Michael Pfarrhofer

Are there asymmetries in euro area monetary policy transmission?

We answer the question posed in the title with a nonlinear mixed-frequency vector autoregression, estimated with Bayesian additive regression trees. The model combines monthly macro-financial variables with quarterly bank lending survey data, and identifies the dynamic responses from high-frequency policy surprises. Si...

Are there asymmetries in euro area monetary policy?

Conditional projection methods for large-scale Bayesian VARs

This work develops fast methods for conditional forecasting and structural scenario analysis with high-dimensional Bayesian vector autoregressions (VARs) and compute counterfactual predictions for oil price scenarios in the context of the 2026 closure of the Strait of Hormuz.