Michael Pfarrhofer, Anna Stelzer
arXiv 29 Sep 2026 · Econometrics
arXiv:2609.37168 · PDF · Extracted main text
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. Sign asymmetry dominates; a tightening produces monetary policy transmission mostly in line with the theoretical predictions, whereas easing of any size produces mostly insignificant responses. Peak effects vary with initial conditions, while several common, predefined regime splits do not yield considerable differences in the propagation of the shocks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kolesár M, and Plagborg-Mller M (2025) Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly | 0.928 | 4 | 3 | 100% |
| 2 | Ciccarelli M, Maddaloni A, and Peydró JL (2013) Heterogeneous transmission mechanism: monetary policy and financial fragility in the eurozone | 0.843 | 4 | 3 | 75% |
| 3 | Marcellino M, and Pfarrhofer M (2025) Nonparametric mixed frequency monitoring macro-at-risk | 0.843 | 4 | 3 | 75% |
| 4 | Jarociński M, and Karadi P (2020) Deconstructing monetary policy surprises–The role of information shocks | 0.843 | 5 | 4 | 60% |
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| 6 | Huber F, Koop G, Onorante L, Pfarrhofer M, and Schreiner J (2023) Nowcasting in a pandemic using non-parametric mixed frequency VARs | 0.737 | 3 | 3 | 67% |
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| 9 | Carriero A, Clark TE, Marcellino M, and Mertens E (2024) Addressing COVID-19 outliers in BVARs with stochastic volatility | 0.511 | 2 | 2 | 50% |
| 10 | Goulet Coulombe P, and Klieber K (2025) Opening the black box of local projections, ECB Working Paper 3105, European Central Bank | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 58 scored citations.