Details about Sylvia Kaufmann

Access statistics for papers by Sylvia Kaufmann.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pka122

Working Papers

2025

1. A geometric approach to factor model identification
   Working Papers, Swiss National Bank, Study Center Gerzensee
   Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2024)

2024

2. Bayesian (non-)unique sparse factor modelling
   Working Papers, Swiss National Bank, Study Center Gerzensee
   Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2023)

2022

3. Covid-19 outbreak and beyond: A retrospect on the information content of registered short-time workers for GDP now- and forecasting
   Working Papers, Swiss National Bank, Study Center Gerzensee
   Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2022)

2021

4. Portfolio rebalancing in times of stress
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
   See also Journal Article Portfolio rebalancing in times of stress, Journal of International Money and Finance, Elsevier (2021) View citations (3) (2021)

2020

5. Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time
   Working Papers, Swiss National Bank, Study Center Gerzensee
   Also in Working Papers, Swiss National Bank (2020)
6. Covid-19 outbreak and beyond: The information content of registered short-time workers for GDP now- and forecasting
   Working Papers, Swiss National Bank, Study Center Gerzensee View citations (5)
   See also Journal Article COVID-19 outbreak and beyond: the information content of registered short-time workers for GDP now- and forecasting, Swiss Journal of Economics and Statistics, Springer (2020) View citations (5) (2020)

2019

7. Factor augmented VAR revisited - A sparse dynamic factor model approach
   Working Papers, Swiss National Bank, Study Center Gerzensee
   Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2016)
   VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association (2018) View citations (2)

2018

8. Bayesian Dynamic Tensor Regression
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
   See also Journal Article Bayesian Dynamic Tensor Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (2) (2023)

2016

9. Changing dynamics at the zero lower bound
   Working Papers, Swiss National Bank, Study Center Gerzensee View citations (3)
   Also in Working Papers, Swiss National Bank (2016) View citations (3)
10. Hidden Markov models in time series, with applications in economics
    Working Papers, Swiss National Bank, Study Center Gerzensee
11. The Cyclical Component of Labor Market Polarization and Jobless Recoveries in the US
    VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2014) View citations (4)
    See also Journal Article The cyclical component of labor market polarization and jobless recoveries in the US, Journal of Monetary Economics, Elsevier (2020) View citations (2) (2020)

2014

12. K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?
    Working Papers, Swiss National Bank, Study Center Gerzensee View citations (1)

2013

13. Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (1)
14. Bayesian estimation of sparse dynamic factor models with order-independent identification
    Working Papers, Swiss National Bank, Study Center Gerzensee View citations (12)

2012

15. Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results
    Discussion Papers, Deutsche Bundesbank View citations (14)

2011

16. K-state switching models with endogenous transition distributions
    Working Papers, Swiss National Bank View citations (6)

2010

17. Bank-Lending Standards, the Cost Channel and Inflation Dynamics
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (8)
    Also in Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria (2009)
18. Modeling Credit Aggregates
    EcoMod2004, EcoMod
    Also in Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (2004) View citations (31)

2008

19. Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (3)
    See also Journal Article Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (31) (2010)

2007

20. Financial Systems and the Cost Channel Transmission of Monetary Policy Shocks
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations (1)
    Also in Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (2007) View citations (1)
    See also Journal Article Financial systems and the cost channel transmission of monetary policy shocks, Economic Modelling, Elsevier (2009) View citations (24) (2009)
21. The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
    Working Paper Series, European Central Bank View citations (11)
    See also Journal Article THE ROLE OF CREDIT AGGREGATES AND ASSET PRICES IN THE TRANSMISSION MECHANISM: A COMPARISON BETWEEN THE EURO AREA AND THE USA, Manchester School, University of Manchester (2010) View citations (10) (2010)

2006

22. Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (1)
    Also in Working papers, Faculty of Business and Economics - University of Basel (2005)

2005

23. Does Money Matter for Inflation in the Euro Area?
    Working papers, Faculty of Business and Economics - University of Basel View citations (20)
    Also in Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (2005) View citations (25)
    See also Journal Article DOES MONEY MATTER FOR INFLATION IN THE EURO AREA?, Contemporary Economic Policy, Western Economic Association International (2008) View citations (19) (2008)

2004

24. Model-based Clustering of Multiple Time Series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    See also Journal Article Model-Based Clustering of Multiple Time Series, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (69) (2008)

2003

25. Investigating asymmetries in the bank lending channel. An analysis using Austrian banks’ balance sheet data
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (2)
26. The business cycle of European countries Bayesian clustering of country - individual IP growth series
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (8)

2002

27. Asymmetries in Bank Lending Behaviour. - Austria During the 1990s
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank)
    Also in Working Paper Series, European Central Bank (2001) View citations (8)

2001

28. Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (5)
    See also Journal Article Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data, Empirical Economics, Springer (2002) View citations (39) (2002)

2000

29. Bayesian Analysis of Switching ARCH Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (10)
    See also Journal Article Bayesian analysis of switching ARCH models, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (6) (2002)
30. On the Effectiveness of Demand Side Management Information Programs on Household Electricity Demand
    Vienna Economics Papers, University of Vienna, Department of Economics

1999

31. The Austrian current account deficit: Driven by twin deficits or by intertemporal expenditure allocation?
    Vienna Economics Papers, University of Vienna, Department of Economics View citations (4)
    See also Journal Article The Austrian current account deficit: Driven by twin deficits or by intertemporal expenditure allocation?, Empirical Economics, Springer (2002) View citations (43) (2002)

1998

32. Bayes inference in common Markov switching trends models
    Vienna Economics Papers, University of Vienna, Department of Economics

1997

33. Measuring Business Cycles with a Dynamic Markov Switching Factor Model
    Vienna Economics Papers, University of Vienna, Department of Economics View citations (1)

1996

34. Markov-Regime Switching in Economic Variables: Part I. Modelling, Estimating and Testing. - Part II. A Selective Survey
    Economics Series, Institute for Advanced Studies

Journal Articles

2023

1. Bayesian Dynamic Tensor Regression
   Journal of Business & Economic Statistics, 2023, 41, (2), 429-439 View citations (2)
   See also Working Paper Bayesian Dynamic Tensor Regression, Working Papers (2018) View citations (3) (2018)
2. Covid-19 outbreak and beyond: a retrospect on the information content of short-time workers for GDP now- and forecasting
   Swiss Journal of Economics and Statistics, 2023, 159, (1), 1-10 View citations (1)

2021

3. Bank lending in Switzerland: Driven by business models and exposed to uncertainty
   International Review of Financial Analysis, 2021, 78, (C) View citations (2)
4. Portfolio rebalancing in times of stress
   Journal of International Money and Finance, 2021, 113, (C) View citations (3)
   See also Working Paper Portfolio rebalancing in times of stress, CEPR Discussion Papers (2021) View citations (5) (2021)
5. Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors
   Journal of Applied Econometrics, 2021, 36, (7), 989-1012 View citations (1)

2020

6. COVID-19 outbreak and beyond: the information content of registered short-time workers for GDP now- and forecasting
   Swiss Journal of Economics and Statistics, 2020, 156, (1), 1-12 View citations (5)
   See also Working Paper Covid-19 outbreak and beyond: The information content of registered short-time workers for GDP now- and forecasting, Working Papers (2020) View citations (5) (2020)
7. Constrained interest rates and changing dynamics at the zero lower bound
   Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 26 View citations (1)
8. The cyclical component of labor market polarization and jobless recoveries in the US
   Journal of Monetary Economics, 2020, 116, (C), 334-347 View citations (2)
   See also Working Paper The Cyclical Component of Labor Market Polarization and Jobless Recoveries in the US, VfS Annual Conference 2016 (Augsburg): Demographic Change (2016) (2016)

2019

9. Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
   Journal of Econometrics, 2019, 210, (1), 116-134 View citations (35)

2017

10. Don Harding Adrian Papgan: The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2017, 237, (5), 453-455
11. Identifying relevant and irrelevant variables in sparse factor models
    Journal of Applied Econometrics, 2017, 32, (6), 1123-1144 View citations (22)

2015

12. K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?
    Journal of Econometrics, 2015, 187, (1), 82-94 View citations (36)

2010

13. A monetary real-time conditional forecast of euro area inflation
    Journal of Forecasting, 2010, 29, (4), 388-405 View citations (4)
14. Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data
    Journal of Applied Econometrics, 2010, 25, (2), 309-344 View citations (31)
    See also Working Paper Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data, Working Papers (2008) View citations (3) (2008)
15. Discussion: The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank
    Swiss Journal of Economics and Statistics (SJES), 2010, 146, (I), 255-267
16. THE ROLE OF CREDIT AGGREGATES AND ASSET PRICES IN THE TRANSMISSION MECHANISM: A COMPARISON BETWEEN THE EURO AREA AND THE USA
    Manchester School, 2010, 78, (4), 345-377 View citations (10)
    See also Working Paper The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US, Working Paper Series (2007) View citations (11) (2007)

2009

17. Financial systems and the cost channel transmission of monetary policy shocks
    Economic Modelling, 2009, 26, (1), 40-46 View citations (24)
    See also Working Paper Financial Systems and the Cost Channel Transmission of Monetary Policy Shocks, Money Macro and Finance (MMF) Research Group Conference 2006 (2007) View citations (1) (2007)

2008

18. Bank lending in Germany and the UK: are there differences between a bank-based and a market-based country?
    International Journal of Finance & Economics, 2008, 13, (3), 266-279 View citations (18)
19. DOES MONEY MATTER FOR INFLATION IN THE EURO AREA?
    Contemporary Economic Policy, 2008, 26, (4), 590-606 View citations (19)
    See also Working Paper Does Money Matter for Inflation in the Euro Area?, Working papers (2005) View citations (20) (2005)
20. Model-Based Clustering of Multiple Time Series
    Journal of Business & Economic Statistics, 2008, 26, 78-89 View citations (69)
    See also Working Paper Model-based Clustering of Multiple Time Series, CEPR Discussion Papers (2004) View citations (13) (2004)
21. Structural breaks in Austrian foreign trade with Eastern Europe during the early 1970s
    Empirica, 2008, 35, (5), 465-479 View citations (4)

2007

22. Capturing the Link between M3 Growth and Inflation in the Euro Area – An Econometric Model to Produce Conditional Inflation Forecasts
    Monetary Policy & the Economy, 2007, (2), 93–108 View citations (1)

2006

23. A Switching ARCH Model for the German DAX Index
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (4), 37 View citations (7)
24. How do changes in monetary policy affect bank lending? An analysis of Austrian bank data
    Journal of Applied Econometrics, 2006, 21, (3), 275-305 View citations (2)
    Also in Journal of Applied Econometrics, 2006, 21, (3), 275-305 (2006) View citations (17)

2004

25. Do customer information programs reduce household electricity demand?--the Irish program
    Energy Policy, 2004, 32, (8), 1025-1032 View citations (33)
26. Growth and Stability in the EU
    Monetary Policy & the Economy, 2004, (2), 100–108 View citations (5)
27. The Role of Bank Lending in Market-Based and Bank-Based Financial Systems
    Monetary Policy & the Economy, 2004, (2), 88–97 View citations (4)

2002

28. Bayesian analysis of switching ARCH models
    Journal of Time Series Analysis, 2002, 23, (4), 425-458 View citations (6)
    See also Working Paper Bayesian Analysis of Switching ARCH Models, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (10) (2000)
29. Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data
    Empirical Economics, 2002, 27, (2), 277-297 View citations (39)
    See also Working Paper Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data, Working Papers (2001) View citations (5) (2001)
30. The Austrian current account deficit: Driven by twin deficits or by intertemporal expenditure allocation?
    Empirical Economics, 2002, 27, (3), 529-542 View citations (43)
    See also Working Paper The Austrian current account deficit: Driven by twin deficits or by intertemporal expenditure allocation?, Vienna Economics Papers (1999) View citations (4) (1999)

2000

31. Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
    Econometrics Journal, 2000, 3, (1), 39-65 View citations (29)

1996

32. Permanent Components in Swiss Macroeconomic Variables
    Swiss Journal of Economics and Statistics (SJES), 1996, 132, (IV), 539-562