Profiles

Daniel Buncic

Daniel Buncic

Associate Professor

Visa sidan på svenska
Works at Stockholm Business School
Email daniel.buncic@sbs.su.se
Visiting address Kräftriket, hus 3, 7, 15 och 24
Postal address Företagsekonomiska institutionen 106 91 Stockholm

About me

Be­fore join­ing Stock­holm Uni­ver­si­ty in March 2019, Daniel worked as a se­nior re­search economist in the Fi­nan­cial Sta­bil­i­ty De­part­ment of Sve­ri­ges Riks­bank (the Cen­tral Bank of Swe­den). From 2010 to 2017, he was an As­sis­tant Pro­fes­sor in the School of Eco­no­mics and Po­lit­i­cal Sci­ences at the Uni­ver­sity of St. Gallen in Switzer­land.

Daniel has held consulting ap­point­ments at the World Bank, the Eu­ro­pean Central Bank, as well as the private sector through­out his academic career. He gradu­ated with a PhD in Eco­nomics from the Uni­ver­si­ty of New South Wales in Sydney (Australia) under the su­per­vi­sion of Prof. Adrian Pagan.

For more and up to date information about Daniel, visit his personal homepage at: www.danielbuncic.com.

Teaching

Daniel is the Director of the Master's in Banking and Finance Program at Stockholm Business School. He teaches in the Bachelor as well as Masters program. Daniel has previously taught specialized Time Series Econometrics and more general Econometrics courses at the University of St. Gallen in Switzerland.

Research

Daniel's research interests include: Financial economics, Econometrics and Forecasting, Financial stability, Macroeconomics

Working Papers

Econometric issues with Laubach and Williams' estimates of the natural rate of interest (February 2020).

Published Papers

(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.  

 

Last updated: March 24, 2020

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