Daniel Buncic is Professor of Finance at Stockholm Business School (SBS). Daniel joined SBS in 2019, after having worked as a senior research economist at Sveriges Riksbank (the Central Bank of Sweden), and as an Assistant Professor at the University of St. Gallen in Switzerland. Daniel holds a PhD in Economics from the University of New South Wales in Sydney, Australia. He has held consulting appointments at the World Bank, the European Central Bank, as well as the private sector throughout his academic career. Daniel was the Director of the Master's in Banking and Finance Program from September 2019 to July 2022.
Daniel's research interests include empirical Finance/Macro, Asset Pricing, Econometrics/Forecasting, and Computational Statistics/Machine Learning.
Note: This site is not maintained. See Daniel's homepage for an up-to-date research list.
(2019) Forecast ranked tailored equity portfolios, (with Cord Stern). Journal of International Financial Markets, Institutions and Money, (In Press) doi.org/10.1016/j.intfin.2019.101138.
(2019) Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models, Oxford Bulletin of Economics and Statistics, 81(3), 667-685. (Online Appendix, 5.19MB).
(2017) The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets, (with Katja Gisler) Journal of International Money and Finance, 79(December), 1-19. (Online Appendix, 1.85MB).
(2017) Macroeconomic Factors and Equity Premium Predictability, (with Martin Tischhauser) International Review of Economics and Finance, 51(September), 621-644. (Data, 1.07MB).
(2017) Measuring the Output Gap in Switzerland with Linear Opinion Pools, (with Oliver Müller) Economic Modelling, 64(August), 163-171. (Data, 100KB).
(2016) The Term Structure of Interest Rates in an estimated New Keynesian Policy Model, (with Philipp Lentner) Journal of Macroeconomics, 50(December), 126-150.
(2016) Global Equity Market Volatility Spillovers: A Broader Role for the United States, (with Katja Gisler) International Journal of Forecasting, 32(4), 1317–1339.
(2016) Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability, (with Gion Donat Piras) Journal of International Money and Finance, 60(February), 313–359. (Data, 1.71MB).
(2015) Forecasting Copper Prices with Dynamic Averaging and Selection Models, (with Carlo Moretto) North American Journal of Economics and Finance, 33(1), 1–38. (Online Appendix, 276KB).
(2015) Measuring Fund Style, Performance and Activity: A New Style Profiling Approach, (with Robert Hill and Jon Eggins) Accounting and Finance, 55(1), 29–55.
(2014) Equilibrium Credit: The Reference Point for Macroprudential Supervisors, (with Martin Melecky) Journal of Banking and Finance, 41(4), 135–154. (Addon Material, 249KB).
Media Coverage: World Bank Blog, Globalmacromatters Blog, paper presented at the 2013 Cleveland Federal Reserve high level conference on Financial Stability.
Background paper to Chapter 6 of the World Development Report 2014: Risk and Opportunity: Managing Risk for Development.
(2013) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers, (with Martin Melecky) Journal of Financial Stability, 9(3), 347–370.
Policy Usage: Our stress testing methodology was used by World Bank staff in technical assistance missions (FSAPs) in a number of Balkan, Eastern European, and Middle Eastern countries.
(2012) Understanding forecast failure of ESTAR models of real exchange rates, Empirical Economics, 34(1), 399-426. (Data, 56KB).
(2010) The impact of ECB monetary policy decisions and communication on the yield curve, (with Claus Brand and Jarkko Turunen) Journal of the European Economic Association, 8(6), 1266–1298.
(2008) An estimated New Keynesian Policy Model for Australia, (with Martin Melecky) The Economic Record, 84(264), 1-16. (Additional Notes, 259KB).
(2006) Bootstrap causality tests of the relationship between the equity markets of the U.S. and other developed countries: Pre- and post-September 11, (with Eduardo Roca and Abdulnasser Hatemi-J), Journal of Applied Business Research, 22(3), 65-74.
(2005) The extent and stability of long-run relationships between stock prices: Evidence from the U.S., the U.K. and Australia, (with Eduardo Roca), Investment Management and Financial Innovations, 2(4), 80-94.
(2002) Equity market price interdependence between Australia and the Asian Tigers, (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74.
Policy Papers and Book Reviews
(2019) The Riksbank's method for stress testing banks' capital, (with Jieying Li, Peter van Santen, Peter Wallin, and Jakob Winstrand), Sveriges Riksbank Staff Memo.
(2017) Appendix D - Structural Estimates of the Probability of a Banking Crisis at Different Levels of Capital in: "Appropriate capital ratios in major Swedish banks – new perspectives", (with Markus Andersson), Sveriges Riksbank Staff Memo.
(2016) “Superforecasting: The Art and Science of Prediction”, by Philip Tetlock and Dan Gardner invited book review. Risks, 4(3), 1-5.
Central Bank Working Papers
(2017) Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models. Riksbank Working Paper No. 344, Sveriges Riksbank, 2017. (Online Appendix, 5.19MB).
(2013) Equilibrium Credit: The Reference Point for Macroprudential Supervisiors, (with Martin Melecky) World Bank Policy Research Working Paper Series No. 6358, The World Bank, 2013.
(2012) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers, (with Martin Melecky) World Bank Policy Research Working Paper Series No. 5936, The World Bank, 2012.
(2006) The impact of ECB monetary policy decisions and communication on the yield curve (with Claus Brand and Jarkko Turunen), ECB Working Paper No. 657.