Michael Sigmund

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

  • Oesterreichische Nationalbank (OeNB)

SCHOLARLY PAPERS

24

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53

CROSSREF CITATIONS

19

Scholarly Papers (24)

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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 6,497 (2,272)
Citation 26

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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, 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, Diana Zigraiova 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)Bank of England, European Central Bank (ECB), Bank for International Settlements, Bank of England, Charles University in Prague, 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 Charles University in PragueEuropean Stability Mechanism
Downloads 486 (113,565)
Citation 28

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Early warning systems, financial crisis, Bayesian model averaging

3.

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 436 (129,186)
Citation 6

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

4.

Non-Bank Financial Intermediation in the Euro Area: Implications for Monetary Policy Transmission and Key Vulnerabilities

ECB Occasional Paper No. 2021/270
Number of pages: 86 Posted: 23 Sep 2021 Last Revised: 19 Jan 2022
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, Olivier Pierrard, Lev Ratnovski, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini and Barra McCarthy
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, Banque de France, Athens University of Economics and Business - Department of Accounting and Finance, European Central Bank (ECB), Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), Bank of Finland, European Central Bank (ECB), Banque Centrale du Luxembourg, International Monetary FundEuropean Central Bank, Financial Research Division, Bank of Finland - Research, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank, European Central Bank (ECB), Banco de España, Bank of Finland, Bank of Italy, Banque de France, Banque de France, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), Bank of Italy and Central Bank of Ireland
Downloads 324 (181,517)
Citation 5

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Asset purchases, Financial markets stress, Low interest rates, Monetary policy transmission, Non-bank intermediation, Risk-taking

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 315 (185,106)
Citation 1

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net interest margin, balance sheet structure, panel estimation

6.

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 198 (292,383)
Citation 2

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systemic risk, financial stability, financial contagion

7.

Bank Solvency and Funding Cost: New Data and New Results

Downloads 186 (309,414)
Citation 2

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 (IMF) - Western Hemisphere Department
Downloads 122 (439,547)

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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 (IMF) - Western Hemisphere Department
Downloads 64 (668,056)

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Solvency, funding cost, stress testing, General

8.

What Predicts Financial (In)Stability? A Bayesian Approach

Downloads 173 (330,099)
Citation 1

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 101 (506,529)
Citation 1

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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 72 (626,469)
Citation 1

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

9.

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 149 (374,532)
Citation 8

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Interbank market, network indicators, contagion, panel analysis

10.

Simultaneity of Interbank Market Rates – Theory and Methodological Implications

Number of pages: 37 Posted: 05 Dec 2017 Last Revised: 07 Oct 2019
Christoph Siebenbrunner and Michael Sigmund
University of Oxford - Mathematical Institute and Oesterreichische Nationalbank (OeNB)
Downloads 142 (389,080)

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Interbank Market, Bertrand Oligopoly, Lehman Crisis

11.

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 134 (407,189)

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

12.

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 110 (472,813)

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Financial crisis, government policy and regulation

13.

The ECB Single Supervisory Mechanism: Effects on Bank Performance and Capital Requirements

Oesterreichische Nationalbank Working Paper 244
Number of pages: 56 Posted: 04 Dec 2022 Last Revised: 11 Dec 2023
Burkhard Raunig and Michael Sigmund
Austrian National Bank - Economic Studies Division and Oesterreichische Nationalbank (OeNB)
Downloads 109 (475,917)
Citation 1

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ECB Single Supervisory Mechanism; bank profitability; capital requirements; risk-weighted assets

14.

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 107 (482,264)

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Basel accord, procyclicality, business cycles

15.

The Capital Buffer Calibration for Other Systemically Important Institutions - Is the Country Heterogeneity in the EU caused by Regulatory Capture?

Oesterreichische Nationalbank. Working Paper Series 232
Number of pages: 48 Posted: 04 Aug 2018 Last Revised: 20 Jan 2022
Michael Sigmund
Oesterreichische Nationalbank (OeNB)
Downloads 84 (565,053)

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

16.

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 69 (631,070)

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bank performance, financial crisis, stress testing, early warning

17.

What Factors Truly Drive the Countercyclical Capital Buffer Rates in Europe?

Number of pages: 38 Posted: 19 Jan 2024
Michael Sigmund and Sophia Döme
Oesterreichische Nationalbank (OeNB) and affiliation not provided to SSRN
Downloads 55 (705,081)

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Countercyclical capital buffer, Macroprudential policies, Financial cycles

18.

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 54 (710,961)

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

19.

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
Vienna School of International Studies and Oesterreichische Nationalbank (OeNB)
Downloads 50 (735,489)
Citation 1

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Lerner Index, Banking Sector, Market Power, CESEE

20.

Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?

Number of pages: 25 Posted: 27 Oct 2023
Pietro Saggese, Esther Segalla, Michael Sigmund, Burkhard Raunig, Felix Zangerl and Bernhard Haslhofer
AIT Austrian Institute of Technology GmbH, Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Austrian National Bank - Economic Studies Division, Austrian Financial Market Authority and Complexity Science Hub Vienna
Downloads 47 (754,596)
Citation 1

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Blockchain, Proof of Solvency, Virtual Asset, Cryptoasset, VASP, Accounting, Auditing, Regulation

21.

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
Vienna University of Economics and Business and Oesterreichische Nationalbank (OeNB)
Downloads 39 (811,166)

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

22.

Do Interbank Markets Price Systemic Risk?

Number of pages: 40 Posted: 30 Nov 2023
Michael Sigmund and Christoph Siebenbrunner
Oesterreichische Nationalbank (OeNB) and affiliation not provided to SSRN
Downloads 35 (842,368)
Citation 1

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interbank market, counterparty risk, systemic risk.

23.

Watching Over 21,000 Billion Euros: Does the ECB Single Supervisory Mechanism Affect Bank Competition in the Euro Area?

Number of pages: 42 Posted: 12 Dec 2023
Michael Sigmund and Burkhard Raunig
Oesterreichische Nationalbank (OeNB) and Austrian National Bank - Economic Studies Division
Downloads 27 (912,194)

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ECB Single Supervisory Mechanism, Banking supervision, Competition, Lerner index, Persistence of profits

24.

Restoring Confidence in Systemically Important Banks: Ecb Supervision and Bank Performance

Number of pages: 40 Posted: 16 Jul 2024
Burkhard Raunig and Michael Sigmund
Austrian National Bank - Economic Studies Division and Oesterreichische Nationalbank (OeNB)
Downloads 24 (940,781)

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ECB, Banking supervision, Bank profitability, single supervisory mechanism, risk-weighted assets