Michael Pfarrhofer
University of Salzburg
53 Papers
69 Citations
Michael Pfarrhofer is an academic researcher from University of Salzburg. The author has contributed to research in topics: Prior probability & Stochastic volatility. The author has an hindex of 6, co-authored 44 publications. Previous affiliations of Michael Pfarrhofer include Vienna University of Economics and Business & European Union.
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Papers
•Posted Content
Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
TL;DR: It is argued that regression tree models are ideally suited for macroeconomic nowcasting in the face of the extreme observations produced by the pandemic due to their flexibility and ability to model outliers.
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The regional transmission of uncertainty shocks on income inequality in the United States
TL;DR: The authors explored the relationship between household income inequality and macroeconomic uncertainty in the United States using a novel large-scale macroeconometric model and shed light on regional disparities of inequality responses to a national uncertainty shock.
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Tail Forecasting with Multivariate Bayesian Additive Regression Trees
TL;DR: This paper developed multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors.
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
TL;DR: This article developed Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees, which is suitable for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020.
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The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States
TL;DR: In this paper, the authors used a factor-augmented vector autoregressive model to examine the impact of monetary and policy shocks on housing prices across metropolitan and micropolitan regions.
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