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 grad­u­at­ed with a Ph.D. in Eco­nomics from the Uni­ver­si­ty of New South Wales in Sydney (Aus­tralia) un­der the su­per­vi­sion of Prof. Adrian Pagan.

Interests
  • Finance
  • Econometrics & Statistics
  • Macroeconomics

News (since 2024)

Research [Full List of Papers]

Working Papers [Hide List]

  • Simplified: A Closer Look at the Virtue of Complexity in Return Prediction, (April 2025). Slides. Show Abstract

  • Recovering Stars in Macroeconomics (with Adrian Pagan and Tim Robinson), CAMA Working Paper Series No. 43/2023, (updated, May 2024). Slides (2pp). Replication Repo on GitHub. Show Abstract

  • On a Standard Method for Measuring the Natural Rate of Interest (updated, May 2024). Slides. Show Ab­stract

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

Selected Papers [Hide List]

  • (2024) Econometric Issues in the es­ti­ma­tion of the Natural Rate of Interest, Economic Mod­elling, 132(March), 106641. Show Abstract

  • (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

  • (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

  • (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. Ex­cel­lence in teach­ing at­tracts ex­cep­tion­al stu­dents, leads to bet­ter re­search out­comes, which in turn at­tracts en­thu­si­as­tic fac­ul­ty.

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

Previous at SSE

I taught Bayesian Econo­met­rics in the Mas­ter pro­gram in Eco­nomics at Stock­holm School of Eco­nomics from 2018 to 2022.

Contact Information

Mailing Address

Daniel Buncic, PhD
Professor of Finance
Stockholm Business School
Stockholm University
SE 106 91, Sweden.
Visiting Address: Albanovägen 18,
House 2 [Level 5, Room: A2522]
.
(Stockholm University webpage).

E-mail: first.last@sbs.su.se
web: www.danielbuncic.com