As of March 2019, I am Associate Professor of
Finance in the Business School of
Stockholm University.

Short Bio

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

I have held var­i­ous con­sult­ing ap­point­ments at the World Bank, the Eu­ro­pean Cen­tral Bank, as well as the pri­vate sec­tor. I earned my PhD in Eco­nomics from the Uni­versity of New South Wales in Syd­ney (Aus­tralia) un­der the su­per­vi­sion of Prof. Adrian Pagan.

My re­search ar­eas are fi­nan­cial eco­nomics, macro­eco­nomics, time-se­ries eco­no­met­rics, fore­­cast­ing, fi­nan­cial sta­bil­i­ty and bank­ing.

News

Research

Current Working Papers

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  1. Econometric issues with Laubach and Williams' estimates of the natural rate of interest. (coming soon). Show Ab­stract

  2. Forecast ranked tailored equity portfolios. (July 2019,  R&R) (with Cord Stern). (Online Appendix, 145KB). Show Ab­stract

Published Papers

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  1. (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). Show Abstract

  2. (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). Show Abstract

  3. (2017) Macroeconomic Factors and Equity Premium Predictability, (with Martin Tischhauser) International Review of Economics and Finance, 51(September), 621-644. (Data, 1.07MB). Show Abstract

  4. (2017) Measuring the Output Gap in Switzerland with Linear Opinion Pools, (with Oliver Müller) Economic Modelling, 64(August), 163-171. (Data, 100KB). Show Abstract

  5. (2016) The Term Structure of Interest Rates in an estimated New Keynesian Policy Model, (with Philipp Lentner) Journal of Macroeconomics, 50(December), 126-150. Show Abstract

  6. (2016) Global Equity Market Volatility Spillovers: A Broader Role for the United States, (with Katja Gisler) International Journal of Forecasting, 32(4), 1317–1339. Show Abstract

  7. (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). Show Abstract

  8. (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). Show Abstract

  9. (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. Show Abstract

  10. (2014) Equilibrium Credit: The Reference Point for Macroprudential Supervisors, (with Martin Melecky) Journal of Banking and Finance, 41(4), 135–154. (Addon Material, 249KB). Show Abstract

    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.

  11. (2013) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers, (with Martin Melecky) Journal of Financial Stability, 9(3), 347–370. Show Abstract

    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.

  12. (2012) Understanding forecast failure of ESTAR models of real exchange rates, Empirical Economics, 34(1), 399-426. (Data, 56KB). Show Abstract

  13. (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. Show Abstract

  14. (2008) An estimated New Keynesian Policy Model for Australia, (with Martin Melecky) The Economic Record, 84(264), 1-16. (Additional Notes, 259KB). Show Abstract

  15. (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. Show Abstract

  16. (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. Show Abstract

  17. (2002) Equity market price interdependence between Australia and the Asian Tigers, (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74. Show Abstract

Policy Papers and Book Reviews

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  1. (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.

  2. (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.

  3. (2016) “Superforecasting: The Art and Science of Prediction”, by Philip Tetlock and Dan Gardner invited book review. Risks, 4(3), 1-5.

Old Working Papers

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Teaching

Bayesian Econometrics (FS-2019)

Welcome to Bayesian Econometrics: Applications in Macroeconomics and Finance at Stockholm School of Economics. A detailed description of what will be covered in the course is provided in the Course Outline.

What's New

  • nothing at the moment

Lecture Notes

Access to the lecture notes is password protected. I will distribute the password in the first lecture.

Computing

  • scripts.zip contains all Matlab examples covered in the lectures
  • functs.zip contains extra functions that need to be added to your matlab path

Assignment

  • assignment instructions are here.

Other Material

Contact information

Mailing Address

Daniel Buncic, PhD
Associate Professor of Finance
Stockholm Business School
Stockholm University
SE 106 91, Sweden.
(Visiting Address: Kräftriket 7e).
Stockholm University webpage.

Email :   first.last@sbs.su.se
Web  :   www.danielbuncic.com

Profiles and Pages