers 576, WIFO.
    3. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2022. "Uncertainty in an emerging market economy: evidence from Thailand," Empirical Economics, Springer, vol. 62(3), pages 933-989, March.
    4. Graziano Moramarco, 2020. "Measuring Global Macroeconomic Uncertainty," Working Papers wp1148, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Bonciani, Dario & Ricci, Martino, 2020. "The global effects of global risk and uncertainty," Bank of England working papers 863, Bank of England.
    6. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
    7. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2020. "Uncertainty and Economic Activity: Does it Matter for Thailand?," PIER Discussion Papers 130, Puey Ungphakorn Institute for Economic Research.

  28. Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante, 2019. "Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models," Papers 1910.10779, arXiv.org, revised Sep 2021.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Huber, Florian & Onorante, Luca & Pfarrhofer, Michael, 2024. "Forecasting euro area inflation using a huge panel of survey expectations," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1042-1054.
    3. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    4. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    5. Florian Huber & Gary Koop, 2024. "Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1301-1320, November.
    6. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022. "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers 2209.11970, arXiv.org, revised May 2023.
    7. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
    8. Yunyun Wang & Tatsushi Oka & Dan Zhu, 2024. "Inflation Target at Risk: A Time-varying Parameter Distributional Regression," Papers 2403.12456, arXiv.org.
    9. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    10. Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org, revised Jan 2025.
    11. Liao, Wenting & Sheng, Xin & Gupta, Rangan & Karmakar, Sayar, 2024. "Extreme weather shocks and state-level inflation of the United States," Economics Letters, Elsevier, vol. 238(C).
    12. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    13. Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
    14. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
    15. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    16. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2024. "Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging," Working Papers 202420, University of Pretoria, Department of Economics.

  29. Martin, Feldkircher & Thomas, Gruber & Florian, Huber, 2019. "International effects of a compression of euro area yield curves," Working Papers in Economics 2019-1, University of Salzburg.

    Cited by:

    1. Martin Feldkircher & Pierre L. Siklos, 2018. "Global inflation dynamics and inflation expectations," CAMA Working Papers 2018-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
    3. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2021. "Does a big bazooka matter? Quantitative easing policies and exchange rates," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 489-506.
    4. De Luigi, Clara & Schuberth, Helene & Feldkircher, Martin & Poyntner, Philipp, 2019. "Effects of the ECB's Unconventional Monetary Policy on Real and Financial Wealth," Department of Economics Working Paper Series 286, WU Vienna University of Economics and Business.
    5. Anna Stelzer, 2023. "Monetary policy and the joint distribution of income and wealth: The heterogeneous case of the euro area," Papers 2304.14264, arXiv.org.
    6. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    7. Feldkircher, Martin & Kakamu, Kazuhiko, 2018. "How does monetary policy affect income inequality in Japan? Evidence from grouped data," Working Papers in Regional Science 2018/03, WU Vienna University of Economics and Business.
    8. Mark Antal & Lorant Kaszab, 2021. "Spillover Effects of the European Central Bank's Expanded Asset Purchase Program to Non-eurozone Countries in Central and Eastern Europe," MNB Occasional Papers 2021/140, Magyar Nemzeti Bank (Central Bank of Hungary).
    9. Goczek, Łukasz & Witkowski, Bartosz, 2023. "Spillover effects of the unconventional monetary policy of the European Central Bank," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 82-104.
    10. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/2, Czech National Bank.
    11. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
    12. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
    13. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers 2017/05, Czech National Bank.
    14. Hongsheng Zhang & Wen-Qi Luo & Shangzhao Yang & Jinna Yu, 2023. "Impact of Covid-19 on economic recovery: empirical analysis from China and global economies," Economic Change and Restructuring, Springer, vol. 56(1), pages 57-78, February.
    15. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    16. Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," BIS Working Papers 788, Bank for International Settlements.
    17. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    18. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    19. Jarociński, Marek, 2022. "Central bank information effects and transatlantic spillovers," Journal of International Economics, Elsevier, vol. 139(C).
    20. Yacoub Sleibi & Fabrizio Casalin & Giorgio Fazio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Post-Print hal-04272224, HAL.
    21. El-Shagi, Makram & Tochkov, Kiril, 2022. "Shadow of the colossus: Euro area spillovers and monetary policy in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 120(C).
    22. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
    23. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
    24. Ernest Gnan & Claudia Kwapil & Maria Teresa Valderrama, 2018. "Monetary policy after the crisis: mandates, targets, and international linkages," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/18, pages 8-33.
    25. Andrea Colabella, 2021. "Do ECB's Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 472-494, April.
    26. Carlos Cañon & Eddie Gerba & Alberto Pambira & Evarist Stoja, 2023. "An Unconventional FX Tail Risk Story," CESifo Working Paper Series 10629, CESifo.
    27. Ouerk, Salima, 2023. "ECB unconventional monetary policy and volatile bank flows: Spillover effects on emerging market economies," International Economics, Elsevier, vol. 173(C), pages 175-211.
    28. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
    29. Clara De Luigi & Martin Feldkircher & Philipp Poyntner & Helene Schuberth, 2023. "Quantitative Easing and Wealth Inequality: The Asset Price Channel," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 638-670, June.
    30. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
    31. Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
    32. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.
    33. Geis, André & Moder, Isabella & Schuler, Tobias, 2020. "Who’s afraid of euro area monetary tightening? CESEE shouldn’t," Working Paper Series 2416, European Central Bank.
    34. Benecká, Soňa & Fadejeva, Ludmila & Feldkircher, Martin, 2020. "The impact of euro Area monetary policy on Central and Eastern Europe," Journal of Policy Modeling, Elsevier, vol. 42(6), pages 1310-1333.
    35. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.
    36. Ouerk, Salima & Boucher, Christophe & Lubochinsky, Catherine, 2020. "Unconventional monetary policy in the Euro Area: Shadow rate and light effets," Journal of Macroeconomics, Elsevier, vol. 65(C).

  30. Florian Huber & Gary Koop & Luca Onorante, 2019. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Papers 1905.10787, arXiv.org, revised Dec 2019.

    Cited by:

    1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    2. Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
    3. Cross, Jamie L. & Hou, Chenghan & Poon, Aubrey, 2020. "Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity," International Journal of Forecasting, Elsevier, vol. 36(3), pages 899-915.
    4. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    5. Huber, Florian & Onorante, Luca & Pfarrhofer, Michael, 2024. "Forecasting euro area inflation using a huge panel of survey expectations," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1042-1054.
    6. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    7. Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
    8. Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    9. Joshua C.C. Chan & Rodney W. Strachan, 2020. "Bayesian state space models in macroeconometrics," CAMA Working Papers 2020-90, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    11. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    12. Hu, Zhixiong & Prado, Raquel, 2023. "Fast Bayesian inference on spectral analysis of multivariate stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
    13. Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
    14. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
    15. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    16. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    17. Magnus Reif, 2021. "Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation," CESifo Working Paper Series 9271, CESifo.
    18. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
    19. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022. "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers 2209.11970, arXiv.org, revised May 2023.
    20. Mehmet Balcilar & Edmond Berisha & Rangan Gupta & Christian Pierdzioch, 2020. "Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality," Working Papers 202054, University of Pretoria, Department of Economics.
    21. David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
    22. Liang, Ruibin & Cheng, Sheng & Cao, Yan & Li, Xinran, 2024. "Multi-scale impacts of oil shocks on travel and leisure stocks: A MODWT-Bayesian TVP model with shrinkage approach," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    23. Michael Pfarrhofer, 2021. "Modeling tail risks of inflation using unobserved component quantile regressions," Papers 2103.03632, arXiv.org, revised Oct 2021.
    24. Philippe Goulet Coulombe & Maximilian Goebel & Karin Klieber, 2024. "Dual Interpretation of Machine Learning Forecasts," Papers 2412.13076, arXiv.org.
    25. Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
    26. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    27. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    28. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
    29. Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Efficient variational approximations for state space models," Papers 2210.11010, arXiv.org, revised Jun 2023.
    30. Niko Hauzenberger & Florian Huber & Luca Onorante, 2020. "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers 2002.08760, arXiv.org, revised Aug 2020.
    31. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022. "Bayesian Neural Networks for Macroeconomic Analysis," Papers 2211.04752, arXiv.org, revised Apr 2024.
    32. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
    33. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    34. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.

  31. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Discussion Paper Series in Economics 31/2018, Norwegian School of Economics, Department of Economics.

    Cited by:

    1. Julio Carrillo, 2017. "Inquiry on the Transmission of U.S. Aggregate Shocks to Mexico: A SVAR Approach," 2017 Meeting Papers 1509, Society for Economic Dynamics.

  32. Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer-Steinnocher, 2018. "The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions," Papers 1802.05870, arXiv.org.

    Cited by:

    1. Gianni La Cava & Calvin He, 2021. "The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 54(3), pages 387-397, September.
    2. Calvin He & Gianni La Cava, 2020. "The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets," RBA Research Discussion Papers rdp2020-02, Reserve Bank of Australia.

  33. Manfred M. Fischer & Florian Huber & Michael Pfarrhofer, 2018. "The transmission of uncertainty shocks on income inequality: State-level evidence from the United States," Papers 1806.08278, arXiv.org.

    Cited by:

    1. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    2. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    3. Theophilopoulou, Angeliki, 2018. "The impact of macroeconomic uncertainty on inequality: An empirical study for the UK," MPRA Paper 90448, University Library of Munich, Germany.

  34. Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.

    Cited by:

    1. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    2. Anna Pajor & Justyna Wróblewska & Łukasz Kwiatkowski & Jacek Osiewalski, 2024. "Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?," International Statistical Review, International Statistical Institute, vol. 92(1), pages 62-86, April.
    3. Justyna Wr'oblewska & {L}ukasz Kwiatkowski, 2024. "Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity," Papers 2406.03053, arXiv.org, revised Jun 2024.

  35. Christian Hotz-Behofsits & Florian Huber & Thomas O. Zorner, 2018. "Predicting crypto-currencies using sparse non-Gaussian state space models," Papers 1801.06373, arXiv.org, revised Feb 2018.

    Cited by:

    1. Cássio Roberto de Andrade Alves & Márcio Laurini, 2023. "Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach," Mathematics, MDPI, vol. 11(17), pages 1-20, September.
    2. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    3. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
    4. Catania, Leopoldo & Grassi, Stefano & Ravazzolo, Francesco, 2019. "Forecasting cryptocurrencies under model and parameter instability," International Journal of Forecasting, Elsevier, vol. 35(2), pages 485-501.
    5. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2019. "A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series," Papers 1909.10957, arXiv.org, revised Jul 2021.
    6. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
    7. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach," Future Internet, MDPI, vol. 12(3), pages 1-19, March.
    8. Anoop S Kumar & Taufeeq Ajaz, 2019. "Co-movement in crypto-currency markets: evidences from wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.
    9. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    10. Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2020. "On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin," Econometrics and Statistics, Elsevier, vol. 16(C), pages 69-90.
    11. Rick Bohte & Luca Rossini, 2019. "Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models," Papers 1909.06599, arXiv.org.
    12. Jin-Bom Han & Sun-Hak Kim & Myong-Hun Jang & Kum-Sun Ri, 2020. "Using Genetic Algorithm and NARX Neural Network to Forecast Daily Bitcoin Price," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 337-353, August.
    13. Pratha Khandelwal & Philip Nadler & Rossella Arcucci & William Knottenbelt & Yi-Ke Guo, 2021. "A Scalable Inference Method For Large Dynamic Economic Systems," Papers 2110.14346, arXiv.org.
    14. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    15. Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    16. Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Forecasting Cryptocurrencies Financial Time Series," Working Papers No 5/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Camilla Muglia & Luca Santabarbara & Stefano Grassi, 2019. "Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?," JRFM, MDPI, vol. 12(2), pages 1-10, May.
    18. Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
    19. Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2020. "A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns," JRFM, MDPI, vol. 13(2), pages 1-10, February.
    20. Hachicha, Fatma & Masmoudi, Afif & Abid, Ilyes & Obeid, Hassan, 2023. "Herding behavior in exploring the predictability of price clustering in cryptocurrency market," Finance Research Letters, Elsevier, vol. 57(C).
    21. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
    22. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.

  36. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.

    Cited by:

    1. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers 202117, University of Pretoria, Department of Economics.
    2. Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
    3. Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
    4. Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022. "Score-based calibration testing for multivariate forecast distributions," Discussion Papers 50/2022, Deutsche Bundesbank.
    5. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century," Working Papers 202183, University of Pretoria, Department of Economics.
    6. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Working Papers 202217, University of Pretoria, Department of Economics.

  37. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael & Staufer-Steinnocher, Petra, 2018. "The dynamic impact of monetary policy on regional housing prices in the United States," Working Papers in Economics 2018-7, University of Salzburg.

    Cited by:

    1. Luisa Corrado & Stefano Grassi & Enrico Minnella, 2021. "The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach," CEIS Research Paper 520, Tor Vergata University, CEIS, revised 21 Oct 2021.
    2. Huang, MeiChi, 2024. "A greater crisis? Investigating MSA-level housing markets during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 71(C).
    3. Gianni La Cava & Calvin He, 2021. "The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 54(3), pages 387-397, September.
    4. Mats Wilhelmsson, 2020. "What Role Does the Housing Market Play for the Macroeconomic Transmission Mechanism?," JRFM, MDPI, vol. 13(6), pages 1-17, June.
    5. Rangan Gupta & Jun Ma & Konstantinos Theodoridis & Mark E. Wohar, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Working Papers 202023, University of Pretoria, Department of Economics.
    6. Boge, Kevin Patrick & Rieth, Malte & Kholodilin, Konstantin, 2024. "The unequal impacts of monetary policies on regional housing markets," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302370, Verein für Socialpolitik / German Economic Association.
    7. Egan, Paul & McQuinn, Kieran, 2023. "Monetary tightening in the Euro Area: Implications for residential investment," Papers WP767, Economic and Social Research Institute (ESRI).
    8. Calvin He & Gianni La Cava, 2020. "The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets," RBA Research Discussion Papers rdp2020-02, Reserve Bank of Australia.
    9. Bruno Albuquerque & Martin Iseringhausen & Frederic Opitz, 2024. "The Housing Supply Channel of Monetary Policy," IMF Working Papers 2024/023, International Monetary Fund.
    10. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2019. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Working Papers 201953, University of Pretoria, Department of Economics.
    11. Adra, Samer & Menassa, Elie, 2022. "The Fed’s dual shocks and the housing market," Economics Letters, Elsevier, vol. 218(C).

  38. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.

    Cited by:

    1. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "Local Currency Bond Markets, Foreign Investor Participation, and Capital Flow Volatility in Emerging Asia," ADBI Working Papers 1252, Asian Development Bank Institute.
    2. Pami Dua & Neha Verma, 2024. "Dynamics of Capital Flows and Global Factors: Case of Emerging Economies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(4), pages 945-975, December.
    3. Chokri Zehri, 2022. "Interaction Effect of Capital Controls and Macroeconomic Policies," Economic Papers, The Economic Society of Australia, vol. 41(1), pages 15-33, March.
    4. Solikin M. Juhro & Bernard Njindan Iyke & Paresh Kumar Narayan, 2021. "Capital Flow Dynamics And The Synchronization Of Financial Cycles And Business Cycles In Emerging Market Economies," Working Papers WP/02/2021, Bank Indonesia.
    5. Christopher Loewald & David Faulkner & Konstantin Makrelov, 2020. "Time consistency and economic growth: A case study of South African macroeconomic policy," Working Papers 842, Economic Research Southern Africa.
    6. Gou, Qin & Li, Xingshen & Zhao, Guojun, 2024. "Surges of cross border capital flow: The impact of digital finance," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    7. Bank for International Settlements, 2021. "Changing patterns of capital flows," CGFS Papers, Bank for International Settlements, number 66, October –.
    8. António Afonso & José Alves & Krzysztof Beck & Karen Jackson, 2022. "Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows," Working Papers REM 2022/0235, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    9. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    10. Vasudeva N. R. Murthy & Natalya Ketenci, 2020. "Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.

  39. Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Papers 1811.08818, arXiv.org, revised Dec 2018.

    Cited by:

    1. Huber, Florian & Kaufmann, Daniel, 2016. "Trend Fundamentals and Exchange Rate Dynamics," Department of Economics Working Paper Series 214, WU Vienna University of Economics and Business.
    2. Aristidou, Chrystalleni & Lee, Kevin & Shields, Kalvinder, 2022. "Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model," Journal of International Money and Finance, Elsevier, vol. 123(C).
    3. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).

  40. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2017. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?," Papers 1711.00564, arXiv.org, revised Mar 2024.

    Cited by:

    1. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
    2. Pfarrhofer, Michael & Niko , Hauzenberger, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Working Papers in Economics 2019-6, University of Salzburg.
    3. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
    4. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    5. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    6. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
    7. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    8. Annalisa Cadonna & Sylvia Frühwirth-Schnatter & Peter Knaus, 2020. "Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models," Econometrics, MDPI, vol. 8(2), pages 1-36, May.
    9. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    10. Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.
    11. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    12. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
    13. Michael Pfarrhofer & Philipp Piribauer, 2018. "Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models," Papers 1805.10822, arXiv.org.
    14. Sylvia Fruhwirth-Schnatter & Peter Knaus, 2022. "Sparse Bayesian State-Space and Time-Varying Parameter Models," Papers 2207.12147, arXiv.org.
    15. Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.

  41. Florian Huber & Maria Teresa Punzi, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Department of Economics Working Papers wuwp243, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Martin Feldkircher & Pierre L. Siklos, 2018. "Global inflation dynamics and inflation expectations," CAMA Working Papers 2018-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
    3. Christiane Baumeister & James D. Hamilton, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," NBER Working Papers 26606, National Bureau of Economic Research, Inc.
    4. Vuković, Darko B. & Hassan, M. Kabir & Kwakye, Bernard & Febtinugraini, Armike & Shakib, Mohammed, 2024. "Does fintech matter for financial inclusion and financial stability in BRICS markets?," Emerging Markets Review, Elsevier, vol. 61(C).
    5. Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.

  42. Florian Huber, 2017. "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models," Department of Economics Working Papers wuwp244, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    2. Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2017. "The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions," Working Papers 201774, University of Pretoria, Department of Economics.
    3. Huber, Florian & Kaufmann, Daniel, 2016. "Trend Fundamentals and Exchange Rate Dynamics," Department of Economics Working Paper Series 214, WU Vienna University of Economics and Business.
    4. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.

  43. Florian Huber & Thomas Zörner, 2017. "Threshold cointegration and adaptive shrinkage," Department of Economics Working Papers wuwp250, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.

  44. Jesus Crespo Cuaresma & Florian Huber & Luca Onorante, 2017. "The macroeconomic effects of international uncertainty shocks," Department of Economics Working Papers wuwp245, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
    2. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    3. Hauzenberger, Niko & Böck, Maximilian & Pfarrhofer, Michael & Stelzer, Anna & Zens, Gregor, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Department of Economics Working Paper Series 6246, WU Vienna University of Economics and Business.
    4. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2019. "How important are different aspects of uncertainty in driving industrial production in the CEE countries?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 252-266.
    5. Christian Glocker & Werner Hölzl, 2019. "Assessing the Economic Content of Direct and Indirect Business Uncertainty Measures," WIFO Working Papers 576, WIFO.
    6. Oscar Claveria, 2020. "Measuring and assessing economic uncertainty," IREA Working Papers 202011, University of Barcelona, Research Institute of Applied Economics, revised Jul 2020.
    7. Bonciani, Dario & Ricci, Martino, 2020. "The global effects of global risk and uncertainty," Bank of England working papers 863, Bank of England.
    8. Oscar Claveria, 2021. "Uncertainty indicators based on expectations of business and consumer surveys," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 483-505, May.

  45. Florian Huber & Manfred M. Fischer & Philipp Piribauer, 2017. "The role of US based FDI flows for global output dynamics," Department of Economics Working Papers wuwp239, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Tamás Krisztin & Philipp Piribauer, 2021. "A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows," Empirical Economics, Springer, vol. 61(1), pages 231-257, July.
    2. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
    3. Tamás Krisztin & Philipp Piribauer, 2023. "A joint spatial econometric model for regional FDI and output growth," Papers in Regional Science, Wiley Blackwell, vol. 102(1), pages 87-106, February.
    4. Tamás Krisztin & Philipp Piribauer, 2021. "Modelling European regional FDI flows using a Bayesian spatial Poisson interaction model," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(3), pages 593-616, December.

  46. Gregor Kastner & Florian Huber, 2017. "Sparse Bayesian vector autoregressions in huge dimensions," Papers 1704.03239, arXiv.org, revised Dec 2019.

    Cited by:

    1. Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
    2. Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2024. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," International Journal of Forecasting, Elsevier, vol. 40(2), pages 626-640.
    3. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    4. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    5. Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage," CAMA Working Papers 2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
    7. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    8. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    9. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
    10. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    11. Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
    12. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    13. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    14. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
    15. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    16. Wu, Ping, 2024. "Should I open to forecast? Implications from a multi-country unobserved components model with sparse factor stochastic volatility," International Journal of Forecasting, Elsevier, vol. 40(3), pages 903-917.
    17. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    18. Liu, Yixuan & Kirch, Claudia & Lee, Jeong Eun & Meyer, Renate, 2024. "A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
    19. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    20. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    21. Ghaemi Asl, Mahdi & Raheem, Ibrahim D. & Rashidi, Muhammad Mahdi, 2023. "Do stochastic risks flow between industrial and precious metals, Islamic stocks, green bonds, green stocks, clean investments, major foreign exchange rates, and Bitcoin?," Resources Policy, Elsevier, vol. 86(PA).
    22. Lai, Wei-Ting & Chen, Ray-Bing & Chen, Ying & Koch, Thorsten, 2022. "Variational Bayesian inference for network autoregression models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    23. Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
    25. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    26. Bruno P. C. Levy & Hedibert F. Lopes, 2021. "Dynamic Ordering Learning in Multivariate Forecasting," Papers 2101.04164, arXiv.org, revised Nov 2021.
    27. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
    28. Joshua C.C. Chan & Xuewen Yu, 2020. "Fast and accurate variational inference for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2020-108, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
    30. Yuan Yan & Hsin-Cheng Huang & Marc G. Genton, 2021. "Vector Autoregressive Models with Spatially Structured Coefficients for Time Series on a Spatial Grid," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(3), pages 387-408, September.
    31. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
    32. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    33. Rub'en Loaiza-Maya & Didier Nibbering, 2022. "Efficient variational approximations for state space models," Papers 2210.11010, arXiv.org, revised Jun 2023.
    34. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
    35. Florian Huber & Gary Koop & Michael Pfarrhofer, 2020. "Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations," Papers 2002.10274, arXiv.org.
    36. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    37. Sebastian Ankargren & Paulina Jon'eus, 2019. "Estimating Large Mixed-Frequency Bayesian VAR Models," Papers 1912.02231, arXiv.org.
    38. Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    39. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Nov 2024.
    40. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    41. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2024. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2126-2145, September.
    42. Florian Huber & Gary Koop & Massimiliano Marcellino & Tobias Scheckel, 2024. "Bayesian modelling of VAR precision matrices using stochastic block networks," Papers 2407.16349, arXiv.org.

  47. Jesús Crespo-Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2016. "US Monetary Policy in a Globalized World," CESifo Working Paper Series 5826, CESifo.

    Cited by:

    1. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Department of Economics Working Paper Series 243, WU Vienna University of Economics and Business.
    2. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    3. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers 2017/05, Czech National Bank.

  48. Florian Huber & Martin Feldkircher, 2016. "Adaptive shrinkage in Bayesian vector autoregressive models," Department of Economics Working Papers wuwp221, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Martin Feldkircher & Pierre L. Siklos, 2018. "Global inflation dynamics and inflation expectations," CAMA Working Papers 2018-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
    3. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
    4. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    5. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    6. Maximilian Böck & Martin Feldkircher & Burkhard Raunig, 2021. "A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty (Maximilian Böck, Martin Feldkircher, Burkhard Raunig)," Working Papers 233, Oesterreichische Nationalbank (Austrian Central Bank).
    7. Kyriaki-Argyro Tsioptsia & Eleni Zafeiriou & Dimitrios Niklis & Nikolaos Sariannidis & Constantin Zopounidis, 2022. "The Corporate Economic Performance of Environmentally Eligible Firms Nexus Climate Change: An Empirical Research in a Bayesian VAR Framework," Energies, MDPI, vol. 15(19), pages 1-16, October.
    8. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
    9. Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
    10. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    11. Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
    12. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Department of Economics Working Paper Series 243, WU Vienna University of Economics and Business.
    13. Hauzenberger, Niko & Böck, Maximilian & Pfarrhofer, Michael & Stelzer, Anna & Zens, Gregor, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Department of Economics Working Paper Series 6246, WU Vienna University of Economics and Business.
    14. Martin Feldkircher & Florian Huber & Gregor Kastner, 2018. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?," Department of Economics Working Papers wuwp260, Vienna University of Economics and Business, Department of Economics.
    15. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    16. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
    17. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    18. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    19. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers wuwp235, Vienna University of Economics and Business, Department of Economics.
    20. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    21. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    22. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
    23. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    24. Dimitris Korobilis & Davide Pettenuzzo, 2018. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions," Working Paper series 18-21, Rimini Centre for Economic Analysis.
    25. Martin Feldkircher & Karin Klieber, 2024. "Integration or fragmentation? A closer look at euro area financial markets," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 19, pages 443-469, Edward Elgar Publishing.
    26. Florian Huber & Gary Koop, 2024. "Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1301-1320, November.
    27. Hu, Zhixiong & Prado, Raquel, 2023. "Fast Bayesian inference on spectral analysis of multivariate stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
    28. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
    29. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    30. Hu, Guanyu, 2021. "Spatially varying sparsity in dynamic regression models," Econometrics and Statistics, Elsevier, vol. 17(C), pages 23-34.
    31. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    32. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    33. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    34. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    35. Florian Huber & Gary Koop, 2021. "Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions," Papers 2107.07804, arXiv.org.
    36. Clara De Luigi & Florian Huber & Josef Schreiner, 2019. "The impact of labor cost growth on inflation in selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/19, pages 56-78.
    37. Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.
    38. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    39. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael & Staufer-Steinnocher, Petra, 2018. "The dynamic impact of monetary policy on regional housing prices in the United States," Working Papers in Economics 2018-7, University of Salzburg.
    40. Gregor Zens, 2019. "Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(4), pages 1019-1051, December.
    41. Hauber, Philipp, 2022. "Real-time nowcasting with sparse factor models," EconStor Preprints 251551, ZBW - Leibniz Information Centre for Economics.
    42. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
    43. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
    44. Florian Huber & Gregor Kastner & Martin Feldkircher, 2019. "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
    45. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    46. Boeck, Maximilian & Feldkircher, Martin, 2021. "The Impact of Monetary Policy on Yield Curve Expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 887-901.
    47. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023. "Modelling Okun’s law: Does non-Gaussianity matter?," Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
    48. Sebastian Ankargren & M{aa}ns Unosson & Yukai Yang, 2019. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Papers 1911.09151, arXiv.org.
    49. Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
    50. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2020. "Large Time-Varying Volatility Models for Electricity Prices," Working Papers No 05/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    51. Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
    52. Gregor Zens, 2018. "Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership," Papers 1809.04853, arXiv.org, revised Jan 2019.
    53. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
    54. Hongyun Tan & Xiaolie Qi, 2023. "Synergistic Interconstruction of the Green Development Concept in Chinese Rural Ecological Agriculture," Sustainability, MDPI, vol. 15(5), pages 1-17, February.
    55. Mustafa Ozguven & Chong Yan Gao & Mohamed Yacine Si Tayeb, 2021. "The Utilization of Autoregressive Forecasting Models in Strategic Management," International Journal of Science and Business, IJSAB International, vol. 5(7), pages 170-185.
    56. Niko Hauzenberger & Florian Huber & Luca Onorante, 2020. "Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models," Papers 2002.08760, arXiv.org, revised Aug 2020.
    57. Martin Guth, 2018. "Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey," Papers 1807.04161, arXiv.org.
    58. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
    59. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised May 2024.
    60. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    61. Sebastian Ankargren & Paulina Jon'eus, 2019. "Estimating Large Mixed-Frequency Bayesian VAR Models," Papers 1912.02231, arXiv.org.
    62. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
    63. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    64. Michael Pfarrhofer & Philipp Piribauer, 2018. "Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models," Papers 1805.10822, arXiv.org.
    65. Joshua C. C. Chan, 2019. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," CAMA Working Papers 2019-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    66. Joshua C. C. Chan & Yaling Qi, 2024. "Large Bayesian Tensor VARs with Stochastic Volatility," Papers 2409.16132, arXiv.org.
    67. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
    68. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
    69. Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
    70. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Nov 2024.
    71. Simon Beyeler, 2019. "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers 19.03, Swiss National Bank, Study Center Gerzensee.
    72. Follett, Lendie & Yu, Cindy, 2019. "Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior," Econometrics and Statistics, Elsevier, vol. 11(C), pages 130-144.
    73. Martin Feldkircher & Luis Gruber & Florian Huber & Gregor Kastner, 2024. "Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2126-2145, September.
    74. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.
    75. Prüser, Jan & Blagov, Boris, 2022. "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers 960, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    76. Florian Huber & Gary Koop & Massimiliano Marcellino & Tobias Scheckel, 2024. "Bayesian modelling of VAR precision matrices using stochastic block networks," Papers 2407.16349, arXiv.org.

  49. Florian Huber & Maria Teresa Punzi, 2016. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Papers wuwp216, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Rasa Stasiukynaite, 2017. "Understanding Monetary Policy Stance," Bank of Lithuania Occasional Paper Series 14, Bank of Lithuania.
    2. Oliver Hülsewig & Horst Rottmann, 2021. "Euro Area House Prices and Unconventional Monetary Policy Surprises," CESifo Working Paper Series 9045, CESifo.
    3. Aviral Kumar Tiwari & Rangan Gupta & Mark E. Wohar, 2019. "Is the Housing Market in the United States Really Weakly-Efficient?," Working Papers 201934, University of Pretoria, Department of Economics.
    4. Rangan Gupta & Hardik A. Marfatia, 2017. "A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach," Working Papers 201736, University of Pretoria, Department of Economics.
    5. Christina Christou & Rangan Gupta & Wendy Nyakabawo, 2018. "Time-Varying Impact of Uncertainty Shocks on the US Housing Market," Working Papers 201870, University of Pretoria, Department of Economics.
    6. Wolfgang Kloppenburg, 2021. "Are Real Estate Prices Evolving into an Asset Price Bubble?," ACTA VSFS, University of Finance and Administration, vol. 15(1), pages 36-48.
    7. Petre Caraiani & Adrian C. Călin & Rangan Gupta, 2021. "Monetary policy and bubbles in US REITs," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 675-687, June.
    8. Punzi, Maria Teresa, 2016. "Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises," FinMaP-Working Papers 61, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    9. Rui Wang, 2021. "Evaluating the Unconventional Monetary Policy of the Bank of Japan: A DSGE Approach," JRFM, MDPI, vol. 14(6), pages 1-18, June.
    10. Yun Liu, 2022. "Housing and monetary policy: Fresh evidence from China," Financial Economics Letters, Anser Press, vol. 1(1), pages 1-12, December.
    11. Signe Rosenberg, 2018. "The Effects of Conventional and Unconventional Monetary Policy on House Prices in the Scandinavian Countries," TUT Economic Research Series 44, Department of Finance and Economics, Tallinn University of Technology.
    12. Eiblmeier, Sebastian, 2023. "Differential Effects of Unconventional Monetary Policy," Hannover Economic Papers (HEP) dp-707, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2020. "Dynamic Impact of Unconventional Monetary Policy on International REITs," Working Papers 202020, University of Pretoria, Department of Economics.
    14. Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector," Working Papers 201849, University of Pretoria, Department of Economics.
    15. Rangan Gupta & Jun Ma & Konstantinos Theodoridis & Mark E. Wohar, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Working Papers 202023, University of Pretoria, Department of Economics.
    16. Boge, Kevin Patrick & Rieth, Malte & Kholodilin, Konstantin, 2024. "The unequal impacts of monetary policies on regional housing markets," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302370, Verein für Socialpolitik / German Economic Association.
    17. Mahua Barari & Srikanta Kundu, 2019. "The Role of the Federal Reserve in the U.S. Housing Crisis: A VAR Analysis with Endogenous Structural Breaks," JRFM, MDPI, vol. 12(3), pages 1-20, July.
    18. Renzhi, Nuobu, 2022. "Do house prices play a role in unconventional monetary policy transmission in Japan?," Journal of Asian Economics, Elsevier, vol. 83(C).
    19. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2019. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Working Papers 201953, University of Pretoria, Department of Economics.
    20. Eiblmeier, Sebastian, 2024. "Differential Effects of Unconventional Monetary Policy," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302432, Verein für Socialpolitik / German Economic Association.
    21. Zhang, Xiaoyu & Pan, Fanghui, 2021. "Asymmetric effects of monetary policy and output shocks on the real estate market in China," Economic Modelling, Elsevier, vol. 103(C).
    22. Renzhi, Nuobu, 2023. "Household net saving positions and unconventional monetary policy transmission: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

  50. Martin Feldkircher & Florian Huber, 2016. "Unconventional US Monetary Policy: New Tools Same Channels?," Working Papers 208, Oesterreichische Nationalbank (Austrian Central Bank).

    Cited by:

    1. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers wuwp235, Vienna University of Economics and Business, Department of Economics.
    2. Mats Wilhelmsson, 2020. "What Role Does the Housing Market Play for the Macroeconomic Transmission Mechanism?," JRFM, MDPI, vol. 13(6), pages 1-17, June.
    3. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    4. Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2020. "Dynamic Impact of Unconventional Monetary Policy on International REITs," Working Papers 202020, University of Pretoria, Department of Economics.
    5. Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
    6. Florian Huber & Gregor Kastner & Martin Feldkircher, 2019. "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
    7. Burriel, Pablo & Galesi, Alessandro, 2018. "Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries," European Economic Review, Elsevier, vol. 101(C), pages 210-229.
    8. Francis, Neville R. & Jackson, Laura E. & Owyang, Michael T., 2020. "How has empirical monetary policy analysis in the U.S. changed after the financial crisis?," Economic Modelling, Elsevier, vol. 84(C), pages 309-321.
    9. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    10. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.
    11. Fritz Breuss, 2017. "The United States-Euro Area Growth Gap Puzzle," WIFO Working Papers 541, WIFO.

  51. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.

    Cited by:

    1. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    2. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
    3. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    4. Florian Huber, 2017. "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models," Department of Economics Working Papers wuwp244, Vienna University of Economics and Business, Department of Economics.
    5. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    6. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
    7. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    8. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    9. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    10. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    11. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022. "Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
    12. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.

  52. Florian Huber & Daniel Kaufmann, 2015. "Trend Fundamentals and Exchange Rate Dynamics," KOF Working papers 15-393, KOF Swiss Economic Institute, ETH Zurich.

    Cited by:

    1. Cumperayot, Phornchanok & Kouwenberg, Roy, 2021. "The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates," International Economics, Elsevier, vol. 166(C), pages 167-176.

  53. Dovern, Jonas & Feldkircher, Martin & Huber , Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 0590, University of Heidelberg, Department of Economics.

    Cited by:

    1. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    2. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
    3. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    4. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    5. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
    6. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    7. Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
    8. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
    9. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    10. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2023. "An unconventional FX tail risk story," LSE Research Online Documents on Economics 120052, London School of Economics and Political Science, LSE Library.
    11. Dovern, Jonas & Huber, Florian, 2015. "Global Prediction of Recessions," Working Papers 0585, University of Heidelberg, Department of Economics.
    12. Peter McAdam & Kostas Mouratidis & Theodore Panagiotidis & Georgios Papapanagiotou, 2023. "European Trade & Growth Imbalances: An Analysis using a Sign-Restriction Bayesian-GVAR with Stochastic Volatility," Working Paper series 23-12, Rimini Centre for Economic Analysis.
    13. Georgios Georgiadis, 2016. "To bi, or not to bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models," EcoMod2016 9145, EcoMod.
    14. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
    15. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    16. Beckmann, Joscha & Czudaj, Robert L., 2024. "Fundamental determinants of exchange rate expectations," MPRA Paper 120648, University Library of Munich, Germany.
    17. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    18. Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
    19. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
    20. Carlos Cañon & Eddie Gerba & Alberto Pambira & Evarist Stoja, 2023. "An Unconventional FX Tail Risk Story," CESifo Working Paper Series 10629, CESifo.
    21. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
    22. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
    23. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.

  54. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112999, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    2. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    3. Dovern, Jonas & Huber, Florian, 2015. "Global Prediction of Recessions," Working Papers 0585, University of Heidelberg, Department of Economics.
    4. Georgios Georgiadis, 2016. "To bi, or not to bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models," EcoMod2016 9145, EcoMod.
    5. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    6. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    7. Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
    8. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.

  55. Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.

    Cited by:

    1. Miroslav Klucik, 2019. "Tracking the Course of the Economy (Nowcasting of basic macroeconomic indicators of Slovakia)," Working Papers Working Paper No. 1/2019, Council for Budget Responsibility.
    2. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
    3. Tomas Adam & Filip Novotny, 2018. "Assessing the External Demand of the Czech Economy: Nowcasting Foreign GDP Using Bridge Equations," Working Papers 2018/18, Czech National Bank.

  56. Florian Huber & Manfred M. Fischer, 2015. "A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy," Department of Economics Working Papers wuwp201, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    2. Luisa Corrado & Stefano Grassi & Enrico Minnella, 2021. "The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach," CEIS Research Paper 520, Tor Vergata University, CEIS, revised 21 Oct 2021.
    3. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. Christian Glocker & Matteo Iacopini & Tam'as Krisztin & Philipp Piribauer, 2023. "A Bayesian Markov-switching SAR model for time-varying cross-price spillovers," Papers 2310.19557, arXiv.org.
    5. Florian Huber & Josef Schreiner, 2023. "Are Phillips curves in CESEE still alive and well behaved?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/23, pages 7-27.
    6. Martin Bruns, 2019. "Proxy VAR Models in a Data-Rich Environment," Discussion Papers of DIW Berlin 1831, DIW Berlin, German Institute for Economic Research.
    7. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael & Staufer-Steinnocher, Petra, 2018. "The dynamic impact of monetary policy on regional housing prices in the United States," Working Papers in Economics 2018-7, University of Salzburg.
    8. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    9. Bruns, Martin, 2021. "Proxy Vector Autoregressions in a Data-rich Environment," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    10. Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
    11. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    12. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    13. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    14. Martin Guth, 2018. "Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey," Papers 1807.04161, arXiv.org.
    15. Ethan Struby & Michael F. Connolly, 2022. "Shadow Rate Models and Monetary Policy," Working Papers 2022-03, Carleton College, Department of Economics.
    16. Kutu Adebayo Augustine & Ngalawa Harold, 2017. "Monetary Policy and Industrial Output in the BRICS Countries: A Markov-Switching Model," Folia Oeconomica Stetinensia, Sciendo, vol. 17(2), pages 35-55, December.

  57. Dovern, Jonas & Huber, Florian, 2015. "Global Prediction of Recessions," Working Papers 0585, University of Heidelberg, Department of Economics.

    Cited by:

    1. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    2. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    3. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.
    4. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
    5. Andreas Psimopoulos, 2020. "Forecasting Economic Recessions Using Machine Learning:An Empirical Study in Six Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 18(1), pages 40-99.

  58. Florian Huber & Tamas Krisztin & Philipp Piribauer, 2014. "Forecasting Global Equity Indices using Large Bayesian VARs," Department of Economics Working Papers wuwp184, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Praveen Kumar Tripathi & Manika Agarwal, 2024. "A Bayes Analysis of Random Walk Model Under Different Error Assumptions," Annals of Data Science, Springer, vol. 11(5), pages 1635-1652, October.
    2. Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
    3. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century," Working Papers 202183, University of Pretoria, Department of Economics.
    4. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Working Papers 202217, University of Pretoria, Department of Economics.

  59. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).

    Cited by:

    1. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," CESifo Working Paper Series 4807, CESifo.
    2. Dovern, Jonas & Huber, Florian, 2015. "Global Prediction of Recessions," Working Papers 0585, University of Heidelberg, Department of Economics.
    3. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    4. Mihaela SIMIONESCU, 2015. "Is Africa’s current growth reducing inequality? Evidence from some selected african countries," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 3(1), pages 68-74, June.
    5. Feldkircher, Martin & Huber, Florian, 2016. "The international transmission of US shocks—Evidence from Bayesian global vector autoregressions," European Economic Review, Elsevier, vol. 81(C), pages 167-188.
    6. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2014. "International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model," Working Papers 2014/05, Latvijas Banka.
    7. Feldkircher, Martin, 2015. "A global macro model for emerging Europe," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 706-726.
    8. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    9. Paredes, Joan, 2017. "Subsidising car purchases in the euro area: any spill-over on production?," Working Paper Series 2094, European Central Bank.
    10. Huber, Florian, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Paper Series 179, WU Vienna University of Economics and Business.
    11. Florian Martin & Jesús Crespo Cuaresma, 2017. "Weighting schemes in global VAR modelling: a forecasting exercise," Letters in Spatial and Resource Sciences, Springer, vol. 10(1), pages 45-56, March.

  60. Martin Feldkircher & Florian Huber, 2014. "The International Transmission of U.S. Structural Shocks – Evidence from Global Vector Autoregressions," Working Papers 195, Oesterreichische Nationalbank (Austrian Central Bank).

    Cited by:

    1. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    2. Dieppe, Alistair & Georgiadis, Georgios & Ricci, Martino & Van Robays, Ine & van Roye, Björn, 2018. "ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis," Economic Modelling, Elsevier, vol. 72(C), pages 78-98.
    3. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," GRU Working Paper Series GRU_2017_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    4. Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
    5. Xue, Huidan & Li, Chenguang & Wang, Liming, 2018. "The Global Vector Error Correction Model application on the dynamics and drivers of the World Butter Export Prices: Evidence from the U.S., the EU, and New Zealand," 2018 Annual Meeting, August 5-7, Washington, D.C. 273971, Agricultural and Applied Economics Association.
    6. Georgios Georgiadis, 2016. "To bi, or not to bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models," EcoMod2016 9145, EcoMod.
    7. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2014. "International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model," Working Papers 2014/05, Latvijas Banka.
    8. Konstantinos N. Konstantakis & Panayotis G. Michaelides & Livia Chatzieleftheriou & Arsenios‐Georgios N. Prelorentzos, 2022. "Crisis and the Chinese miracle: A network—GVAR model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(3), pages 900-921, July.
    9. Huidan Xue & Chenguang Li & Liming Wang & Wen-Hao Su, 2021. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks," Sustainability, MDPI, vol. 13(16), pages 1-24, August.

  61. Florian Huber, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Papers wuwp179, Vienna University of Economics and Business, Department of Economics.

    Cited by:

    1. Florian Huber & Maria Teresa Punzi, 2016. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Papers wuwp216, Vienna University of Economics and Business, Department of Economics.
    2. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.

Articles

  1. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
    See citations under working paper version above.
  2. Huber, Florian & Onorante, Luca & Pfarrhofer, Michael, 2024. "Forecasting euro area inflation using a huge panel of survey expectations," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1042-1054.
    See citations under working paper version above.
  3. Hauzenberger Niko & Huber Florian & Koop Gary, 2024. "Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 201-225, April.
    See citations under working paper version above.
  4. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2024. "Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1302-1317, October.
    See citations under working paper version above.
  5. Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023. "Real-time inflation forecasting using non-linear dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
    See citations under working paper version above.
  6. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.

    Cited by:

    1. Niko Hauzenberger & Florian Huber & Gary Koop, 2020. "Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods," Papers 2005.03906, arXiv.org, revised May 2023.
    2. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.

  7. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023. "Tail Forecasting With Multivariate Bayesian Additive Regression Trees," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
    See citations under working paper version above.
  8. Florian Huber & Gary Koop, 2023. "Subspace shrinkage in conjugate Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 556-576, June.
    See citations under working paper version above.
  9. Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
    See citations under working paper version above.
  10. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2022. "APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1625-1658, November.
    See citations under working paper version above.
  11. Niko Hauzenberger & Florian Huber & Gary Koop & Luca Onorante, 2022. "Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1904-1918, October.
    See citations under working paper version above.
  12. Gächter, Martin & Huber, Florian & Meier, Martin, 2022. "A shot for the US economy," Finance Research Letters, Elsevier, vol. 47(PA).

    Cited by:

    1. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2024. "Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19," Technological Forecasting and Social Change, Elsevier, vol. 205(C).

  13. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    See citations under working paper version above.
  14. Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer‐Steinnocher, 2021. "The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1039-1068, December.
    See citations under working paper version above.
  15. Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021. "Stochastic model specification in Markov switching vector error correction models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
    See citations under working paper version above.
  16. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    See citations under working paper version above.
  17. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
    See citations under working paper version above.
  18. Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021. "Measuring the effectiveness of US monetary policy during the COVID‐19 recession," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
    See citations under working paper version above.
  19. Florian Huber & Michael Pfarrhofer, 2021. "Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(2), pages 262-270, March.
    See citations under working paper version above.
  20. Florian Huber & Gary Koop & Luca Onorante, 2021. "Inducing Sparsity and Shrinkage in Time-Varying Parameter Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 669-683, July.
    See citations under working paper version above.
  21. Josep Penuelas & Tamás Krisztin & Michael Obersteiner & Florian Huber & Hannes Winner & Ivan A. Janssens & Philippe Ciais & Jordi Sardans, 2020. "Country-Level Relationships of the Human Intake of N and P, Animal and Vegetable Food, and Alcoholic Beverages with Cancer and Life Expectancy," IJERPH, MDPI, vol. 17(19), pages 1-15, October.

    Cited by:

    1. Zhiheng Chen & Yuting Ma & Junyi Hua & Yuanhong Wang & Hongpeng Guo, 2021. "Impacts from Economic Development and Environmental Factors on Life Expectancy: A Comparative Study Based on Data from Both Developed and Developing Countries from 2004 to 2016," IJERPH, MDPI, vol. 18(16), pages 1-18, August.

  22. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
    See citations under working paper version above.
  23. Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020. "Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models," International Review of Financial Analysis, Elsevier, vol. 68(C).
    See citations under working paper version above.
  24. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
    See citations under working paper version above.
  25. Huber, Florian & Punzi, Maria Teresa, 2020. "International Housing Markets, Unconventional Monetary Policy, And The Zero Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 24(4), pages 774-806, June.
    See citations under working paper version above.
  26. Florian Huber & Daniel Kaufmann, 2020. "Trend Fundamentals and Exchange Rate Dynamics," Economica, London School of Economics and Political Science, vol. 87(348), pages 1016-1036, October.
    See citations under working paper version above.
  27. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).

    Cited by:

    1. Sangyup Choi & Davide Furceri & Seung Yong Yoo, 2024. "Heterogeneity in the Effects of Uncertainty Shocks on Labor Market Dynamics and Extensive vs. Intensive Margins of Adjustment," CAMA Working Papers 2024-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    3. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    4. Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Global effects of US uncertainty: real and financial shocks on real and financial markets," Working papers 69, Red Investigadores de Economía.
    5. Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
    6. Mustafa Okur & Ali Köse & Özgür Akpinar, 2021. "The Soundness of Financial Institutions In The Fragile Five Countries," International Journal of Business Research and Management (IJBRM), Computer Science Journals (CSC Journals), vol. 12(3), pages 89-102, June.
    7. Awijen, Haithem & Ben Zaied, Younes & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States," MPRA Paper 101276, University Library of Munich, Germany, revised Jun 2020.
    8. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2022. "The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    9. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    10. Xia, Tian & Zhou, Hang, 2023. "Commodity terms of trade co-movement: Global and regional factors," Journal of International Money and Finance, Elsevier, vol. 139(C).
    11. Miescu, Mirela S., 2023. "Uncertainty shocks in emerging economies: A global to local approach for identification," European Economic Review, Elsevier, vol. 154(C).

  28. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    See citations under working paper version above.
  29. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    See citations under working paper version above.
  30. Eller, Markus & Huber, Florian & Schuberth, Helene, 2020. "How important are global factors for understanding the dynamics of international capital flows?," Journal of International Money and Finance, Elsevier, vol. 109(C).
    See citations under working paper version above.
  31. Florian Huber & Martin Feldkircher, 2019. "Adaptive Shrinkage in Bayesian Vector Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 27-39, January.
    See citations under working paper version above.
  32. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.

    Cited by:

    1. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
    2. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    3. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    4. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    5. Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
    6. Kumar, Utkarsh & Ahmad, Wasim & Uddin, Gazi Salah, 2024. "Bayesian Markov switching model for BRICS currencies' exchange rates," LSE Research Online Documents on Economics 122816, London School of Economics and Political Science, LSE Library.
    7. Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.
    8. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.

  33. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.

    Cited by:

    1. Milas, Costas & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2024. "UK Foreign Direct Investment in uncertain economic times," Journal of International Money and Finance, Elsevier, vol. 147(C).
    2. Simola, Heli, 2019. "Effects of external shocks on Russian economy," BOFIT Policy Briefs 4/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    4. Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021. "Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 27(18), pages 1804-1833, December.
    5. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    6. Martin, Feldkircher & Thomas, Gruber & Florian, Huber, 2019. "International effects of a compression of euro area yield curves," Working Papers in Economics 2019-1, University of Salzburg.
    7. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    8. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
    9. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
    10. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    11. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    12. Faryna, Oleksandr & Simola, Heli, 2021. "The transmission of international shocks to CIS economies: A global VAR approach," Economic Systems, Elsevier, vol. 45(2).
    13. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    14. Camehl, Annika & von Schweinitz, Gregor, 2023. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2023.
    15. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.

  34. Clara De Luigi & Florian Huber & Josef Schreiner, 2019. "The impact of labor cost growth on inflation in selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/19, pages 56-78.

    Cited by:

    1. Hahn, Elke, 2020. "The wage-price pass-through in the euro area: does the growth regime matter?," Working Paper Series 2485, European Central Bank.
    2. Vizhdan Boranova & Raju Huidrom & Sylwia Nowak & Petia Topalova & Volodymyr Tulin & Richard Varghese, 2021. "Wage growth and inflation in Europe: a puzzle?," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1427-1453.
    3. Köse, Nezir & Ünal, Emre, 2021. "The effects of the oil price and oil price volatility on inflation in Turkey," Energy, Elsevier, vol. 226(C).

  35. Florian Huber & Gregor Kastner & Martin Feldkircher, 2019. "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
    See citations under working paper version above.
  36. Huber, Florian & Fischer, Manfred M. & Piribauer, Philipp, 2019. "The Role Of Us-Based Fdi Flows For Global Output Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 23(3), pages 943-973, April.
    See citations under working paper version above.
  37. Sebastian Breitfuß & Martin Feldkircher & Florian Huber, 2019. "Changes in US Monetary Policy and Its Transmission over the Last Century," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 447-470, November.

    Cited by:

    1. Martin Feldkircher & Florian Huber, 2018. "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, vol. 11(4), pages 1-31, October.
    2. Daniel Kaufmann, 2015. "Nominal stability and Swiss monetary regimes over two centuries," KOF Working papers 15-379, KOF Swiss Economic Institute, ETH Zurich.
    3. Tsai, I-Chun & Chen, Han-Bo & Lin, Che-Chun, 2024. "The ability of energy commodities to hedge the dynamic risk of epidemic black swans," Resources Policy, Elsevier, vol. 89(C).

  38. Florian Huber & Manfred M. Fischer, 2018. "A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(3), pages 575-604, June.
    See citations under working paper version above.
  39. Martin Feldkircher & Florian Huber, 2018. "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, vol. 11(4), pages 1-31, October.
    See citations under working paper version above.
  40. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
    See citations under working paper version above.
  41. Jesús Crespo Cuaresma & Gernot Doppelhofer & Florian Huber & Philipp Piribauer, 2018. "Human capital accumulation and long†term income growth projections for European regions," Journal of Regional Science, Wiley Blackwell, vol. 58(1), pages 81-99, January.

    Cited by:

    1. Eliasson, Kent & Haapanen, Mika & Westerlund, Olle, 2019. "Regional concentration of university graduates: The role of high school grades and parental background," Umeå Economic Studies 966, Umeå University, Department of Economics.
    2. Tamás Krisztin & Philipp Piribauer, 2021. "A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows," Empirical Economics, Springer, vol. 61(1), pages 231-257, July.
    3. Luckeneder, Sebastian & Giljum, Stefan & Krisztin, Tamás, 2019. "Do mining activities foster regional development? Evidence from Latin America in a spatial econometric framework," Ecological Economic Papers 28, WU Vienna University of Economics and Business.
    4. Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
    5. Marco Bellandi & Silvia Lombardi & Erica Santini, 2020. "Traditional manufacturing areas and the emergence of product-service systems: the case of Italy," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(2), pages 311-331, June.
    6. Piribauer, Philipp & Glocker, Christian & Krisztin, Tamás, 2023. "Beyond distance: The spatial relationships of European regional economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    7. Xuan Liu & Jianbao Chen, 2021. "Variable Selection for the Spatial Autoregressive Model with Autoregressive Disturbances," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
    8. Tamás Krisztin & Philipp Piribauer, 2021. "Modelling European regional FDI flows using a Bayesian spatial Poisson interaction model," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 67(3), pages 593-616, December.
    9. Vladislav L. Anichin* & Larisa A. Tretyakov? & Marina V. Vladyka & Julia Yu. Vashcheykina, 2018. "Regional Trends in the Changing Value of Human Capital Assets," The Journal of Social Sciences Research, Academic Research Publishing Group, vol. 4, pages 95-99, 11-2018.
    10. Michael Pfarrhofer & Philipp Piribauer, 2018. "Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models," Papers 1805.10822, arXiv.org.

  42. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.

    Cited by:

    1. Florian Huber & Katrin Rabitsch, 2019. "Exchange rate dynamics and monetary policy -- Evidence from a non-linear DSGE-VAR approach," Department of Economics Working Papers wuwp295, Vienna University of Economics and Business, Department of Economics.
    2. Saurabh Sharma & Ipsita Padhi & Sarat Dhal, 2022. "Monetary-fiscal coordination: when, why and how?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(4), pages 661-686, September.
    3. António Afonso & José Alves & Serena Ionta, 2023. "The Effects of Monetary Policy Surprises and Fiscal Sustainability Regimes in the Euro Area," CESifo Working Paper Series 10558, CESifo.
    4. Kloosterman, Roben & Bonam, Dennis & van der Veer, Koen, 2024. "The effects of monetary policy across fiscal regimes," Journal of Macroeconomics, Elsevier, vol. 81(C).
    5. Tianbao Zhou & Zhixin Liu & Yingying Xu, 2024. "How do financial variables impact public debt growth in China? An empirical study based on Markov regime-switching model," Papers 2407.02183, arXiv.org.
    6. Roben Kloosterman & Dennis Bonam & Koen van der Veer, 2022. "The effects of monetary policy across fiscal regimes," Working Papers 755, DNB.
    7. Efraim Benmelech & Nitzan Tzur-Ilan, 2020. "The Determinants of Fiscal and Monetary Policies During the Covid-19 Crisis," NBER Working Papers 27461, National Bureau of Economic Research, Inc.
    8. Florian Huber & Massimiliano Marcellino, 2023. "Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification," Papers 2304.07856, arXiv.org, revised May 2023.
    9. Roudari, Soheil & Salmani, Yunes, 2020. "Macroeconomic Effects of Government Debt to Banks in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 403-422, October.
    10. Kubin, Ingrid & Zörner, Thomas O. & Gardini, Laura & Commendatore, Pasquale, 2019. "A credit cycle model with market sentiments," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 159-174.

  43. Florian Huber & Tamás Krisztin & Philipp Piribauer, 2017. "Forecasting Global Equity Indices Using Large Bayesian Vars," Bulletin of Economic Research, Wiley Blackwell, vol. 69(3), pages 288-308, July.
    See citations under working paper version above.
  44. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 318-336.
    See citations under working paper version above.
  45. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.

    Cited by:

    1. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    2. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/2, Czech National Bank.
    3. Sascha Mierzwa, 2021. "Spillovers from Tax Shocks to the Euro Area," MAGKS Papers on Economics 202133, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
    5. Alexandros Skouralis, 2021. "Systemic Risk Spillovers Across the EURO Area," Working Papers 326919507, Lancaster University Management School, Economics Department.
    6. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
    7. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).

  46. Huber, Florian, 2017. "Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models," Economics Letters, Elsevier, vol. 150(C), pages 48-52.
    See citations under working paper version above.
  47. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.

    Cited by:

    1. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Understanding the drivers of capital flows into the CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 79-104.

  48. Martin Feldkircher & Florian Huber & Isabella Moder, 2016. "Modeling the evolution of monetary policy rules in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 8-27.

    Cited by:

    1. Hakan Yilmazkuday, 2008. "Structural Breaks in Monetary Policy Rules: Evidence from Transition Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(6), pages 87-97, November.
    2. El-Shagi, Makram & Tochkov, Kiril, 2022. "Shadow of the colossus: Euro area spillovers and monetary policy in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 120(C).
    3. Lucjan T. Orlowski, 2017. "Sensitivity of Interest Rates to Inflation and Exchange Rate in Poland: Implications for Direct Inflation Targeting," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 59(4), pages 545-560, December.
    4. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
    5. Schepp, Zoltán & Abaligeti, Gallusz & Németh, Kristóf, 2018. "Időben változó Taylor-szabály a hazai monetáris politika jellemzésére [A time-varying parameter Taylor rule for Hungarian monetary policy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 24-43.
    6. Katharina Allinger & Julia Wörz, 2020. "The sensitivity of banks’ net interest margins to interest rate conditions in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/20, pages 51-70.

  49. Feldkircher, Martin & Huber, Florian, 2016. "The international transmission of US shocks—Evidence from Bayesian global vector autoregressions," European Economic Review, Elsevier, vol. 81(C), pages 167-188.

    Cited by:

    1. Riccardo Degasperi & Seokki Simon Hong & Giovanni Ricco, 2023. "The Global Transmission of U.S. Monetary Policy," Working Papers 2023-02, Center for Research in Economics and Statistics.
    2. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
    3. Simola, Heli, 2019. "Effects of external shocks on Russian economy," BOFIT Policy Briefs 4/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    4. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
    5. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    6. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    7. Dieppe, Alistair & Georgiadis, Georgios & Ricci, Martino & Van Robays, Ine & van Roye, Björn, 2018. "ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis," Economic Modelling, Elsevier, vol. 72(C), pages 78-98.
    8. Dungey, Mardi & Khan, Faisal & Raghavan, Mala, 2018. "International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies," Economic Modelling, Elsevier, vol. 72(C), pages 109-121.
    9. Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).
    10. Julián Caballero & Andrés Fernández & Jongho Park, 2019. "On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation," Working Papers Central Bank of Chile 839, Central Bank of Chile.
    11. De Santis, Roberto A. & Zimic, Srečko, 2022. "Interest rates and foreign spillovers," European Economic Review, Elsevier, vol. 144(C).
    12. Michael T. Owyang & Jeremy M. Piger & Daniel Soques, 2019. "Contagious Switching," Working Papers 2019-014, Federal Reserve Bank of St. Louis, revised 28 Feb 2021.
    13. Stéphane Dées & Alessandro Galesi, 2019. "The Global Financial Cycle and US Monetary Policy in an Interconnected World," Working papers 744, Banque de France.
    14. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
    15. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran\'s economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
    16. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," GRU Working Paper Series GRU_2017_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    17. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    18. Christiane Baumeister & James D. Hamilton, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," NBER Working Papers 26606, National Bureau of Economic Research, Inc.
    19. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    20. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Department of Economics Working Paper Series 243, WU Vienna University of Economics and Business.
    21. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
    22. Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
    23. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    24. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    25. Potjagailo, Galina, 2017. "Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 127-147.
    26. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2023. "An unconventional FX tail risk story," LSE Research Online Documents on Economics 120052, London School of Economics and Political Science, LSE Library.
    27. Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/2, Czech National Bank.
    28. Goto, Eiji, 2023. "Industry effects of unconventional monetary policy, within and across countries," Journal of International Money and Finance, Elsevier, vol. 136(C).
    29. Michel C. de Souza, 2023. "On the transmission of us uncertainty shocks to the European labor market," Economics Bulletin, AccessEcon, vol. 43(4), pages 1666-1679.
    30. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    31. Hoek, Jasper & Kamin, Steve & Yoldas, Emre, 2022. "Are higher U.S. interest rates always bad news for emerging markets?," Journal of International Economics, Elsevier, vol. 137(C).
    32. Fontaine, Idriss & Razafindravaosolonirina, Justinien & Didier, Laurent, 2018. "Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR," China Economic Review, Elsevier, vol. 51(C), pages 1-19.
    33. Mala Raghavan & Faisal Khan & Evelyn S. Devadason, 2024. "Agri‐food trade channel and the ASEAN macroeconomic impacts from output and price shocks," Agricultural Economics, International Association of Agricultural Economists, vol. 55(1), pages 5-26, January.
    34. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    35. Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
    36. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    37. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
    38. De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
    39. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
    40. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," Journal of International Money and Finance, Elsevier, vol. 148(C).
    41. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    42. Jan Hajek & Roman Horvath, 2017. "International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries," Working Papers 2017/05, Czech National Bank.
    43. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.
    44. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
    45. Hung, Ying-Shu & Lee, Chingnun & Chen, Pei-Fen, 2022. "China’s monetary policy and global stock markets: A new cointegration approach with smoothing structural changes," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 643-666.
    46. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    47. Faryna, Oleksandr & Simola, Heli, 2021. "The transmission of international shocks to CIS economies: A global VAR approach," Economic Systems, Elsevier, vol. 45(2).
    48. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," LSE Research Online Documents on Economics 125291, London School of Economics and Political Science, LSE Library.
    49. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2014. "International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model," Working Papers 2014/05, Latvijas Banka.
    50. Mala Raghavan & Faisal Khan & Sonia Kumari Selvarajan & Evelyn S. Devadason, 2023. "Cross‐country linkages between ASEAN and non‐ASEAN‐RCEP member states: A global VAR analysis," The World Economy, Wiley Blackwell, vol. 46(6), pages 1782-1814, June.
    51. Michael Pfarrhofer & Anna Stelzer, 2019. "High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks," Papers 1912.03158, arXiv.org, revised Dec 2024.
    52. Thomas, Lina, 2023. "The tale of two titans: US and China's distinct impact on the global economy," Finance Research Letters, Elsevier, vol. 58(PC).
    53. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    54. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
    55. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
    56. Andrew Filardo & Pierre Siklos, 2018. "The cross-border credit channel and lending standards surveys," BIS Working Papers 723, Bank for International Settlements.
    57. Feng, Ling & Pei, Tingting & Zhou, Zhiguang, 2024. "The impact of U.S. monetary policy on Chinese firms’ innovation," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1097-1111.
    58. Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
    59. Thomas, Lina, 2023. "Ripple effect: Disentangling the global impact web of US monetary policy," Finance Research Letters, Elsevier, vol. 58(PB).
    60. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.
    61. Deniz Sevinc & Edgar Mata Flores & Simon Collinson, 2020. "Are there inequality spillovers? Evidence through a modified inequality measure and European dynamics of inequality," Working Papers 545, ECINEQ, Society for the Study of Economic Inequality.
    62. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
    63. Fadejeva, Ludmila & Feldkircher, Martin & Reininger, Thomas, 2017. "International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 1-25.
    64. Oyenyinka Sunday Omoshoro‐Jones & Lumengo Bonga‐Bonga, 2022. "Intra‐regional spillovers from Nigeria and South Africa to the rest of Africa: New evidence from a FAVAR model," The World Economy, Wiley Blackwell, vol. 45(1), pages 251-275, January.
    65. Ludmila Fadejeva & Zeynep Kantur, 2020. "Wealth distribution and monetary policy," Working Papers 2020/03, Latvijas Banka.
    66. Razieh Zahedi & Asghar Shahmoradi & Ali Taiebnia, 2022. "The ever-evolving trade pattern: a global VAR approach," Empirical Economics, Springer, vol. 63(3), pages 1193-1218, September.
    67. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
    68. Burriel, Pablo & Galesi, Alessandro, 2018. "Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries," European Economic Review, Elsevier, vol. 101(C), pages 210-229.
    69. Ganelli, Giovanni & Tawk, Nour, 2019. "Spillovers from Japan's Unconventional Monetary Policy: A global VAR Approach," Economic Modelling, Elsevier, vol. 77(C), pages 147-163.
    70. Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.
    71. Paredes, Joan, 2017. "Subsidising car purchases in the euro area: any spill-over on production?," Working Paper Series 2094, European Central Bank.
    72. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
    73. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    74. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
    75. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
    76. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    77. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Understanding the drivers of capital flows into the CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 79-104.
    78. Olayinka Oyekola, 2022. "How Resilient Is the U.S. Economy to Foreign Disturbances?," Mathematics, MDPI, vol. 10(9), pages 1-33, April.
    79. Huidan Xue & Chenguang Li & Liming Wang & Wen-Hao Su, 2021. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks," Sustainability, MDPI, vol. 13(16), pages 1-24, August.
    80. Benecká, Soňa & Fadejeva, Ludmila & Feldkircher, Martin, 2020. "The impact of euro Area monetary policy on Central and Eastern Europe," Journal of Policy Modeling, Elsevier, vol. 42(6), pages 1310-1333.
    81. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.

  50. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.

    Cited by:

    1. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
    2. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    3. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    4. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    5. Huber, Florian & Punzi, Maria Teresa, 2017. "The shortage of safe assets in the US investment portfolio: Some international evidence," Department of Economics Working Paper Series 243, WU Vienna University of Economics and Business.
    6. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    7. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    8. Florian Huber & Maria Teresa Punzi, 2016. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Papers wuwp216, Vienna University of Economics and Business, Department of Economics.
    9. Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
    10. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    11. Florian Huber & Michael Pfarrhofer & Philipp Piribauer, 2020. "A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 911-926, September.
    12. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    13. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
    14. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    15. Reif Magnus, 2021. "Macroeconomic uncertainty and forecasting macroeconomic aggregates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
    16. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
    17. Huber, Florian, 2018. "Dealing with heterogeneity in panel VARs using sparse finite mixtures," Department of Economics Working Paper Series 262, WU Vienna University of Economics and Business.
    18. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
    19. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    20. Демешев Борис Борисович & Малаховская Оксана Анатольевна, 2016. "Макроэкономическое Прогнозирование С Помощью Bvar Литтермана," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 20(4), pages 691-710.
    21. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
    22. Antonio Pacifico, 2022. "Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure," Econometrics, MDPI, vol. 10(3), pages 1-24, July.
    23. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
    24. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
    25. Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.
    26. Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
    27. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
    28. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    29. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
    30. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    31. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.

  51. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Understanding the drivers of capital flows into the CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 79-104.

    Cited by:

    1. Léonore Raguideau-Hannotin, 2022. "The case of financial and banking integration of Central, Eastern and South Eastern European countries: A gravity model approach," Working Papers hal-03667991, HAL.
    2. Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing Credit Gaps in CESEE Based on Levels Justified by Fundamentals – A Comparison Across Different Estimation Approaches (Mariarosaria Comunale, Markus Eller, Mathias Lahnsteiner)," Working Papers 229, Oesterreichische Nationalbank (Austrian Central Bank).
    3. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    4. Broos, Menno & Ghalanos, Michalis & Kennedy, Bernard & Landbeck, Alexander & Lerner, Christina & Menezes, Paula & Schiavone, Alessandro & Tilley, Thomas & Viani, Francesca & Reinhardt, Dennis & Metzem, 2016. "Dealing with large and volatile capital flows and the role of the IMF," Occasional Paper Series 180, European Central Bank.
    5. Herman, Uroš & Lozej, Matija, 2021. "Cross-border bank funding and lending in a monetary union: Evidence from Slovenia," Journal of International Money and Finance, Elsevier, vol. 115(C).
    6. Markus Eller & Niko Hauzenberger & Florian Huber & Helene Schuberth & Lukas Vashold, 2020. "Capital Flows and the Stabilizing Role of Macroprudential Policies in CESEE," Papers 2009.06391, arXiv.org.
    7. Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing credit gaps in CESEE based on levels justified by fundamentals – a comparison across different estimation approaches," Bank of Lithuania Working Paper Series 74, Bank of Lithuania.
    8. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).

  52. Huber Florian, 2016. "Forecasting exchange rates using multivariate threshold models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 193-210, January.

    Cited by:

    1. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
    2. Florian Huber, 2017. "Structural breaks in Taylor rule based exchange rate models - Evidence from threshold time varying parameter models," Department of Economics Working Papers wuwp244, Vienna University of Economics and Business, Department of Economics.
    3. Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2017. "The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions," Working Papers 201774, University of Pretoria, Department of Economics.
    4. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    5. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
    6. Bartkus Algirdas, 2016. "A New Model with Regime Switching Errors: Forecasting Gdp in Times of Great Recession," Ekonomika (Economics), Sciendo, vol. 95(2), pages 7-29, February.
    7. Sercan Eraslan, 2019. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Empirical Economics, Springer, vol. 57(5), pages 1653-1675, November.
    8. Huseyin Ince & Ali Fehim Cebeci & Salih Zeki Imamoglu, 2019. "An Artificial Neural Network-Based Approach to the Monetary Model of Exchange Rate," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 817-831, February.
    9. Martin Casta, 2022. "How Credit Improves the Exchange Rate Forecast," Working Papers 2022/7, Czech National Bank.
    10. Tasadduq Imam, 2021. "Model selection for one‐day‐ahead AUD/USD, AUD/EUR forecasts," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1808-1824, April.
    11. Works, Richard & Haan, Perry, 2017. "An Empirical Study of Japanese and South Korean Exchange Rates Using the Sticky-Price Monetary Theory," MPRA Paper 77235, University Library of Munich, Germany.
    12. Eraslan, Sercan, 2017. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Discussion Papers 13/2017, Deutsche Bundesbank.

  53. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.

    Cited by:

    1. Szendrei, Tibor & Eross, Andrea & Mohammed, Mustapha & Ersoy, Erkal, 2024. "Investigating the effect of green finance initiatives on renewable energy penetration in Europe," Accountancy, Economics, and Finance Working Papers 2024-07, Heriot-Watt University, Department of Accountancy, Economics, and Finance.
    2. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
    3. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
    4. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    5. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
    6. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    7. Crespo Cuaresma, Jesus & Doppelhofer, Gernot & Feldkircher, Martin & Huber, Florian, 2018. "Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model," Working Papers in Economics 2018-6, University of Salzburg.
    8. María Paula Bonel & Daniel J. Aromí, 2021. "Assessing GDP forecasts from autoregressive models: the impact of model complexity and training dataset," Asociación Argentina de Economía Política: Working Papers 4440, Asociación Argentina de Economía Política.
    9. Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
    10. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    11. Michel C. de Souza, 2023. "On the transmission of us uncertainty shocks to the European labor market," Economics Bulletin, AccessEcon, vol. 43(4), pages 1666-1679.
    12. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    13. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: a network general equilibrium GVAR approach," LSE Research Online Documents on Economics 86865, London School of Economics and Political Science, LSE Library.
    14. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    15. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2021. "The regional transmission of uncertainty shocks on income inequality in the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 887-900.
    16. Gunter, Ulrich & Zekan, Bozana, 2021. "Forecasting air passenger numbers with a GVAR model," Annals of Tourism Research, Elsevier, vol. 89(C).
    17. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.
    18. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
    19. Celani, Alessandro & Cerchiello, Paola & Pagnottoni, Paolo, 2024. "The topological structure of panel variance decomposition networks," Journal of Financial Stability, Elsevier, vol. 71(C).
    20. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    21. Florian Huber & Tam'as Krisztin & Michael Pfarrhofer, 2018. "A Bayesian panel VAR model to analyze the impact of climate change on high-income economies," Papers 1804.01554, arXiv.org, revised Feb 2021.
    22. Camehl, Annika & von Schweinitz, Gregor, 2023. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2023.
    23. Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
    24. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
    25. Vuković, Darko B. & Hassan, M. Kabir & Kwakye, Bernard & Febtinugraini, Armike & Shakib, Mohammed, 2024. "Does fintech matter for financial inclusion and financial stability in BRICS markets?," Emerging Markets Review, Elsevier, vol. 61(C).
    26. Razieh Zahedi & Asghar Shahmoradi & Ali Taiebnia, 2022. "The ever-evolving trade pattern: a global VAR approach," Empirical Economics, Springer, vol. 63(3), pages 1193-1218, September.
    27. Schnücker, A.M., 2019. "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers EI-2019-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    28. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    29. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    30. Samuel F. Onipede & Nafiu A. Bashir & Jamaladeen Abubakar, 2023. "Small open economies and external shocks: an application of Bayesian global vector autoregression model," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1673-1699, April.

  54. Dovern, Jonas & Feldkircher, Martin & Huber, Florian, 2016. "Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 86-100.
    See citations under working paper version above.
  55. Dovern, Jonas & Huber, Florian, 2015. "Global prediction of recessions," Economics Letters, Elsevier, vol. 133(C), pages 81-84.
    See citations under working paper version above.
  56. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.

    Cited by:

    1. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]," MPRA Paper 63713, University Library of Munich, Germany.
    2. Aleksandra Riedl & Julia Wörz, 2018. "A simple approach to nowcasting GDP growth in CESEE economies," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/18, pages 56-74.
    3. David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.

  57. M. Feldkircher & F. Huber & I. Moder, 2015. "Towards a New Normal: How Different Paths of US Monetary Policy Affect the World Economy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(3), pages 409-418, November.

    Cited by:

    1. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.

  58. Florian Huber & Magdalena Petrovska, 2015. "Price and Wage Rigidities in the Republic of Macedonia: Survey Evidence from Micro- Level Data," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 49-64.

    Cited by:

    1. Gani Ramadani, 2017. "Firms’ responses to shocks by price, wage and employment in Macedonia," Working Papers 2017-02, National Bank of the Republic of North Macedonia.
    2. Gani Ramadani, 2017. "Measuring wage and price stickiness using firm-level data and potential implications for monetary policy in Macedonia," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
    3. Ramadani, Gani & Naumovski, Nikola, 2014. "Wage and Price Setting in Macedonia: Evidence from Survey Data," MPRA Paper 70171, University Library of Munich, Germany, revised Nov 2015.

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