Michael Pfarrhofer
@mpfarrho.bsky.social
AP @wuvienna.bsky.social, Bayesian econometrics and empirical macroeconomics (monetary, business cycles, now/forecasting)
mpfarrho.github.io
mpfarrho.github.io
New working paper "A Bayesian Gaussian Process Dynamic Factor Model" with T. Chernis (BMA), N. Hauzenberger (Uni Strathclyde), and H. Mumtaz (QMUL): arxiv.org/abs/2509.04928
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
September 11, 2025 at 10:45 AM
New working paper "A Bayesian Gaussian Process Dynamic Factor Model" with T. Chernis (BMA), N. Hauzenberger (Uni Strathclyde), and H. Mumtaz (QMUL): arxiv.org/abs/2509.04928
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
Proposes a dynamic factor model where the latent factors are linked to observed variables with unknown nonlinear functions.
Reposted by Michael Pfarrhofer
📆 Join us on Mar 19 at our economics research seminar with Michael Pfarrhofer (@mpfarrho.bsky.social), who will present "General Seemingly Unrelated Local Projections"
More info and abstract:
www.jku.at/en/departmen...
More info and abstract:
www.jku.at/en/departmen...
March 17, 2025 at 4:08 PM
📆 Join us on Mar 19 at our economics research seminar with Michael Pfarrhofer (@mpfarrho.bsky.social), who will present "General Seemingly Unrelated Local Projections"
More info and abstract:
www.jku.at/en/departmen...
More info and abstract:
www.jku.at/en/departmen...
"Scenario analysis with multivariate Bayesian machine learning models"
▶️ Conditional forecasts, generalized IRFs in dynamic nonparametric models
▶️ Applications: Macroeconomic stress testing; macroeconomic risk and financial conditions; financial shock transmission
arxiv.org/abs/2502.08440
▶️ Conditional forecasts, generalized IRFs in dynamic nonparametric models
▶️ Applications: Macroeconomic stress testing; macroeconomic risk and financial conditions; financial shock transmission
arxiv.org/abs/2502.08440
Scenario analysis with multivariate Bayesian machine learning models
We present an econometric framework that adapts tools for scenario analysis, such as conditional forecasts and generalized impulse response functions, for use with dynamic nonparametric multivariate m...
arxiv.org
February 13, 2025 at 10:00 AM
"Scenario analysis with multivariate Bayesian machine learning models"
▶️ Conditional forecasts, generalized IRFs in dynamic nonparametric models
▶️ Applications: Macroeconomic stress testing; macroeconomic risk and financial conditions; financial shock transmission
arxiv.org/abs/2502.08440
▶️ Conditional forecasts, generalized IRFs in dynamic nonparametric models
▶️ Applications: Macroeconomic stress testing; macroeconomic risk and financial conditions; financial shock transmission
arxiv.org/abs/2502.08440
“Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns,” at ssrn.com/abstract=513... where we:
▶️ use a Bayesian asset pricing framework & machine learning
▶️ have text-based climate risk indicators
▶️ find asymmetric impacts across firms
▶️ use a Bayesian asset pricing framework & machine learning
▶️ have text-based climate risk indicators
▶️ find asymmetric impacts across firms
Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns
We propose a Bayesian Asset Pricing framework that uses machine learning to capture nonlinear interactions between firm exposures to climate change risks and a
ssrn.com
February 12, 2025 at 8:31 PM
“Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns,” at ssrn.com/abstract=513... where we:
▶️ use a Bayesian asset pricing framework & machine learning
▶️ have text-based climate risk indicators
▶️ find asymmetric impacts across firms
▶️ use a Bayesian asset pricing framework & machine learning
▶️ have text-based climate risk indicators
▶️ find asymmetric impacts across firms
Reposted by Michael Pfarrhofer
You want to do your #PhD in #Economics at one of Europe’s largest & most modern business & economics universities. Join us at WU Wien #Vienna 🇦🇹. Click here: econjobmarket.org/positions/11...
January 31, 2025 at 5:01 PM
You want to do your #PhD in #Economics at one of Europe’s largest & most modern business & economics universities. Join us at WU Wien #Vienna 🇦🇹. Click here: econjobmarket.org/positions/11...
Reposted by Michael Pfarrhofer
📣 NEW: Handbook of Research Methods and Applications in #Macroeconomic Forecasting by Michael P. Clements & Ana Beatriz Galvão
Chapter 14 is #OpenAccess at: doi.org/10.4337/9781...
More info: www.e-elgar.com/shop/isbn/97...
@mpfarrho.bsky.social @danilocascaldi.bsky.social #Econometrics
Chapter 14 is #OpenAccess at: doi.org/10.4337/9781...
More info: www.e-elgar.com/shop/isbn/97...
@mpfarrho.bsky.social @danilocascaldi.bsky.social #Econometrics
November 29, 2024 at 9:39 AM
📣 NEW: Handbook of Research Methods and Applications in #Macroeconomic Forecasting by Michael P. Clements & Ana Beatriz Galvão
Chapter 14 is #OpenAccess at: doi.org/10.4337/9781...
More info: www.e-elgar.com/shop/isbn/97...
@mpfarrho.bsky.social @danilocascaldi.bsky.social #Econometrics
Chapter 14 is #OpenAccess at: doi.org/10.4337/9781...
More info: www.e-elgar.com/shop/isbn/97...
@mpfarrho.bsky.social @danilocascaldi.bsky.social #Econometrics