Research profile at IDEAS
Google scholar profile
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.
- A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty
together with Maximilian Böck and Burkhard Raunig.
OeNB Working Papers Nr. 233/2021.
Publications in peer-reviewed journals
2023
-
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.
2022
-
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.
2021
-
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.
2020
- 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.
2019
- 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
2018
- Unconventional US Monetary Policy: New Tools, Same Channels?,
together with Florian Huber.
Journal of Risk and Financial Management , 2018, 11(4), 71.
2017
- 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.
2016
- 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.
2015
- 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.
2014
- 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.
2013
- 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.
2012
- 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.
Scimago Journal Rankings for selected journals where I have published