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Details about Michael Sigmund

Workplace:Oesterreichische Nationalbank (National Bank of Austria), (more information at EDIRC)

Access statistics for papers by Michael Sigmund.

Last updated 2022-11-25. Update your information in the RePEc Author Service.

Short-id: psi778

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Working Papers


  1. The ECB Single Supervisory Mechanism: Effects on Bank Performance and Capital Requirements (Burkhard Raunig, Michael Sigmund)
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) Downloads


  1. Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) Downloads
  2. Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities
    Occasional Paper Series, European Central Bank Downloads View citations (2)


  1. The Capital Buffer Calibration for Other Systemically Important Institutions – Is the Country Heterogeneity in the EU caused by Regulatory Capture? (Michael Sigmund)
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) Downloads


  1. Bank Solvency and Funding Cost: New Data and New Results
    IMF Working Papers, International Monetary Fund Downloads View citations (22)


  1. Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network
    MPRA Paper, University Library of Munich, Germany Downloads View citations (28)


  1. What predicts financial (in)stability? A Bayesian approach
    Discussion Papers, Deutsche Bundesbank Downloads View citations (4)
    See also Journal Article in Credit and Capital Markets (2017)

Journal Articles


  1. The capital buffer calibration for other systemically important institutions‐Is the country heterogeneity in the EU caused by regulatory capture?
    Scottish Journal of Political Economy, 2022, 69, (5), 533-563 Downloads


  1. Assessing macro-prudential policies: the case of FX lending
    Journal of Economics and Finance, 2021, 45, (2), 316-359 Downloads
  2. Panel vector autoregression in R with the package panelvar
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 693-720 Downloads View citations (5)


  1. Reciprocity in bank regulatory reforms and income inequality: first evidence from a panel vector autoregression analysis
    Empirical Economics, 2020, 59, (4), 1537-1572 Downloads


  1. The interaction between bank solvency and funding costs: A crucial effect in stress tests
    Economic Notes, 2019, 48, (2) Downloads View citations (4)


  1. Can bank-specific variables predict contagion effects?
    Quantitative Finance, 2017, 17, (12), 1805-1832 Downloads View citations (6)
  2. Comparing market power at home and abroad: evidence from Austrian banks and their subsidiaries in CESEE
    Focus on European Economic Integration, 2017, (Q3/17), 59-77 Downloads View citations (1)
  3. How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis
    Economic Notes, 2017, 46, (3), 555-586 Downloads View citations (5)
  4. What predicts Financial (In)Stability? A Bayesian Approach
    Credit and Capital Markets, 2017, 50, (3), 299-336
    See also Working Paper (2014)


  1. From low to negative rates: an asymmetric dilemma
    Financial Stability Report, 2016, (32), 120-137 Downloads View citations (9)


  1. Macroprudential Supervision: A Key Lesson from the Financial Crisis
    Financial Stability Report, 2014, (27), 83-94 Downloads View citations (5)
  2. Model uncertainty and aggregated default probabilities: new evidence from Austria
    Applied Economics, 2014, 46, (8), 871-879 Downloads View citations (2)
  3. Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit
    Financial Stability Report, 2014, (27), 95-110 Downloads View citations (21)


  1. ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System
    Financial Stability Report, 2013, (26), 100-118 Downloads View citations (10)
  2. Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria
    Financial Stability Report, 2013, (25), 87-101 Downloads View citations (10)
  3. Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision
    Financial Stability Report, 2013, (26), 62-81 Downloads View citations (9)


  1. Contagiousness and Vulnerability in the Austrian Interbank Market
    Financial Stability Report, 2012, (24), 62-78 Downloads View citations (30)


  1. Detecting Financial Stability Vulnerabilities in Due Time: Can Simple Indicators Identify a Complex Issue?
    Financial Stability Report, 2011, (22), 59-71 Downloads View citations (1)
  2. What Drives Aggregate Credit Risk?
    Financial Stability Report, 2011, (22), 72-87 Downloads View citations (3)


  1. Direct Cross-Border Lending by Austrian Banks to Eastern Europe
    Financial Stability Report, 2009, (17), 102-122 Downloads View citations (5)
  2. Quantifying the Cyclicality of Regulatory Capital – First Evidence from Austria
    Financial Stability Report, 2009, (18), 93-103 Downloads View citations (2)
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