Maximilian Boeck

I am a macroeconomist currently working as a postdoctoral researcher at Università Bocconi. Previously, I held a postdoctoral fellowship position at the Department of International Economics at the Vienna School of International Studies. In 2021, I completed my PhD studies at the Vienna University of Economics and Business. My research focuses on empirical macroeconomics with a focus on belief formation. In particular, my research interests include monetary and fiscal policy, international macroeconomics, and macro-financial linkages. Currently, I am working on the development of Bayesian macroeconometric models to include possible non-linearities and on the use of survey data on expectations in macroeconomics. I am also 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

Publications

A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty, with Martin Feldkircher and Burkhard Raunig, forthcoming at Macroeconomic Dynamics, November 2023. Links: doi / WP

The Impact of Credit Market Sentiment Shocks, with Thomas O. Zörner, forthcoming at Journal of Money, Credit and Banking, November 2023. Links: doi / WP / replication code

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

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

International Effects of Euro Area Forward Guidance, with Martin Feldkircher and Pierre Siklos, Oxford Bulletin of Economics and Statistics, 2021, Vol. 83(5), pp. 1066-1110. 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, 2020, Vol. 119: 103989. Links: doi / WP

Working Papers

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

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.

Belief Distortions in Risk Premia, submitted, November 2023. 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.

Natural Gas Prices and Unnatural Propagation Effects: The Role of Inflation Expectations in the Euro Area, with Thomas Zörner, revise & resubmit at Energy Economics, October 2023. Links: WP /voxEU

Abstract

This paper investigates the recent increases in natural gas prices and their propagation effects via inflation expectations. Using a structural vector autoregression, we identify a euro area natural gas price shock with a combination of sign and zero restrictions. We rely on market-based measures of inflation expectations and find that natural gas price shocks have strong effects on both inflation and inflation expectations. To understand the relative importance of the pass-through from inflation expectations to inflation after a natural gas price shock, we conduct a counterfactual analysis in which we turn off the expectation channel. Our findings indicate the presence of strong second-round effects via expectations. Our analysis provides guidance for policymakers to better understand the potential trade-offs of different policy responses to natural gas price shocks, especially with respect to discussions about inflation deanchoring.

Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility, with Jesus Crespo Cuaresma and Christian Glocker, reject & resubmit at the Journal of Applied Econometrics, September 2023. 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, February 2023. Links: WP

Abstract

In this paper, we examine how carry trade activity affects the transmission of monetary policy in currency markets. We analyze a large set of currencies against the U.S. dollar. The U.S. dollar appreciates inresponse to a conventional monetary policy shock but depreciates to an information shock. Currencies typically involved in the carry trade tend to respond stronger to both shocks, while safe-haven currencies exhibit different adjustment dynamics. To infer these effects from the data, a threshold vector autoregressive model is fitted to discriminate between different regimes of carry trade activity. Finally, 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, outperforms strategies based on carry trade or on the dollar risk factor in terms of the Sharpe ratio and downside risk.

Software

BGVAR: Bayesian Global Vector Autoregressions, published on CRAN, version 2.5.5, with Martin Feldkircher and Florian Huber, December 2023. 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), and Bocconi University (Bocconi) I have taught the following courses:

  • International Macroeconomics, Undergraduate Level (WU; WS 19, SS20, WS20)
  • Quantitative Data Analysis, Undergraduate Level (univie; WS19, WS20, WS21, WS22)
  • Econometrics, Undergraduate Level (Bocconi; SS23)
  • Macroeconomic Models and Methods, Master Level (WU; WS19, WS20)
  • Macroeconometrics, Master Level (WU; SS21, SS22)
  • Advanced Macroeconometrics, Master Level (WU; SS20, SS21)
  • Introduction to Quantitative Methods in Economics, Master Level (DA; WS21, WS22)
  • Methods in Economics, Master Level (PLUS; WS22, WS23)

Contact

Department of Economics
Università commerciale Luigi Bocconi
Via Roentgen 1, 20136 Milano, Italy.
Email: maximilian.boeck@unibocconi.it