Florian Huber

Professor of Economics
University of Salzburg

Department of Economics
Mönchsberg 2a
5020 Salzburg

See also my working papers and work in progress.

Publications in international refereed journals

2026 & forthcoming

  • The Distributional Effects of Economic Uncertainty, with T. Tornese and M. Marcellino. International Economic Review, forthcoming.
  • A Flexible Approach to Augmenting a Bayesian VAR with Nonlinear Factors, with T. Clark and G. Koop. Journal of Business & Economic Statistics, forthcoming. DOI: 10.1080/07350015.2026.2703238.
  • Bayesian Modeling of TVP-VARs Using Regression Trees, with N. Hauzenberger, G. Koop and J. Mitchell. Annals of Applied Statistics, forthcoming.
  • Interpretable Bayesian machine learning for assessing the effects of climate news shocks on firm-level returns, with L. Barbaglia, L. Frattarolo, N. Hauzenberger, D. Hirschbrühl, L. Onorante and M. Pfarrhofer. Journal of Financial Econometrics, forthcoming.
  • Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations, with G. Koop and M. Pfarrhofer. Advances in Econometrics, forthcoming.
  • Forecasting Natural Gas Prices in Real Time, with C. Baumeister, T.K. Lee, F. Ravazzolo. Journal of Applied Econometrics, 41/2 (2026): 139–155. DOI: 10.1002/jae.70018
  • Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model, with L. Barbaglia, L. Frattarolo, N. Hauzenberger, D. Hirschbuehl, L. Onorante, M. Pfarrhofer and L. Tiozzo Pezzoli. International Journal of Forecasting, 42/2 (2026): 657–672. DOI: 10.1016/j.ijforecast.2025.09.006
  • Forecasting and Modeling Macroeconomic Vulnerabilities in CESEE, with J. Schreiner. Journal of Forecasting, 45/1 (2026): 366–376. DOI: 10.1002/for.70038

2025

  • Predictive Density Combination Using a Tree-Based Synthesis Function, with T. Chernis, N. Hauzenberger, G. Koop and J. Mitchell. International Economic Review, 66/3 (2025): 1287–1315. DOI: 10.1111/iere.12759
  • Bayesian Neural Networks for Macroeconomic Analysis, with N. Hauzenberger, K. Klieber and M. Marcellino. Journal of Econometrics, 249/C (2025). DOI: 10.1016/j.jeconom.2024.105843
  • Machine Learning the Macroeconomic Effects of Financial Shocks, with N. Hauzenberger, K. Klieber and M. Marcellino. Economics Letters, 250 (2025). DOI: 10.1016/j.econlet.2025.112260
  • A tale of two tails: 130 years of growth-at-risk, with M. Gächter and E. Hasler. Macroeconomic Dynamics, 29 (2025). DOI: 10.1017/S1365100524000476
  • Gaussian process vector autoregressions and macroeconomic uncertainty, with N. Hauzenberger, M. Marcellino and N. Petz. Journal of Business & Economic Statistics, 43/1 (2025): 27–43. DOI: 10.1080/07350015.2024.2322089
  • Introducing shrinkage in heavy-tailed state space models to predict equity excess returns, with G. Kastner and M. Pfarrhofer. Empirical Economics, 68 (2025): 535–553. DOI: 10.1007/s00181-023-02437-3

2024

  • Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks, with G. Koop. Journal of Applied Econometrics, 39/7 (2024): 1301–1320. DOI: 10.1002/jae.3087
  • Forecasting US Inflation using Bayesian Nonparametric Models, with T. Clark, G. Koop and M. Marcellino. Annals of Applied Statistics, 18/2 (2024): 1421–1444. DOI: 10.1214/23-AOAS1841
  • Investigating Growth at Risk Using a Multi-Country Non-parametric Quantile Factor Model, with T. Clark, G. Koop, M. Marcellino and M. Pfarrhofer. Journal of Business & Economic Statistics, 42/4 (2024): 1302–1317. DOI: 10.1080/07350015.2024.2310020
  • Financial markets and legal challenges to unconventional monetary policy, with S. Griller and M. Pfarrhofer. European Economic Review, 163 (2024): ID 104680. DOI: 10.1016/j.euroecorev.2024.104680
  • Forecasting Macroeconomic Tail Risks with Big Data Quantile Regressions, with J. Prüser. Journal of Applied Econometrics, 39/2 (2024): 268–291. DOI: 10.1002/jae.3018
  • Forecasting euro area inflation using a huge panel of survey expectations, with L. Onorante and M. Pfarrhofer. International Journal of Forecasting, 40/3 (2024): 1042–1054. DOI: 10.1016/j.ijforecast.2023.09.003
  • Bayesian Forecasting in the 21st Century: A Modern Review, with G. Martin, D. Frazier and others. International Journal of Forecasting, 40/2 (2024): 431–468. DOI: 10.1016/j.ijforecast.2023.05.002
  • Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods, with N. Hauzenberger and G. Koop. Studies in Nonlinear Dynamics & Econometrics, 28/2 (2024): 201–225. DOI: 10.1515/snde-2022-0077
  • Sophisticated and Small Versus Simple and Sizeable: When Does It Pay Off to Introduce Drifting Coefficients in Bayesian VARs?, with M. Feldkircher, L. Gruber and G. Kastner. Journal of Forecasting, 43/6 (2024): 2126–2145. DOI: 10.1002/for.3121

2023

  • Tail Forecasting with Multivariate Bayesian Additive Regression Trees, with T. Clark, G. Koop, M. Marcellino and M. Pfarrhofer. International Economic Review, 64/3 (2023): 979–1022. DOI: 10.1111/iere.12619
  • Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs, with G. Koop, M. Pfarrhofer, L. Onorante and J. Schreiner. Journal of Econometrics, 232/1 (2023): 52–69. DOI: 10.1016/j.jeconom.2020.11.006
  • Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions, with G. Koop. Journal of Applied Econometrics, 38/4 (2023): 556–576. DOI: 10.1002/jae.2966
  • A Bayesian panel VAR model to analyze the impact of climate change on high-income economies, with T. Krisztin and M. Pfarrhofer. Annals of Applied Statistics, 17/2 (2023): 1543–1573. DOI: 10.1214/22-AOAS1681
  • General Bayesian time-varying parameter VARs for modeling government bond yields, with M. M. Fischer, N. Hauzenberger and M. Pfarrhofer. Journal of Applied Econometrics, 38/1 (2023): 69–87. DOI: 10.1002/jae.2936
  • Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques, with N. Hauzenberger and K. Klieber. International Journal of Forecasting, 39/2 (2023): 901–921. DOI: 10.1016/j.ijforecast.2022.03.002

2022

  • Approximate Bayesian Inference and Forecasting in Huge-dimensional Multi-country VARs, with M. Feldkircher, G. Koop and M. Pfarrhofer. International Economic Review, 63/4 (2022): 1625–1658. DOI: 10.1111/iere.12577
  • BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R, with M. Böck and M. Feldkircher. Journal of Statistical Software, 104/9 (2022). DOI: 10.18637/jss.v104.i09
  • Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models, with N. Hauzenberger, G. Koop and L. Onorante. Journal of Business & Economic Statistics, 40/4 (2022): 1904–1918. DOI: 10.1080/07350015.2021.1990772
  • Inference in Bayesian Additive Vector Autoregressive Tree Models, with L. Rossini. Annals of Applied Statistics, 16/1 (2022): 104–123. DOI: 10.1214/21-AOAS1488

2021

  • Inducing Sparsity and Shrinkage in Time-Varying Parameter Models, with G. Koop and L. Onorante. Journal of Business & Economic Statistics, 39/3 (2021): 669–683. DOI: 10.1080/07350015.2020.1713796
  • Combining Shrinkage and Sparsity in Conjugate Vector Autoregressive Models, with N. Hauzenberger and L. Onorante. Journal of Applied Econometrics, 36/3 (2021): 304–327. DOI: 10.1002/jae.2807
  • Dynamic shrinkage in time-varying parameter stochastic volatility in mean models, with M. Pfarrhofer. Journal of Applied Econometrics, 36/2 (2021): 262–270. DOI: 10.1002/jae.2804
  • The regional transmission of uncertainty shocks on income inequality in the United States, with M. M. Fischer and M. Pfarrhofer. Journal of Economic Behavior and Organization, 183 (2021): 887–900. DOI: 10.1016/j.jebo.2019.03.004
  • The impact of macroprudential policies on capital flows in CESEE, with M. Eller, N. Hauzenberger, H. Schuberth and L. Vashold. Journal of International Money and Finance, 119 (2021): 102495. DOI: 10.1016/j.jimonfin.2021.102495
  • The dynamic impact of monetary policy on regional housing prices in the US, with M. M. Fischer, M. Pfarrhofer and P. Staufer-Steinocher. Real Estate Economics, 49/4 (2021): 1039–1068. DOI: 10.1111/1540-6229.12274
  • Sparse Bayesian vector autoregressions in huge dimensions, with G. Kastner. Journal of Forecasting, 39/7 (2021): 1142–1165. DOI: 10.1002/for.2680
  • Stochastic model specification in Markov switching vector error correction models, with N. Hauzenberger, M. Pfarrhofer and T. Zörner. Studies in Nonlinear Dynamics and Econometrics, 25/2 (2021). DOI: 10.1515/snde-2018-0069
  • Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession, with M. Feldkircher and M. Pfarrhofer. Scottish Journal of Political Economy, 68/3 (2021): 287–297. DOI: 10.1111/sjpe.12275

2020

  • How Important are Global Factors for Understanding the Dynamics of International Capital Flows?, with M. Eller and H. Schuberth. Journal of International Money and Finance, 109 (2020). DOI: 10.1016/j.jimonfin.2020.102221
  • Fragility and the spillovers of international uncertainty shocks, with J. Crespo Cuaresma and L. Onorante. Journal of International Money and Finance, 108 (2020). DOI: 10.1016/j.jimonfin.2020.102151
  • Trend Fundamentals and Exchange Rate Dynamics, with D. Kaufmann. Economica, 87/348 (2020): 1016–1036. DOI: 10.1111/ecca.12334
  • International effects of a compression of euro area yield curves, with M. Feldkircher and T. Gruber. Journal of Banking and Finance, 113 (2020): ID 105533. DOI: 10.1016/j.jbankfin.2019.03.017
  • A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis, with M. Pfarrhofer and P. Piribauer. Journal of Forecasting, 39/6 (2020): 911–926. DOI: 10.1002/for.2667
  • Model instability in predictive exchange rate regressions, with N. Hauzenberger. Journal of Forecasting, 39/2 (2020): 168–186. DOI: 10.1002/for.2620
  • International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound, with M. T. Punzi. Macroeconomic Dynamics, 24/4 (2020): 774–806. DOI: 10.1017/S1365100518000494

2019

  • Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models, with G. Kastner and M. Feldkircher. Journal of Applied Econometrics, 34/5 (2019): 621–640. DOI: 10.1002/jae.2680
  • Adaptive shrinkage in Bayesian vector autoregressive models, with M. Feldkircher. Journal of Business and Economic Statistics, 37/1 (2019): 27–39. DOI: 10.1080/07350015.2016.1256217
  • Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model, with J. Crespo Cuaresma, G. Doppelhofer and M. Feldkircher. Journal of the Royal Statistical Society: A, 182/3 (2019): 831–861. DOI: 10.1111/rssa.12439
  • Threshold cointegration in international exchange rates: A Bayesian approach, with T. Zörner. International Journal of Forecasting, 35/2 (2019): 458–473. DOI: 10.1016/j.ijforecast.2018.07.012
  • Changes in US Monetary Policy and its Transmission over the last Century, with S. Breitfuß and M. Feldkircher. German Economic Review, 20/4 (2019): 447–470. DOI: 10.1111/geer.12154
  • The role of US based FDI flows for global output dynamics, with M. M. Fischer and P. Piribauer. Macroeconomic Dynamics, 23/3 (2019): 943–973. DOI: 10.1017/S1365100517000086

2018

  • Debt regimes and the effectiveness of monetary policy, with C. De Luigi. Journal of Economic Dynamics and Control, 93 (2018): 218–238. DOI: 10.1016/j.jedc.2018.01.027
  • Predicting crypto-currencies using sparse non-Gaussian state space models, with C. Hotz-Behofsits and T. Zörner. Journal of Forecasting, 37/6 (2018): 627–640. DOI: 10.1002/for.2524
  • A Markov switching factor-augmented VAR model to analyze US monetary policy and business cycles, with M. M. Fischer. Oxford Bulletin of Economics and Statistics, 80/3 (2018): 575–604. DOI: 10.1111/obes.12227
  • Human Capital Accumulation and Long-Term Income Growth Projections for European Regions, with J. Crespo Cuaresma, G. Doppelhofer and P. Piribauer. Journal of Regional Science, 58/3 (2018): 81–99. DOI: 10.1111/jors.12339

2017

  • The shortage of safe assets in the US investment portfolio: Some international evidence, with M. T. Punzi. Journal of International Money and Finance, 74 (2017): 318–336. DOI: 10.1016/j.jimonfin.2017.02.023
  • Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models. Economics Letters, 150 (2017): 48–52. DOI: 10.1016/j.econlet.2016.11.008
  • Forecasting Equity Indices using Large Bayesian VARs, with T. Krisztin and P. Piribauer. Bulletin of Economic Research, 69/3 (2017): 288–308. DOI: 10.1111/boer.12094

2016

  • Forecasting using Global Vector Autoregressions: A Bayesian Approach, with J. Crespo Cuaresma and M. Feldkircher. Journal of Applied Econometrics, 31/7 (2016): 1371–1391. DOI: 10.1002/jae.2504
  • Does Joint Modeling of the World Economy Pay Off? Evaluating GVAR Forecasts from a Multivariate Perspective, with J. Dovern and M. Feldkircher. Journal of Economic Dynamics and Control, 70 (2016): 86–100. DOI: 10.1016/j.jedc.2016.06.006
  • Density Forecasting using Bayesian Global Vector Autoregressions with Stochastic Volatility. International Journal of Forecasting, 32/3 (2016): 818–837. DOI: 10.1016/j.ijforecast.2015.12.008
  • The International Transmission of US Shocks – Evidence from Global Vector Autoregressions, with M. Feldkircher. European Economic Review, 81 (2016): 167–188. DOI: 10.1016/j.euroecorev.2015.01.009
  • Forecasting Exchange Rates using Multivariate Threshold Models. B.E. Journal of Macroeconomics, 16/1 (2016): 193–201. DOI: 10.1515/bejm-2015-0032

2015

Other refereed / policy publications

  • A Shot for the US Economy, with M. Gächter and M. Meier. Finance Research Letters, 47 (2022). DOI: 10.1016/j.frl.2021.102638
  • Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models, with R. Gupta and P. Piribauer. International Review of Financial Analysis, 68 (2020): ID 101456. DOI: 10.1016/j.irfa.2020.101456
  • The transmission of euro area interest rate shocks to Asia, with M. Feldkircher, M. T. Punzi and P. Chantapacdepong. Emerging Markets Finance and Trade, 57/13 (2021): 3752–3770. DOI: 10.1080/1540496X.2019.1709438
  • Unconventional Monetary Policy: New Tools, Same Channels?, with M. Feldkircher. Journal of Risk and Financial Management, 11/4 (2018): 71–101. DOI: 10.3390/jrfm11040071
  • How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions, with M. Eller and M. Feldkircher. Focus on European Economic Integration, 1 (2017): 34–54.
  • Weathering Global Shocks and Macrofinancial Vulnerabilities in Emerging Europe, with M. Eller and H. Schuberth. Focus on European Economic Integration, 1 (2016): 46–65.
  • Modeling the evolution of monetary policy rules in CESEE, with M. Feldkircher and I. Moder. Focus on European Economic Integration, 1 (2016): 8–27.
  • Understanding the drivers of capital flows into the CESEE countries, with M. Eller and H. Schuberth. Focus on European Economic Integration, 2 (2016): 79–104.
  • Back to a New Normal: How Different Paths of US Monetary Policy Affect the World Economy, with M. Feldkircher and I. Moder. Economic Notes, 44/3 (2015): 409–418. DOI: 10.1111/ecno.12041
  • Bridging the Information Gap: Early Estimates of Real GDP for Selected CESEE Countries, with M. Feldkircher, J. Schreiner, M. Tirpak, P. Toth and J. Wörz. Focus on European Economic Integration, 2 (2015): 56–75.
  • Price and Wage Rigidities in the Republic of Macedonia: Survey Evidence from Micro-Level Data, with M. Petrovska. Focus on European Economic Integration, 1 (2015): 49–64.

Book chapters

  • Factor Augmented Vector Autoregressions, Panel VARs, and Global VARs, with M. Feldkircher and M. Pfarrhofer. Chapter 3 in Macroeconomic Forecasting in the Era of Big Data (Springer), ed. Peter Fuleky. DOI: 10.1007/978-3-030-31150-6_3
  • Macroeconomic forecasting using BVARs, with N. Hauzenberger and G. Koop. Chapter 2 in Handbook of Research Methods and Applications in Macroeconomic Forecasting (Edward Elgar), eds. Mike Clements and Ana Galvao. DOI: 10.4337/9781035310050.00006