Michael Sigmund

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

  • Oesterreichische Nationalbank (OeNB)

SCHOLARLY PAPERS

18

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Scholarly Papers (18)

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1.

Panel Vector Autoregression in R with the Package Panelvar

Quarterly Review of Economics and Finance, 2019
Number of pages: 49 Posted: 19 Jan 2018 Last Revised: 21 Feb 2019
Michael Sigmund and Robert Ferstl
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 2,617 (4,589)
Citation 7

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Panel vector autoregression model, generalized method of moments, first difference and system GMM

2.

Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the Macro-Prudential Research Network

Number of pages: 27 Posted: 18 Feb 2015
Lucia Alessi, Antonio Antunes, Jan Babecký, Simon Baltussen, Markus Behn, Diana Bonfim, Oliver Bush, Carsten Detken, Jon Frost, Rodrigo Guimaraes, Tomas Havranek, Mark Joy, Karlo Kauko, Jakub Mateju, Nuno Monteiro, Benjamin Neudorfer, Tuomas A. Peltonen, Marek Rusnak, Paulo M.M. Rodrigues, Willem Schudel, Michael Sigmund, Hanno Stremmel, Katerina Smidkova, Ruben van Tilburg, Borek Vasicek and Diana Zigraiova
European Central Bank (ECB), Bank of Portugal - Department of Economics, Czech National Bank (CNB), De Nederlandsche Bank, European Central Bank (ECB), Banco de Portugal, London School of Economics & Political Science (LSE), European Central Bank (ECB), Bank for International Settlements (BIS) - Financial Stability Board (FSB), Bank of England, Czech National Bank (CNB), University of Glasgow - Department of Economics, Bank of Finland, Charles University in Prague - CERGE-EI, Bank of Portugal, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Czech National Bank (CNB), Banco de Portugal, European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), WHU - Otto Beisheim School of Management, Czech National Bank (Deceased), De Nederlandsche Bank, Czech National Bank (CNB) and Czech National Bank (CNB)
Downloads 274 (111,201)
Citation 15

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Early warning systems, financial crisis, Bayesian model averaging

3.

Can Bank-Specific Variables Predict Contagion Effects?

Quantitative Finance 17(12):1805-1832
Number of pages: 47 Posted: 10 Feb 2016 Last Revised: 24 Jun 2018
Christoph Siebenbrunner, Michael Sigmund and Stefan Kerbl
University of Oxford - Mathematical Institute, Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 156 (189,236)
Citation 1

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systemic risk, financial stability, financial contagion

4.

Bank Solvency and Funding Cost: New Data and New Results

Downloads 120 (233,122)

Bank Solvency and Funding Cost: New Data and New Results

Number of pages: 46 Posted: 27 Apr 2016 Last Revised: 17 May 2017
Stefan W. Schmitz, Michael Sigmund and Laura Valderrama
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and International Monetary Fund - Monetary and Capital Markets Department
Downloads 77 (315,427)

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Solvency, funding cost, stress testing

Bank Solvency and Funding Cost: New Data and New Results

IMF Working Paper No. 17/116
Number of pages: 47 Posted: 02 Jun 2017
Stefan W. Schmitz, Michael Sigmund and Laura Valderrama
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and International Monetary Fund - Monetary and Capital Markets Department
Downloads 43 (421,519)

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Solvency, funding cost, stress testing, General

5.

Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria

Oesterreichische Nationalbank Financial Stability Report, Vol. 25, June 2013
Number of pages: 16 Posted: 15 Jul 2013
Ulrich Gunter, Gerald Krenn and Michael Sigmund
MODUL University Vienna, Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 110 (248,370)

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net interest margin, balance sheet structure, panel estimation

6.

What Drives Aggregate Credit Risk?

Oesterreichische Nationalbank Financial Stability Report, Vol. 22, December 2011
Number of pages: 16 Posted: 10 May 2012
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 96 (272,363)

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credit risk, unobserved component models, state space, Kalman filter, stress testing

7.

Quantifying Cyclicality of Regulatory Capital - First Evidence from Austria

Oesterreichische Nationalbank Financial Stability Report, Vol. 18, December 2009
Number of pages: 11 Posted: 18 Dec 2009 Last Revised: 06 Feb 2010
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 78 (309,844)

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Basel accord, procyclicality, business cycles

8.

Contagiousness and Vulnerability in the Austrian Interbank Market

Oesterreichische Nationalbank Financial Stability Report, Vol. 24, December 2012
Number of pages: 17 Posted: 29 May 2014
Claus Puhr, Reinhardt Seliger and Michael Sigmund
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 77 (312,250)
Citation 3

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Interbank market, network indicators, contagion, panel analysis

9.

Negative Interest Rates: Forecasting Banks' Profitability in a New Environment

Number of pages: 21 Posted: 24 Aug 2017
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 76 (314,689)
Citation 3

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bank profitability, low interest rate environment, negative interest rate environment, net interest margin, panel econometrics, ARIMA models

10.

Determinants of Interbank Market Rates: Theories and Empirical Evidence

Number of pages: 41 Posted: 05 Dec 2017 Last Revised: 02 May 2019
Christoph Siebenbrunner and Michael Sigmund
University of Oxford - Mathematical Institute and Oesterreichische Nationalbank (OeNB)
Downloads 63 (348,311)

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interbank market; Bertrand oligopoly; Lehman crisis

11.

Quantifying Financial Stability in Austria – New Tools for Macroprudential Supervision

Oesterreichische Nationalbank Financial Stability Report, Vol. 26, December 2013
Number of pages: 20 Posted: 29 May 2014
Judith Eidenberger, Benjamin Neudorfer, Michael Sigmund and Ingrid Stein
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 62 (351,100)

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Financial crisis, government policy and regulation

12.

What Predicts Financial (In)Stability? A Bayesian Approach

Downloads 58 (362,851)

What Predicts Financial (In)Stability? A Bayesian Approach

Deutsche Bundesbank Discussion Paper 36/2014
Number of pages: 44 Posted: 15 Jan 2015
Judith Eidenberger, Benjamin Neudorfer, Michael Sigmund and Ingrid Stein
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 51 (391,665)

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Financial crisis, early warning indicators, government policy and regulation, financial

What Predicts Financial (In)Stability? A Bayesian Approach

Bundesbank Discussion Paper No. 36/2014
Number of pages: 40 Posted: 21 Jun 2016
Judith Eidenberger, Michael Sigmund, Benjamin Neudorfer and Ingrid Stein
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 7 (628,700)

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financial crisis, early warning indicators, government policy and regulation, financial stress index

13.

Detecting Financial Stability Vulnerabilities in Due Time: Can Simple Indicators Identify a Complex Issue?

Number of pages: 13 Posted: 22 Aug 2013
Benjamin Neudorfer, Michael Sigmund and Alexander Trachta
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 35 (445,189)

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bank performance, financial crisis, stress testing, early warning

14.

The Capital Buffer Calibration for Other Systemically Important Institutions – Is There Too Much Country Heterogeneity in the EU?

Number of pages: 34 Posted: 04 Aug 2018 Last Revised: 02 Mar 2019
Michael Sigmund
Oesterreichische Nationalbank (OeNB)
Downloads 25 (493,684)

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Systemic Risk, Financial Stability, Macro Prudential Policy, Other Systemically Important Institutions

15.

Comparing Market Power at Home And Abroad: Evidence from Austrian Banks And Their Subsidiaries in CESEE

Focus on European Economic Integration, Q3/2017, 59-77
Number of pages: 19 Posted: 02 Oct 2017
Martin Feldkircher and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 23 (504,878)

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Lerner Index, Banking Sector, Market Power, CESEE

16.

The Impact of Unconventional Monetary Policy on Major European Banks' Interest Spreads

Number of pages: 48 Posted: 01 Dec 2018
Michael Sigmund and Sophia Döme
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 17 (540,103)

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Monetary policy transmission, bank interest spreads, unconventional monetary policy, panel vector autoregression

17.

Reciprocity in Bank Regulatory Reforms and Income Inequality - First Evidence from a Panel Vector Autoregression Analysis

Empirical Economics (Forthcoming)
Number of pages: 38 Posted: 17 May 2019
Lea Steininger and Michael Sigmund
affiliation not provided to SSRN and Oesterreichische Nationalbank (OeNB)
Downloads 6 (608,904)

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income inequality, bank regulation, financial reform, panel vector autoregression

18.

How Do Macroeconomic and Bank‐Specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis

Economic Notes, Vol. 46, Issue 3, pp. 555-586, 2017
Number of pages: 31 Posted: 05 Oct 2017
Michael Sigmund, Ulrich Gunter and Gerald Krenn
Oesterreichische Nationalbank (OeNB), MODUL University Vienna and Oesterreichische Nationalbank (OeNB)
Downloads 0 (670,354)
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