Maximilian Boeck

I am a macroeconomist currently working as an assistant professor (non-tenure track) at Friedrich-Alexander-University Erlangen-Nuremberg. Last year, I was the Klaus-Liebscher Economic Research Fellow at the Oesterreichische Nationalbank. Previously, I was a postdoctoral researcher at Università Bocconi, held a postdoctoral fellowship position at the Department of International Economics at the Vienna School of International Studies, and was awarded the Erwin-Schrödinger Fellowship of the Austrian Science Fund. In 2021, I completed my PhD studies at the Vienna University of Economics and Business.

My research interests are in the field of empirical macroeconomics with a focus on monetary economics, imperfect information, international macroeconomics, time series analysis, and Bayesian analysis. I am also the developer and maintainer of the open-source R package BGVAR. I have a strong interest in macroeconometric tools to identify and examine the transmission of macroeconomic shocks. As part of my research fellowship at the Oesterreichische Nationalbank, I currently investigate the role of monetary policy in the recent inflation surge and its effectiveness towards commodity price shocks.

Together with Jonas Dovern, I am organizing a workshop on "Heterogenous Macro Expectations - New Evidence and Theory" at the Friedrich-Alexander-University Erlangen-Nuremberg on September 11-12, 2025. We will post the workshop program soon!

You can find my CV here. Here is more information: Google Scholar / ResearchGate / GitHub
Maximilian Boeck

Working Papers

Has Globalization Changed the International Transmission of U.S. Monetary Policy? (with Lorenzo Mori)
Revise & resubmit at the Journal of International Economics
Winner of the 2023 Young Economist Award of the Austrian Economic Association
Links: WP (NEW VERSION!) / Norges Bank WP / Faculti Interview

Abstract

We estimate a time-varying parameter vector autoregression to examine the evolution of international spillovers of U.S. monetary policy in light of increasing globalization in real and financial markets. We find that the actions taken by the Federal Reserve play a growing role in shaping global economic activity. The adverse international effects of a U.S. tightening have more than tripled over the past three decades, peaking during the Great Recession. Based on a cross-country analysis and counterfactual simulations, we argue that such amplification can primarily be attributed to the surge in trade integration, while the role of rising financial integration in explaining the time-variation is limited.

The Role of Labor Market Institutions in Shaping Euro Area Monetary Policy Transmission (with Christian Glocker)
Revise & resubmit at the Journal of Economic Dynamics and Control
Links: WP

Abstract

We examine the role of labor market institutions (union density, benefit replacement rates and employment protection legislation) in shaping the transmission mechanism of monetary policy. Our theoretical framework posits that elevated union density flattens the Phillips curve, thereby magnifying the effect onoutput while attenuating the impact of monetary policy shocks on inflation. This is empirically confirmed by means of an interacted panel VAR model estimated for euro area countries. Conversely, benefit replacement rates and employment protection legislation exhibit limited influence. Our findings identify a structural rather than a cyclical phenomenon for shaping monetary policy effectiveness. They underscore the importance of labor market characteristics in this context, particularly within a monetary union where heterogeneous labor markets can lead to inefficient inflation and output differentials.

Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility (with Jesus Crespo Cuaresma and Christian Glocker)
Revise & resubmit at the Journal of Applied Econometrics
Links: WP / CESifo WP

Abstract

We study empirically how various labor market institutions – (i) union density, (ii) unemployment benefit remuneration, and (iii) employment protection – shape fiscal multipliers and macroeconomic volatility. Our theoretical model highlights that more stringent labor market institutions attenuate both fiscal spending multipliers and macroeconomic volatility. This is validated empirically by an interacted panel vector autoregressive model estimated for 16 OECD countries. The strongest effects emanate from employment protection, followed by union density. While some labor market institutions mitigate the size or frequency of exogenous shocks, they, however, reinforce their propagation mechanism. The main policy implication is that stringent labor market institutions render cyclical fiscal policies less relevant for macroeconomic stabilization.

The Impact of Carry Trade Activity on the Transmission of Monetary Policy (with Alina Steshkova and Thomas Zörner)
Revise & resubmit at the Review of Asset Pricing Studies
Links: OeNB WP / WP

Abstract

This paper examines how carry trade activity affects the transmission of monetary policy in currency markets. It analyzes a set of developed and emerging market currencies against the U.S. dollar. The U.S. dollar appreciates in response to a conventional monetary policy shock but depreciates to a central bank information shock. A threshold vector autoregressive model is fitted to discriminate between different regimes of speculative carry trade activity. Higher carry trade intensity is associated with larger excess returns and higher crash risk. Across regimes, the differences in exchange rates are mild, while those in interest rates are more pronounced. A currency trading strategy created on the day of central bank announcements, which takes into consideration the joint co-movement of interest rates and stock prices, substantially outperforms the carry trade in terms of the Sharpe ratio and downside risk.

Belief Distortions in Risk Premia
Winner of the 2024 Young Economist Award of the Austrian Economic Association
Links: WP

Abstract

This paper studies belief distortions in risk premia and their reaction to financial shocks. Belief distortions are defined as ex-ante expectational errors between survey expectations and full-information rational expectations (FIRE) expectations of a machine efficient benchmark. Survey expectations of credit spreads deviate from FIRE and both under- and overreact to new information. The machine efficient benchmark exploits a high-dimensional real-time dataset with different machine learning estimators, predictively outperforming survey expectations at large. Belief distortions on financial markets identify periods of elevated optimism and pessimism on crash risk. I show that conditional on an adverse financial shock, belief distortions indicate that survey participants evaluate the future too optimistically before turning pessimistic.

Publications

Belief Shocks and Implications of Expectations about Growth-at-Risk (with Michael Pfarrhofer)
Journal of Applied Econometrics, Vol. 40(3), pp. 341-348, 2025. Links: doi / WP / replication code

Natural Gas Prices, Inflation Expectations, and the Pass-Through to Euro Area Inflation (with Thomas O. Zörner)
‍Energy Economics, Vol. 141: 108061, pp. 1-14, 2025. Links: doi / WP /voxEU / replication code

Predicting Tail-Risks for the Italian Economy (with Massimiliano Marcellino, Michael Pfarrhofer, and Tommaso Tornese)
‍Journal of Business Cycle Research, Vol. 20, pp. 339-366, 2024. Links: doi / WP

The Impact of Credit Market Sentiment Shocks (with Thomas O. Zörner)
‍Journal of Money, Credit and Banking, Vol. 56(7), pp. 1645-1673, 2024. Links: doi / WP / replication code

A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty (with Martin Feldkircher and Burkhard Raunig)
‍Macroeconomic Dynamics, Vol. 28(7), pp. 1423-1540, 2024. Links: doi / WP

BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R (with Martin Feldkircher and Florian Huber)
‍Journal of Statistical Software, Vol. 104(9), pp. 1-28, 2022. Links: doi / WP / R package

The Impact of Monetary Policy on Yield Curve Expectations (with Martin Feldkircher)
‍Journal of Economic Behavior & Organization, Vol 119, pp. 887-901, 2021. Links: doi / WP

International Effects of Euro Area Forward Guidance (with Martin Feldkircher and Pierre Siklos)
‍Oxford Bulletin of Economics and Statistics, Vol. 83(5), pp. 1066-1110, 2021. Links: doi / WP

The Heterogeneous Impact of Monetary Policy on the US Labor Market (with Gregor Zens and Thomas O. Zörner)
Journal of Economic Dynamics and Control, Vol. 119: 103989, 2020. Links: doi / WP‍

Software

BGVAR: Bayesian Global Vector Autoregressions (with Martin Feldkircher and Florian Huber)
Available on CRAN, Version 2.5.8. Links: CRAN / Vignette / GitHub

Abstract

Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 <doi:10.1002/jae.2504>. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available.

Old Papers

A Factor-Augmented Markov-Switching (FAMS) Model (with Gregor Zens)
arXiv:1904.13194, 2019. Link: WP

Implications of Macroeconomic Volatility in the Euro Area (with Niko Hauzenberger, Michael Pfarrhofer, Anna Stelzer and Gregor Zens)
arXiv:1801.02925, 2018. Link: WP

Teaching

I have taught several courses, both at Bachelor and Master level. I also have experience in the supervision of Bachelor and Master theses.
At the Vienna School of International Studies (DA), the Vienna University of Economics and Business (WU), the University of Vienna (univie), the Paris-Lodron University of Salzburg (PLUS), the Johannes-Kepler University Linz (JKU), Bocconi University (Bocconi), and the Friedrich-Alexander-University Erlangen-Nuremberg (FAU) I have taught the following courses:

  • Time Series Econometrics, Undergraduate Level (FAU: WS24)
  • Data Science: Data Analysis/Statistics, Undergraduate Level (FAU: WS24)
  • Econometrics, Undergraduate Level (Bocconi: WS24)
  • International Macroeconomics, Undergraduate Level (WU: WS 19, SS20, WS20; JKU: SS24)
  • Introduction to Quantitative Methods, Undergraduate Level (univie: WS19, WS20, WS21, WS22; DA: WS21, WS22; PLUS: WS22, WS23)
  • Multivariate Time Series Analysis, Master Level (FAU: SS25)
  • Bayesian Econometrics, Master Level (FAU: WS24)
  • Macroeconometrics, Master Level (WU: SS20, SS21, SS22)
  • Macroeconomic Models, Master Level (WU: WS19, WS20)

Contact

Chair of Statistics and Econometrics
Friedrich-Alexander Unviversity Erlangen-Nuremberg
Lange Gasse 20, 90403 Nuremberg, Germany.
Email: maximilian.boeck@fau.de