Research in progress

Cacophony in Central Banking? Evidence from Euro Area Speeches on Monetary Policy toegether with Paul Hofmarcher and Pierre Siklos CAMA Working Paper Nr. 49/2022.

Publications in peer-reviewed journals

A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty together with Maximilian Böck and Burkhard Raunig. Macroeconomic Dynamics forthcoming.
Understanding Monetary Spillovers in Highly Integrated Regions - The case of Europe, together with Helene Schuberth. Oxford Bulletin of Economics and Statistics Vol. 85 (4), pp. 859-893.
Quantitative Easing and Wealth Inequality: The asset price channel, together with Clara De Luigi, Philipp Poyntner, and Helene Schuberth. Oxford Bulletin of Economics and Statistics Vol. 85 (3), pp. 638-670.

BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R, together with Maximilian Böck and Florian Huber. Journal of Statistical Software, Vol. 104 (9).
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs, together with Florian Huber, Michael Pfarrhofer and Gary Koop. International Economic Review, Vol. 63 (4), pp. 1625-1658.
How does monetary policy affect income inequality in Japan? Evidence from grouped data, together with Kazuhiko Kakamu. Empirical economics, Vol. 62, pp. 2307-2327.

The impact of monetary policy on yield curve expectations, together with Maximilian Böck. Journal of Economic Behavior & Organization, Vol. 191, pp. 887-901.
International effects of euro area forward guidance, together with Maximilian Böck and Pierre Siklos. Oxford Bulletin of Economics and Statistics, Vol. 83, Issue 5, pp. 1066-1110.
Variable selection in finite mixture of regression models with an unknown number of components, together with Kuo-Jung Lee and Yi-Chi Chen. Computational Statistics & Data Analysis, Vol. 158, pp. 107-180.
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession, together with Florian Huber and Michael Pfarrhofer. Scottish Journal of Political Economy, Vol. 68, Issue 3, pp. 287-297.
The transmission of euro area interest rate shocks to Asia - Do effects differ when nominal interest rates are negative?, together with Florian Huber, Pornpinun Chantapacdepong and Maria Teresa Punzi. Emerging Markets Finance and Trade, Volume 57, Issue 13, pp. 3818-3834.

The Impact of Euro Area Monetary Policy on Central and Eastern Europe, together with Soňa Benecká and Ludmila Fadejeva. Journal of Policy Modeling, Vol. 42, Issue 6, pp. 1310-1333.
Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment, together with Gabriele Tondl, International Advances in Economic Research, Vol. 6(3), 225-247.
International Effects of a Compression of Euro Area Yield Curves, together with Thomas Gruber and Florian Huber. Previously circulated as Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy. Journal of Banking & Finance, Volume 113, pp. 1-14.

Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs together with Florian Huber and Michael Pfarrhofer Chapter 3 in the Springer book Macroeconomic Forecasting in the Era of Big Data, edited by Peter Fuleky, Gary Koop and Laszlo Matyas.
Global Inflation Dynamics and Inflation Expectations, together with Pierre Siklos. International Review of Economics & Finance, 2019, Vol. 64, pp. 217-241. Illustration files
Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model, together with Jesús Crespo Cuaresma, Gernot Doppelhofer and Florian Huber. Previously circulated as "US Monetary Policy in a Globalized World". Journal of the Royal Statistical Society: Series A , Vol. 182, 2019, pp. 831-861. Replication files.
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, together with Florian Huber and Gregor Kastner. Previously circulated as "A new approach to time varying parameters in vector autoregressive models", Journal of Applied Econometrics , Vol. 34, 2019, Issue 5, pp. 621-640.
Changes in US monetary policy and its transmission over the last century, together with Sebastian Breitfuß and Florian Huber. German Economic Review, Vol. 20, 2019, Issue 4, pp. 447-470.
Adaptive Shrinkage in Bayesian Vector Autoregressive Models, together with Florian Huber. Journal of Business & Economic Statistics , Volume 37, 2019, Issue 1 pages 27-39. Replication files

Unconventional US Monetary Policy: New Tools, Same Channels?, together with Florian Huber. Journal of Risk and Financial Management , 2018, 11(4), 71.

International Spillovers from Euro Area and US Credit and Demand Shocks: A focus on Emerging Europe, together with Ludmila Fadejeva and Thomas Reininger. Journal of International Money and Finance , Vol. 70, February 2017, pages 1-25.

The International Transmission of US Shocks - Evidence from Bayesian Global Vector Autoregressions, together with Florian Huber. European Economic Review, Vol. 81, pages 167-188, January 2016. Replication zip-file, working paper version.
Does joint modelling of the world economy pay off? Evaluating multivariate forecasts from a Bayesian GVAR, together with Jonas Dovern and Florian Huber. Journal of Economic Dynamics and Control, Volume 70, September 2016, pages 86-100.
Forecasting with Global Vector Autoregressive Models: A Bayesian Approach, together with Jesús Crespo Cuaresma and Florian Huber. Journal of Applied Econometrics , Vol. 31, Issue 7, pp. 1371-1391, November/December 2016. Working paper version.

Towards a New Normal - How Different Paths of US Monetary Policy affect the World Economy, together with Florian Huber and Isabella Moder. Economic Notes , Volume 44, Issue 3, pages 409-418, November 2015. Project-Syndicate article
A Global Macro Model for Emerging Europe. Journal of Comparative Economics ,Vol. 43, Issue 3, pp. 706-726, 2015.
Bayesian Model Averaging Employing Fixed and Flexible Priors - The BMS Package for R, together with Stefan Zeugner. Journal of Statistical Software , Vol. 68(4), pp. 1-37, 2015.

The Determinants of Vulnerability to the Global Financial Crisis 2008 to 2009: Credit Growth and Other Sources of Risk, Journal of International Money and Finance, Vol. 43, pp. 19-49, 2014. Data,
Exchange Market Pressures during the Financial Crisis: A Bayesian Model Averaging Evidence, together with Roman Horváth and Marek Rusnák. Journal of International Money and Finance , Vol. 40, pp. 21-41, 2014. Data, Replication file.
The rise of China and its implications for the global economy - Evidence from a global vector autoregressive model, together with Iikka Korhonen. Pacific Economic Review , Vol. 19:1, pp. 61-89, 2014.
The Determinants of Economic Growth in European Regions together with Jesús Crespo Cuaresma and Gernot Doppelhofer. Regional studies , Vol. 48, Nr. 1, pp. 44-67, 2014.

Spatial Filtering, Model Uncertainty and the Speed of Income Convergence in Europe, together with Jesús Crespo Cuaresma. Journal of Applied Econometrics , Vol. 28, Issue 4, pp. 720-741, 2013.

The Impact of Data Revisions on the Robustness of Growth Determinants - A Note on 'Determinants of Economic Growth. Will Data Tell?', together with Stefan Zeugner. Journal of Applied Econometrics, Vol. 27, Issue 4, pp. 686-694, 2012.
Forecast Combination and Bayesian Model Averaging - A Prior Sensitivity Analysis. Journal of Forecasting, Vol. 31, pp. 361-376, 2012.