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Details about Michael Pfarrhofer

E-mail:
Homepage:https://sites.google.com/view/mpfarrho
Workplace:Bereich Volkswirtschaftslehre (Department of Economics), Paris-Lodron Universität Salzburg (Salzburg University), (more information at EDIRC)

Access statistics for papers by Michael Pfarrhofer.

Last updated 2021-08-09. Update your information in the RePEc Author Service.

Short-id: ppf31


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Working Papers

2021

  1. A Bayesian panel VAR model to analyze the impact of climate change on high-income economies
    Papers, arXiv.org Downloads
  2. Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
    Papers, arXiv.org Downloads
  3. General Bayesian time-varying parameter VARs for predicting government bond yields
    Papers, arXiv.org Downloads
  4. Modeling tail risks of inflation using unobserved component quantile regressions
    Papers, arXiv.org Downloads View citations (1)
  5. Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
    Working Papers, Joint Research Centre, European Commission (Ispra site) Downloads
    Also in Working Paper Series, European Central Bank (2021) Downloads View citations (4)
  6. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland Downloads

2020

  1. A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2020)
  2. Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations
    Papers, arXiv.org Downloads View citations (4)
  3. Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy
    Papers, arXiv.org Downloads View citations (1)
  4. Dynamic shrinkage in time-varying parameter stochastic volatility in mean models
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2021)
  5. Forecasts with Bayesian vector autoregressions under real time conditions
    Papers, arXiv.org Downloads View citations (2)
  6. Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Scottish Journal of Political Economy (2021)
  7. On the effectiveness of the European Central Bank's conventional and unconventional policies under uncertainty
    Papers, arXiv.org Downloads
  8. Sparse time-varying parameter VECMs with an application to modeling electricity prices
    Papers, arXiv.org Downloads

2019

  1. Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
    Papers, arXiv.org Downloads
  2. Measuring international uncertainty using global vector autoregressions with drifting parameters
    Papers, arXiv.org Downloads View citations (2)
  3. The international effects of central bank information shocks
    Papers, arXiv.org Downloads
  4. The transmission of uncertainty shocks on income inequality: State-level evidence from the United States
    Working Papers in Economics, University of Salzburg Downloads View citations (3)

2018

  1. Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
    Papers, arXiv.org Downloads View citations (3)
  2. Implications of macroeconomic volatility in the Euro area
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (3)
  3. The dynamic impact of monetary policy on regional housing prices in the United States
    Working Papers in Economics, University of Salzburg Downloads View citations (3)

Journal Articles

2021

  1. Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
    Journal of Applied Econometrics, 2021, 36, (2), 262-270 Downloads View citations (2)
    See also Working Paper (2020)
  2. Measuring the effectiveness of US monetary policy during the COVID‐19 recession
    Scottish Journal of Political Economy, 2021, 68, (3), 287-297 Downloads
    See also Working Paper (2020)
  3. The regional transmission of uncertainty shocks on income inequality in the United States
    Journal of Economic Behavior & Organization, 2021, 183, (C), 887-900 Downloads View citations (2)

2020

  1. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis
    Journal of Forecasting, 2020, 39, (6), 911-926 Downloads View citations (1)
    See also Working Paper (2020)
 
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