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Daniel Buncic
Former Member
Title
Prof. Dr.
Last Name
Buncic
First name
Daniel
Phone
+41 71 224 2604
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1 - 10 of 12
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PublicationMeasuring Fund Style, Performance and Activity: A New Style Profiling ApproachWe construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a measure of fund style and the distance between a fund and its benchmark is a measure of fund activity. Our approach has a number of advantages over existing characteristic-matching methods. We illustrate our approach using a data set of US institutional funds.
Scopus© Citations 3 -
PublicationForecasting Copper Prices with Dynamic Averaging and Selection ModelsWe use data from the London Metal Exchange (LME) to forecast monthly copper returns using the recently proposed dynamic model averaging and selection (DMA/DMS) framework, which incorporates time varying parameters as well as model averaging and selection into one unifying framework. Using a total of 18 predictor variables that include traditional fundamental indicators such as excess demand, inventories and the convenience yield, as well as indicators related to global risk appetite, momentum, the term spread, and various other financial series, we show that there exists a considerable predictive component in copper returns. Covering an out-of-sample period from May 2002 to June 2014 and employing standard statistical evaluation criteria we show that the out-of-sample R2 (relative to a random walk benchmark) can be as high as 18.5 percent for the DMA framework. Time series plots of the cumulative mean squared forecast errors and time varying coefficients show further that firstly, a large part of the improvement in the forecasts is realised during the peak of the financial crisis period at the end of 2008, and secondly that the importance of the most relevant predictor variables has changed substantially over the out-of-sample period. The coefficients of the SP500, the VIX, the yield spread, the TED spread, industrial production and the convenience yield predictors are most heavily affected, with the TED spread and yield spread coefficients even changing signs over this period. Our predictability results remain valid for forecast horizons up to 6 months ahead, but are weaker and smaller than at the one month horizon.Type: journal articleJournal: North American Journal of Economics and FinanceVolume: 33Issue: -
Scopus© Citations 57 -
PublicationEquilibrium Credit: The Reference Point for Macroprudential SupervisorsEquilibrium credit is an important concept because it helps to identify excessive credit provision in an economy. This paper proposes a structural approach to determine equilibrium credit which is based on the long-run through-the-cycle transaction demand for credit. Using a panel data set consisting of 49 high and middle-income countries from 1980 to 2010, we show that there exists considerable variation in the cross-country estimates of the income and price elasticities of credit and that the unit elasticity restriction implicitly imposed by the credit-to-GDP ratio is strongly rejected by the data. This suggests that the credit-to-GDP ratio is not appropriate to measure equilibrium credit. We show further that the cross-sectional variation in the income and price elasticities of credit can be related to a set of relevant economic, financial and institutional development indicators of a country. The main determinants that explain the cross-sectional variation in the income and price elasticities are financial depth, access to financial services, use of capital markets, efficiency and funding of domestic banks, central bank independence, the degree of supervisory integration, and the experience of a financial crisis. As an empirical illustration, we compute equilibrium credit and credit gaps for eleven new EU member states using our structural framework and compare it to credit gaps based on the Basel III approach.Type: journal articleJournal: Journal of Banking and FinanceVolume: 41Issue: 4
Scopus© Citations 11 -
PublicationMacroprudential Stress Testing of Credit Risk: A Practical Approach for Policy MakersDrawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged borrowers; (iii) varying underwriting practices across banks and their asset classes based on their relative aggressiveness of lending; (iv) higher correlations between the probability of default and the loss given default during stress periods; (v) a negative effect of lending concentration and residual loan maturity on unexpected losses; and (vi) the use of an economic risk weighted capital adequacy ratio as the relevant outcome indicator to measure the resilience of banks to materializing credit risk. The authors apply the proposed approach to a set of Eastern European banks and discuss the results.Type: journal articleJournal: Journal of Financial StabilityVolume: 9Issue: 3
Scopus© Citations 36 -
PublicationUnderstanding forecast failure of ESTAR models of real exchange ratesThe forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22 steps head. The study finds that no forecast gains over a simple AR(1) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are utilised in the evaluation. Non-parametric methods are used in conjunction with simulation techniques to learn about the models and their forecasts. It is shown graphically that the nonlinearity in the conditional means (or point forecasts) of the ESTAR model decreases as the forecast horizon increases. The non-parametric methods show also that the multiple steps ahead forecast densities are normal looking with no signs of bi-modality, skewness or kurtosis.Type: journal articleJournal: Empirical EconomicsVolume: 43Issue: 1
Scopus© Citations 4 -
PublicationThe impact of ECB monetary policy decisions and communication on the yield curveWe use intraday changes in money market rates to construct indicators of news about monetary policy stemming separately from policy decisions and from official communication of the European Central Bank, and study their impact on the yield curve. We show that communication may lead to substantial revisions in expectations of monetary policy and, at the same time, exert a significant impact on interest rates at longer maturities. Thereby, the maturity response pattern to communication is hump-shaped, whereas that to policy decisions is downward-sloping.Type: journal articleJournal: Journal of the European Economic AssociationVolume: 8Issue: 6
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PublicationAn estimated New Keynesian Policy Model for AustraliaAn open economy New Keynesian policy model for Australia is estimated in this study. We investigate how important external shocks are as a source of macroeconomic fluctuations when compared to domestic ones. The results of our analysis suggest that the Australian business cycle and domestic inflation are most affected by domestic demand and supply shocks, respectively. However, domestic output also appears to be strongly affected by foreign demand shocks and domestic inflation by exchange rate shocks. Domestic variables do not seem to be significantly affected by foreign supply and monetary policy shocks.Type: journal articleJournal: The Economic RecordVolume: 84Issue: 264
Scopus© Citations 24 -
PublicationType: journal articleJournal: Journal of Applied Business ResearchVolume: 22Issue: 3
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PublicationThe extent and stability of long-run relationship between stock prices: Evidence from the U.S., the U.K. and AustraliaUsing end-of-day closing prices for the US Dow Jones Industrial Average 30, the UK FTSE 100 and the Australian All Ordinaries Index between 1984 and 2001, the authors examine whether a long-run relationship is stable over time. Whilst the Australian index is found to move independently of the other indices, the relationship between the UK and US markets was robust between 1984 and 1993 with the exception of the period immediately subsequent to the October 1987 stock market crash. However, this relationship was interrupted by the 1993-94 US bond market collapse, and the evidence suggests that it has failed to re-establish itself.Type: journal articleJournal: Investment Management and Financial InnovationsVolume: 2Issue: 4
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PublicationEquity market price interdependence between Australia and the Asian TigersThe study investigates the extent and structure of long-term and short-term price interaction between the equity markets of Australia and the Asian Tigers - Hong Kong, Korea, Singapore and Taiwan, taking into account the Asian financial crisis. It applies cointegration and generalised variance decomposition and impulse response analyses using MSCI price index data. No significant long-term relationship between Australia and the Asian Tigers is found both before and after the Asian crisis. No significant short-term relationship is also found during the period before the crisis. However, after the crisis, the study finds Australia to be significantly interdependent with Hong Kong and Singapore.Type: journal articleJournal: International Journal of Business StudiesVolume: 10Issue: 2