Maximilian Boeck

Welcome to my website! 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 is in empirical macroeconomics, with a focus on monetary and fiscal policy, international spillovers, and expectation formation. First, I analyze how incomplete information and belief formation shape business cycle dynamics and instabilities. Second, I study how macroeconomic stabilization policies operate and how their effects propagate through the economy. Methodologically, I use survey expectations, structural empirical approaches, and Bayesian time-series models, and I am the developer and maintainer of the open-source R package BGVAR.

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

Recent Research

Plucking the Phillips curve
with Alex Grimaud and Francesco Zanetti
Links: Work in progress!

Abstract

This paper studies the implications of labor market-driven asymmetries on the business cycle. We document that monetary policy generates large real effects in slack markets but more muted responses --- except for prices --- in tight markets. We develop and estimate, under full information, a nonlinear search-and-matching New Keynesian model with endogenous separations and adjustments along both extensive and intensive employment margins. The model generates plucking-type dynamics, including the positive skewness of unemployment, changes in unemployment, and inflation. The model reproduces the empirical evidence that the transmission of monetary policy shocks varies with labor market tightness through state dependent shifts in the steepness of the Phillips curve --- flatter in slack markets and steeper in tight ones. Consistent with these asymmetries, we show that the sacrifice ratio is highly state-dependent, with disinflation requiring substantially larger unemployment adjustments when the labor market is slack.

Dancing in the dark: sentiment shocks and economic activity
with Zeno Enders, Michael Kleemann, and Gernot J. Müller
Links: WP / CESifo WP 

Abstract

The business cycle is driven by expectations - some justified, some not - as documented by a host of studies. What is less clear are the conditions that make the economy susceptible “sentiment shocks.” In this paper, we document that uncertainty, as measured by forecaster disagreement, is essential. At times when disagreement is low, sentiment shocks hardly matter for economic activity but are fully absorbed by prices. If, instead, disagreement is high, they move activity with little impact on prices. We obtain these results based on time-series data and a theoretical account based on a New Keynesian model with dispersed information.

Labor market institutions, fiscal multipliers, and macroeconomic volatility
Revise & resubmit at the Journal of Applied Econometrics
with Jesus Crespo Cuaresma and Christian Glocker
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
Revise & resubmit at the Review of Asset Pricing Studies
with Alina Steshkova and Thomas O. Zörner
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

The role of labor market institutions in shaping euro area monetary policy transmission
‍Oxford Bulletin of Economics and Statistics, forthcoming
with Christian Glocker
Links: doi / WP

Has globalization changed the international transmission of U.S. monetary policy?
Journal of International Economics, Vol. 157: 104139, pp. 1-17, 2025
with Lorenzo Mori
Links: doi / WP / replication code

Belief shocks and implications of expectations about growth-at-risk
Journal of Applied Econometrics, Vol. 40(3), pp. 341-348, 2025
with Michael Pfarrhofer
Links: doi / WP / replication code

Natural gas prices, inflation expectations, and the pass-through to euro area inflation
‍Energy Economics, Vol. 141: 108061, pp. 1-14, 2025
with Thomas O. Zörner
Links: doi / WP /voxEU / replication code

Predicting tail-risks for the Italian economy
‍Journal of Business Cycle Research, Vol. 20, pp. 339-366, 2024
with Massimiliano Marcellino, Michael Pfarrhofer, and Tommaso Tornese
Links: doi / WP

The impact of credit market sentiment shocks
‍Journal of Money, Credit and Banking, Vol. 56(7), pp. 1645-1673, 2024
with Thomas O. Zörner
Links: doi / WP / replication code

A view from outside: Sovereign CDS volatility as an indicator of economic uncertainty
‍Macroeconomic Dynamics, Vol. 28(7), pp. 1423-1540, 2024
with Martin Feldkircher and Burkhard Raunig
Links: doi / WP

BGVAR: Bayesian global vector autoregressions with shrinkage priors in R
‍Journal of Statistical Software, Vol. 104(9), pp. 1-28, 2022
with Martin Feldkircher and Florian Huber
Links: doi / WP / R package

The impact of monetary policy on yield curve expectations
‍Journal of Economic Behavior & Organization, Vol 119, pp. 887-901, 2021
with Martin Feldkircher
Links: doi / WP

International effects of euro area forward guidance
‍Oxford Bulletin of Economics and Statistics, Vol. 83(5), pp. 1066-1110, 2021
with Martin Feldkircher and Pierre Siklos
Links: doi / WP

The heterogeneous impact of monetary policy on the US labor market
Journal of Economic Dynamics and Control, Vol. 119: 103989, pp. 1-22, 2020
with Gregor Zens and Thomas O. Zörner
Links: doi / WP‍

Software

BGVAR: Bayesian global vector autoregressions
Available on CRAN, Version 2.6.0
with Martin Feldkircher and Florian Huber
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, WS25)
  • 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, WS25)
  • 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