Michael Sigmund

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

SCHOLARLY PAPERS

19

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4,904

SSRN CITATIONS
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Top 21,825

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17

CROSSREF CITATIONS

23

Scholarly Papers (19)

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 3,386 (3,325)
Citation 9

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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
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, 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 309 (106,422)
Citation 21

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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 163 (197,689)
Citation 2

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systemic risk, financial stability, financial contagion

4.

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 159 (201,887)
Citation 7

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

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 139 (225,443)

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net interest margin, balance sheet structure, panel estimation

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 86 (318,463)

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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 45 (446,120)

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Solvency, funding cost, stress testing, General

7.

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 98 (290,706)

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

What Predicts Financial (In)Stability? A Bayesian Approach

Deutsche Bundesbank Discussion Paper 36/2014
Number of pages: 44 Posted: 15 Jan 2015
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 58 (397,409)

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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
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 23 (561,682)

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

9.

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 81 (327,417)

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Basel accord, procyclicality, business cycles

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 80 (329,819)

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Interbank Market, Bertrand Oligopoly, Lehman Crisis

11.

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 80 (329,819)
Citation 3

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Interbank market, network indicators, contagion, panel analysis

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
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and Deutsche Bundesbank
Downloads 66 (367,091)

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Financial crisis, government policy and regulation

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 38 (466,644)

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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 35 (480,024)

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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 25 (532,221)

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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 24 (538,327)

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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 9 (636,096)

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

18.

The Interaction between Bank Solvency and Funding Costs: A Crucial Effect in Stress Tests

Economic Notes, Vol. 48, Issue 2, pp. n/a-n/a, 2019
Number of pages: 31 Posted: 14 May 2020
Stefan W. Schmitz, Michael Sigmund and Laura Valderrama
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB) and International Monetary Fund - Monetary and Capital Markets Department
Downloads 0 (720,567)
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19.

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)
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