Daniel Buncic

Daniel Buncic

Senior Economist

Financial Stability Department
Applied Research and Modelling Division
Sveriges Riksbank
SE-103 37 Stockholm, Sweden

E-mail Daniel.Buncic@riksbank.se

Financial economics, time series econometrics and forecasting, empirical macroeconomics, financial stability and banking

Short bio

Daniel Buncic joined the Financial Stability Department of the Sveriges Riksbank at the beginning of 2017. He holds a Ph.D. in Economics from the University of New South Wales, Sydney, Australia. Before joining the Sveriges Riksbank, Daniel was Assistant Professor of Quantitative Economics at the Institute of Mathematics and Statistics in the School of Economics and Political Science at the University of St.Gallen in Switzerland. Daniel has held various consulting appointments at the World Bank, the European Central Bank, as well as the private sector throughout his career.

Personal web page: danielbuncic.com


PhD in Economics, December 2007, University of New South Wales, Sydney, Australia.
Work in process and working papers
"Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models"

For an up-to-date list of current working papers, see: danielbuncic.com/research.html

Publications in refereed journals

(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.

(2017) "Macroeconomic Factors and Equity Premium Predictability", (with Martin Tischhauser). International Review of Economics and Finance, 51(September), 621-644.

(2017) "Measuring the Output Gap in Switzerland with Linear Opinion Pools", (with Oliver Müller). Economic Modelling, 64(August), 163-171.

(2016) "The Term Structure of Interest Rates in an estimated New Keynesian Policy Model", (with Philipp Lentner). Journal of Macroeconomics, 50(December), 126-150.

(2016) "Superforecasting: The Art and Science of Prediction, by Philip Tetlock and Dan Gardner", invited book review. Risks, 4(3),5.

(2016) "Global Equity Market Volatility Spillovers: A Broader Role for the United States", (with Katja Gisler). International Journal of Forecasting, 32(4), 1317-1339.

(2016) "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability", (with Gion Donat Piras). Journal of International Money and Finance, 60(February), 313-359.

(2015) "Forecasting Copper Prices with Dynamic Averaging and Selection Models", (with Carlo Moretto), North American Journal of Economics and Finance, 33(1), 1-38.

(2015) "Measuring Fund Style, Performance and Activity: A New Style Profiling Approach", (with Robert Hill and Jon Eggins), Accounting and Finance, 55(1), 29-55.

(2014) "Equilibrium Credit: The Reference Point for Macroprudential Supervisors", (with Martin Melecky). Journal of Banking and Finance, 41(4), 135-154.

(2013) "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers", (with Martin Melecky), Journal of Financial Stability, 9(3), 347-370.

(2012) "Understanding forecast failure of ESTAR models of real exchange rates", Empirical Economics, 34(1), 399-426.

(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.

(2008) "An estimated New Keynesian Policy Model for Australia", (with Martin Melecky), The Economic Record, 84(264), 1-16.

(2006) "Bootstrap causality tests of the relationship between the equity markets of the U.S. and other developed countries: Pre- and post-September 11", (with Eduardo Roca and Abdulnasser Hatemi-J), Journal of Applied Business Research, 22(3), 65-74.

(2005) "The extent and stability of long-run relationships between stock prices: Evidence from the U.S., the U.K. and Australia", (with Eduardo Roca), Investment Management and Financial Innovations, 2(4), 80-94.

(2002) "Equity market price interdependence between Australia and the Asian Tigers", (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74.

Policy publications

"Appendix D - Structural Estimates of the Probability of a Banking Crisis at Different Levels of Capital " in: "Appropriate capital ratios in major Swedish banks – new perspectives", Staff Memo, May 2017, Sveriges Riksbank.


Journal of Applied Econometrics; Journal of Business and Economic Statistics; European Economic Review; Journal of Money, Credit, and Banking; International Journal of Forecasting; Studies in Nonlinear Dynamics and Econometrics; The Economic Record; Journal of Macroeconomics; Economics Letters; Empirical Economics; Economic Modelling; Journal of International Money and Finance; Oxford Economic Papers; Journal of Banking and Finance; International Economic Journal; Journal of Media Economics; International Review of Economics and Finance; Australian Economic Review; Journal of Common Market Studies; Emerging Markets Finance and Trade; North American Journal of Economics and Finance; Journal of Comparative Economics; Econometrics and Statistics; Journal of Asian Economics; IECON14; Quarterly Journal of Finance; Economic Systems.

Recent Teaching (University of St. Gallen)

Time Series Econometrics (Master's level course),
Bayesian Econometrics: Applications in Economics and Finance (PhD & Master's level course),
Linear Time Series Analysis (3rd year Bachelor level course),
Further Topics in Regression (3rd year Bachelor level course).