Professor of Finance
Stockholm Business School
Stockholm University

Short Bio

I am Professor of Finance in the Busi­ness School of Stock­holm Uni­ver­si­ty. Be­­fore join­ing Stock­holm Uni­ver­si­ty in March 2019, I was a re­search economist in the Fi­nan­cial Sta­bil­i­ty De­part­ment of Sveriges 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 consulting ap­point­ments at the World Bank, the Eu­ro­pean Central Bank, as well as the private sector during my academic career. I earned my Ph.D. in Eco­nomics from the Uni­ver­si­ty of New South Wales in Sydney (Australia) under the su­per­vi­sion of Prof. Adrian Pagan.

  • Financial economics
  • Econometrics | Forecasting
  • Financial stability
  • Macroeconomics

News (since 2021)

Research [Full List of Papers]

Working Papers [Hide List]

  • Discovering Stars: Problems in Recovering Latent Variables from Models (with Adrian Pagan), CAMA Working Paper Series No. 52/2022, (September 2022). Show Abstract

  • On a Standard Method for Measuring the Natural Rate of Interest (April 2022). Show Ab­stract

    Data/Replication Files:
    Correct HLW Factors (0.54MB)
    Replication Repo on GitHub

  • Econometric issues with Laubach and Williams' estimates of the natural rate of interest (November 2021). Link to Riksbank working paper. Slides. Show Ab­stract

    SED2021 - Minneapolis, July 1
    IAAE2021 - Rotterdam, June 25
    • Banca d’Italia - June 9
    • NIER/KI - May 18
    • Banque de France - April 20
    • Norges Bank - February 18
    • Deutsche Bundesbank - January 25
    • ECB - September 25
    • Riks­bank - September 17
    • Stockholm University - September 7
    EEA2020 - Rotterdam, August 24-27
    MAF2020 - Geneva, April 15-17
    SNDE2020 - Zagreb, March 25-27

Selected Papers [Hide List]

  • (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

  • (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

  • (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

  • (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

  • (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

  • (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

  • (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.

  • (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.

  • (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

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

Teaching [ Teaching Page]

I am committed to teach­ing. Good teach­ing at­tracts good stu­dents, leads to bet­ter re­search out­comes, which in turn at­tracts enthusiastic fac­ul­ty. With­out good teach­ing, there won't be any (good) stu­dents.

From Septem­ber 2019 to July 2022 I was the Di­rec­tor of the Mas­ter’s in Bank­ing and Fi­nance Pro­gram. I currently teach two Econometrics cours­es in the Masters's Program: Time Series Econometrics and Econometrics, as well as one Bachelor level Finance course: Finance I: An Introduction.

Bayesian Econometrics (FS-2022)

I will again teach the Bayesian Econo­met­rics course at Stock­holm School of Eco­nomics in the Fall semester of 2022. For de­tails about the course, see the Course Page.

Contact Information

Mailing Address

Daniel Buncic, PhD
Professor of Finance
Stockholm Business School
Stockholm University
SE 106 91, Sweden.
(Visiting Address: Albanovägen 18
Room Number: A2535).
Stockholm University webpage.