Michael Sigmund


  • Industrial organization of banking
  • Panel Econometrics
  • General methods of moments estimators
  • Modelling credit risk

Ausgewählte Publikationen

Hofmarcher, P., Kerbl, S., Gruen, B., Sigmund, M., & Hornik, K. (2014). Model uncertainty and aggregated default probabilities: new evidence from Austria. Applied Economics, 46(8), 871–879.

Schmitz, S. W., Sigmund, M., & Valderrama, L. (2017). Bank solvency and funding cost: New data and new results. IMF Working Paper, No. 17/116.

Siebenbrunner, C., Sigmund, M., & Kerbl, S. (2017). Can bank-specific variables predict contagion effects? Quantitative Finance, forthcoming.

Sigmund, M. & Stein, I. (2017). What predicts financial (in)stability? a bayesian approach. Credit and Capital Markets, 3, 299–336.

Sigmund, M., Gunter, U., & Krenn, G. (2017). How do macroeconomic and bank-specific variables influence profitability in the Austrian banking sector? evidence from a panel vector autoregression analysis. Economic Notes, forthcoming.

Sigmund, M., Ferstl, R., & Unterkofler, D. (2016). Panel Vector Autoregression in R: The Panelvar Package. Working paper.