Machine learning the macroeconomic effects of financial shocks

DOI10.1016/J.ECONLET.2025.112260MaRDI QIDQ6957319zbMATH OpenFDO

Authors Niko Hauzenberger, Florian Huber, Karin Klieber, Massimiliano Marcellino

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112260

zbMATH Keywords

asymmetric shock transmissionBayesian neural networksfinancial shocksnonlinear local projections

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Economic growth models (91B62) Financial markets (91G15)

Cites work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• FRED-MD: A Monthly Database for Macroeconomic Research
• Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹
• Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
• Local projections in unstable environments
• Local projections, autocorrelation, and efficiency
• MCMC using Hamiltonian dynamics
• Model selection in Bayesian neural networks via horseshoe priors
• State-dependent local projections
• Structural vector autoregressive analysis

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