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 & Macro Economics
  • Econometrics & Forecasting
  • Central Banking

News (since 2023)

Research [Full List of Papers]

Work in Progress

  • Recovering Stars
  • Real Drivers of Natural Rate \(r_t^\ast\)
  • Complexity in Return Prediction

Working Papers [Hide List]

  • On a Standard Method for Measuring the Natural Rate of Interest (July 2023). 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. Good teach­ing at­tracts good 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 Masters's Program: Econo­met­rics and Time Series Econo­met­rics, as well as one Bachelor level course: Finance I: An Introduction.

Bayesian Econometrics at SSE

I taught Bayesian Econo­met­rics at Stock­holm School of Eco­nomics from 2018 to 2022. Due to research obli­ga­tions, I no longer give this course.

Contact Information

Mailing Address

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