Author

Michael Sigmund

Observed names: Michael Sigmund,, Sigmund, Michael

Observed institutions: Vienna University of Economics and Business, University of Essex, National Bank of Austria, IBM (Germany), Institute for Social and Economic Research, Deutsche Bundesbank

ORCID: 0000-0003-1643-114X

Observed ORCID: 0000-0003-1643-114X

OpenAlex ID: A5091875291

Panel Vector Autoregression in R with the Package Panelvar

2017 · Michael Sigmund, Robert Ferstl · The Quarterly Review of Economics and Finance · 176

Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the Macro-Prudential Research Network

2015 · Lucia Alessi, Antonio Antunes, et al. · SSRN Electronic Journal · 46

Non-Bank Financial Intermediation in the Euro Area: Implications for Monetary Policy Transmission and Key Vulnerabilities

2021 · Lorenzo Cappiello, Federic Holm-Hadulla, et al. · SSRN Electronic Journal · 30

Contagiousness and Vulnerability in the Austrian Interbank Market

2012 · Claus Puhr, Reinhardt Seliger, et al. · RePEc: Research Papers in Economics · 21

Can bank-specific variables predict contagion effects?

2017 · Christoph Siebenbrunner, Michael Sigmund, et al. · Quantitative Finance · 20

Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria

2013 · Ulrich Gunter, Gerald Krenn, et al. · RePEc: Research Papers in Economics · 17

Do interbank markets price systemic risk?

2024 · Michael Sigmund, Christoph Siebenbrunner · Journal of Financial Stability · 15

The interaction between bank solvency and funding costs: A crucial effect in stress tests

2019 · Stefan W. Schmitz, Michael Sigmund, et al. · Economic Notes · 15

Bank Solvency and Funding Cost: New Data and New Results

2017 · Stefan Schmitz, Michael Sigmund, et al. · IMF Working Paper · 15

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How Do Macroeconomic and Bank‐specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis

2017 · Michael Sigmund, Ulrich Gunter, et al. · Economic Notes · 12

risk-bearing capacity of Households - linking Micro- level Data to the Macroprudential t oolkit

2014 · Nicolás Albacete, Judith Eidenberger, et al. · RePEc: Research Papers in Economics · 10

Negative Interest Rates: Forecasting Banks' Profitability in a New Environment

2017 · Stefan Kerbl, Michael Sigmund · SSRN Electronic Journal · 9

ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System

2013 · Martin Feldkircher, Gerhard Fenz, et al. · RePEc: Research Papers in Economics · 8

From low to negative rates: an asymmetric dilemma

2016 · Stefan Kerbl, Michael Sigmund · RePEc: Research Papers in Economics · 7

The capital buffer calibration for other systemically important institutions‐Is the country heterogeneity in the EU caused by regulatory capture?

2021 · Michael Sigmund · Scottish Journal of Political Economy · 6

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Panel Vector Autoregression in R with the Panelvar Package

2017 · Michael Sigmund, Robert Ferstl, et al. · SSRN Electronic Journal · 6

Model uncertainty and aggregated default probabilities: new evidence from Austria

2014 · Paul Hofmarcher, Stefan Kerbl, et al. · Applied Economics · 6

Assessing the solvency of virtual asset service providers: are current standards sufficient?

2024 · Pietro Saggese, Esther Segalla, et al. · Applied Economics · 5

Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?

2023 · Pietro Saggese, Esther Segalla, et al. · SSRN Electronic Journal · 5

Comparing Market Power at Home And Abroad: Evidence from Austrian Banks And Their Subsidiaries in CESEE

2017 · Martin Feldkircher, Michael Sigmund · RePEc: Research Papers in Economics · 5

What Predicts Financial (In)Stability? A Bayesian Approach

2016 · Judith Eidenberger, Michael Sigmund, et al. · SSRN Electronic Journal · 5

Direct Cross-Border Lending by Austrian Banks to Eastern Europe

2009 · Claus Puhr, Markus S. Schwaiger, et al. · RePEc: Research Papers in Economics · 5

The ECB Single Supervisory Mechanism: Effects on Bank Performance and Capital Requirements

2022 · Burkhard Raunig, Michael Sigmund · SSRN Electronic Journal · 4

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Macroprudential Supervision: A Key Lesson from the Financial Crisis

2014 · Judith Eidenberger, David Liebeg, et al. · RePEc: Research Papers in Economics · 4

Quantifying Financial Stability in Austria – New Tools for Macroprudential Supervision

2013 · Judith Eidenberger, Benjamin Neudorfer, et al. · RePEc: Research Papers in Economics · 4

Works count: 71

Citation count: 481

H-index: 10

I10-index: 11