Details about Michael Sigmund

Access statistics for papers by Michael Sigmund.

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

Short-id: psi778

Working Papers

2022

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

2021

2. Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)
   Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) View citations (1)
3. Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities
   Occasional Paper Series, European Central Bank View citations (6)

2020

4. 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)

2017

5. Bank Solvency and Funding Cost: New Data and New Results
   IMF Working Papers, International Monetary Fund View citations (28)

2015

6. 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 View citations (31)

2014

7. What predicts financial (in)stability? A Bayesian approach
   Discussion Papers, Deutsche Bundesbank View citations (6)

Journal Articles

2022

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

2021

2. Assessing macro-prudential policies: the case of FX lending
   Journal of Economics and Finance, 2021, 45, (2), 316-359
3. Panel vector autoregression in R with the package panelvar
   The Quarterly Review of Economics and Finance, 2021, 80, (C), 693-720 View citations (11)

2020

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

2019

5. The interaction between bank solvency and funding costs: A crucial effect in stress tests
   Economic Notes, 2019, 48, (2) View citations (8)

2017

6. Can bank-specific variables predict contagion effects?
   Quantitative Finance, 2017, 17, (12), 1805-1832 View citations (9)
7. 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 View citations (3)
8. 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 View citations (6)

2016

9. From low to negative rates: an asymmetric dilemma
   Financial Stability Report, 2016, (32), 120-137 View citations (12)

2014

10. Macroprudential Supervision: A Key Lesson from the Financial Crisis
    Financial Stability Report, 2014, (27), 83-94 View citations (6)
11. Model uncertainty and aggregated default probabilities: new evidence from Austria
    Applied Economics, 2014, 46, (8), 871-879 View citations (2)
12. Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit
    Financial Stability Report, 2014, (27), 95-110 View citations (22)

2013

13. ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System
    Financial Stability Report, 2013, (26), 100-118 View citations (10)
14. Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria
    Financial Stability Report, 2013, (25), 87-101 View citations (11)
15. Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision
    Financial Stability Report, 2013, (26), 62-81 View citations (9)

2012

16. Contagiousness and Vulnerability in the Austrian Interbank Market
    Financial Stability Report, 2012, (24), 62-78 View citations (32)

2011

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

2009

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