Michael Sigmund

Research interests

• empirical banking
• industrial organization of banking
• panel econometrics

Selected publications

Siebenbrunner, C., Sigmund, M. (2023). Do interbank markets price systemic risk? Journal of Financial Stability. forthcoming.

Ferstl, R., Sigmund, M. (2021). Panel vector autoregression in R with the package panelvar. The Quarterly Review of Economics and Finance 80, pp. 693–720.

Siebenbrunner, C., Kerbl, S., Sigmund, M. (2017). Can bank-specific variables predict contagion effects? Quantitative Finance, 17(12), 1805–1832.