Details about Michael Pfarrhofer

Access statistics for papers by Michael Pfarrhofer.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: ppf31

Working Papers

2025

1. Scenario Analysis with Multivariate Bayesian Machine Learning Models
   Papers, arXiv.org

2024

2. Asymmetries in Financial Spillovers
   Papers, arXiv.org
3. Bayesian nonparametric methods for macroeconomic forecasting
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
   See also Chapter Bayesian nonparametric methods for macroeconomic forecasting, Chapters, Edward Elgar Publishing (2024) (2024)
4. General Seemingly Unrelated Local Projections
   Papers, arXiv.org
5. High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks
   Papers, arXiv.org
6. Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
   Papers, arXiv.org
7. Nowcasting with Mixed Frequency Data Using Gaussian Processes
   Papers, arXiv.org View citations (1)

2023

8. Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (5)
   Papers, arXiv.org (2021) View citations (8)
   See also Journal Article Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (3) (2024)
9. Sparse time-varying parameter VECMs with an application to modeling electricity prices
   Papers, arXiv.org
   See also Journal Article Sparse time-varying parameter VECMs with an application to modeling electricity prices, International Journal of Forecasting, Elsevier (2025) (2025)

2022

10. Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
    Papers, arXiv.org View citations (7)
    See also Journal Article 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 (2022) View citations (4) (2022)
11. Forecasting euro area inflation using a huge panel of survey expectations
    Papers, arXiv.org
    See also Journal Article Forecasting euro area inflation using a huge panel of survey expectations, International Journal of Forecasting, Elsevier (2024) View citations (1) (2024)
12. General Bayesian time-varying parameter VARs for modeling government bond yields
    Working Papers in Regional Science, WU Vienna University of Economics and Business View citations (2)
13. Measuring Shocks to Central Bank Independence using Legal Rulings
    Papers, arXiv.org
14. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
    See also Journal Article 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 (2023) View citations (13) (2023)

2021

15. A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
    Papers, arXiv.org
16. General Bayesian time-varying parameter VARs for predicting government bond yields
    Papers, arXiv.org View citations (1)
17. Modeling tail risks of inflation using unobserved component quantile regressions
    Papers, arXiv.org View citations (1)
    See also Journal Article Modeling tail risks of inflation using unobserved component quantile regressions, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (10) (2022)
18. Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
    Also in Papers, arXiv.org (2020) View citations (31)
    Working Paper Series, European Central Bank (2021) View citations (6)
    See also Journal Article Nowcasting in a pandemic using non-parametric mixed frequency VARs, Journal of Econometrics, Elsevier (2023) View citations (16) (2023)

2020

19. A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Papers, arXiv.org View citations (6)
    See also Journal Article A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (5) (2020)
20. Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
    Papers, arXiv.org View citations (6)
21. Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
    Papers, arXiv.org View citations (1)
    Also in Working Papers in Economics, University of Salzburg (2019)
    See also Journal Article Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy, Scandinavian Journal of Economics, Wiley Blackwell (2021) View citations (3) (2021)
22. Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
    Papers, arXiv.org View citations (2)
    See also Journal Article Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (7) (2021)
23. Forecasts with Bayesian vector autoregressions under real time conditions
    Papers, arXiv.org View citations (4)
    See also Journal Article Forecasts with Bayesian vector autoregressions under real time conditions, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) (2024)
24. Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
    Papers, arXiv.org View citations (3)
    See also Journal Article Measuring the effectiveness of US monetary policy during the COVID‐19 recession, Scottish Journal of Political Economy, Scottish Economic Society (2021) View citations (6) (2021)
25. On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
    Papers, arXiv.org View citations (2)
    See also Journal Article On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty, Journal of Economic Behavior & Organization, Elsevier (2021) View citations (5) (2021)

2019

26. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
    Papers, arXiv.org
    See also Journal Article Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, Empirical Economics, Springer (2025) (2025)
27. Measuring international uncertainty using global vector autoregressions with drifting parameters
    Working Papers in Economics, University of Salzburg View citations (4)
    Also in Papers, arXiv.org (2019) View citations (4)
    See also Journal Article Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters, Macroeconomic Dynamics, Cambridge University Press (2023) (2023)
28. Stochastic model specification in Markov switching vector error correction models
    Papers, arXiv.org View citations (1)
    Also in Working Papers in Economics, University of Salzburg (2018) View citations (1)
    See also Journal Article Stochastic model specification in Markov switching vector error correction models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) View citations (4) (2021)
29. The regional transmission of uncertainty shocks on income inequality in the United States
    Working Papers in Regional Science, WU Vienna University of Economics and Business View citations (8)
    See also Journal Article The regional transmission of uncertainty shocks on income inequality in the United States, Journal of Economic Behavior & Organization, Elsevier (2021) View citations (7) (2021)
30. The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
    Working Papers in Economics, University of Salzburg View citations (3)
    Also in Papers, arXiv.org (2018) View citations (1)
    Working Papers in Regional Science, WU Vienna University of Economics and Business (2018) View citations (1)

2018

31. Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
    Papers, arXiv.org View citations (3)
32. Implications of Macroeconomic Volatility in the Euro Area
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (3)
    Also in ESRB Working Paper Series, European Systemic Risk Board (2018) View citations (3)
    Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2018)
    Papers, arXiv.org (2018) View citations (3)
33. The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions
    Papers, arXiv.org View citations (2)
    Also in Working Papers in Regional Science, WU Vienna University of Economics and Business (2018)
34. The dynamic impact of monetary policy on regional housing prices in the United States
    Working Papers in Economics, University of Salzburg View citations (5)
    Also in Working Papers in Regional Science, WU Vienna University of Economics and Business (2018) View citations (6)
    See also Journal Article The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States, Real Estate Economics, American Real Estate and Urban Economics Association (2021) View citations (7) (2021)

Journal Articles

2025

1. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
   Empirical Economics, 2025, 68, (2), 535-553
   See also Working Paper Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, Papers (2019) (2019)
2. Sparse time-varying parameter VECMs with an application to modeling electricity prices
   International Journal of Forecasting, 2025, 41, (1), 361-376
   See also Working Paper Sparse time-varying parameter VECMs with an application to modeling electricity prices, Papers (2023) (2023)

2024

3. Financial markets and legal challenges to unconventional monetary policy
   European Economic Review, 2024, 163, (C)
4. Forecasting euro area inflation using a huge panel of survey expectations
   International Journal of Forecasting, 2024, 40, (3), 1042-1054 View citations (1)
   See also Working Paper Forecasting euro area inflation using a huge panel of survey expectations, Papers (2022) (2022)
5. Forecasts with Bayesian vector autoregressions under real time conditions
   Journal of Forecasting, 2024, 43, (3), 771-801
   See also Working Paper Forecasts with Bayesian vector autoregressions under real time conditions, Papers (2020) View citations (4) (2020)
6. Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
   Journal of Business & Economic Statistics, 2024, 42, (4), 1302-1317 View citations (3)
   See also Working Paper Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model, CEPR Discussion Papers (2023) (2023)

2023

7. General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields
   Journal of Applied Econometrics, 2023, 38, (1), 69-87 View citations (2)
8. Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters
   Macroeconomic Dynamics, 2023, 27, (3), 770-793
   See also Working Paper Measuring international uncertainty using global vector autoregressions with drifting parameters, Working Papers in Economics (2019) View citations (4) (2019)
9. Nowcasting in a pandemic using non-parametric mixed frequency VARs
   Journal of Econometrics, 2023, 232, (1), 52-69 View citations (16)
   See also Working Paper Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, JRC Working Papers in Economics and Finance (2021) View citations (1) (2021)
10. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
    International Economic Review, 2023, 64, (3), 979-1022 View citations (13)
    See also Working Paper Tail Forecasting with Multivariate Bayesian Additive Regression Trees, Working Papers (2022) View citations (7) (2022)

2022

11. APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
    International Economic Review, 2022, 63, (4), 1625-1658 View citations (4)
    See also Working Paper Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs, Papers (2022) View citations (7) (2022)
12. Modeling tail risks of inflation using unobserved component quantile regressions
    Journal of Economic Dynamics and Control, 2022, 143, (C) View citations (10)
    See also Working Paper Modeling tail risks of inflation using unobserved component quantile regressions, Papers (2021) View citations (1) (2021)

2021

13. Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy
    Scandinavian Journal of Economics, 2021, 123, (4), 1261-1291 View citations (3)
    See also Working Paper Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy, Papers (2020) View citations (1) (2020)
14. Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
    Journal of Applied Econometrics, 2021, 36, (2), 262-270 View citations (7)
    See also Working Paper Dynamic shrinkage in time-varying parameter stochastic volatility in mean models, Papers (2020) View citations (2) (2020)
15. Measuring the effectiveness of US monetary policy during the COVID‐19 recession
    Scottish Journal of Political Economy, 2021, 68, (3), 287-297 View citations (6)
    See also Working Paper Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession, Papers (2020) View citations (3) (2020)
16. On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty
    Journal of Economic Behavior & Organization, 2021, 191, (C), 822-845 View citations (5)
    See also Working Paper On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty, Papers (2020) View citations (2) (2020)
17. Stochastic model specification in Markov switching vector error correction models
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 17 View citations (4)
    See also Working Paper Stochastic model specification in Markov switching vector error correction models, Papers (2019) View citations (1) (2019)
18. The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
    Real Estate Economics, 2021, 49, (4), 1039-1068 View citations (7)
    See also Working Paper The dynamic impact of monetary policy on regional housing prices in the United States, Working Papers in Economics (2018) View citations (5) (2018)
19. The regional transmission of uncertainty shocks on income inequality in the United States
    Journal of Economic Behavior & Organization, 2021, 183, (C), 887-900 View citations (7)
    See also Working Paper The regional transmission of uncertainty shocks on income inequality in the United States, Working Papers in Regional Science (2019) View citations (8) (2019)

2020

20. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Journal of Forecasting, 2020, 39, (6), 911-926 View citations (5)
    See also Working Paper A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis, Papers (2020) View citations (6) (2020)

Chapters

2024

1. Bayesian nonparametric methods for macroeconomic forecasting
   Chapter 5 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 90-125
   See also Working Paper Bayesian nonparametric methods for macroeconomic forecasting, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2024) (2024)