Maximilian Boeck

I am an economist currently in a postdoctoral fellowship position at the Department of International Economics at the Vienna School of International Studies and I am also affiliated with the Vienna University of Economics and Business. My work focuses on empirical macroeconomics with a focus on belief formation. In particular, my research interests include monetary and fiscal policy, macro-labor, 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 maintainer of the open-source R package BGVAR.

In 2021, I completed my PhD studies at the Vienna University of Economics and Business. In my dissertation I focused on the impact of expectations on macroeconomic instabilities and developed a methodological framework for using expectational survey data in empirical models. Here is more information:
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Maximilian Boeck



BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R with Martin Feldkircher and Florian Huber.
Forthcoming at the Journal of Statistical Software.

[Working Paper]

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

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.

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.

Working Papers

Have International Effects of U.S. Monetary Policy Changed Over Time? with Lorenzo Mori, 2022.

[Working Paper]


We employ a time-varying parameter vector autoregression (TVP-VAR) to study whether and how international effects of U.S. monetary policy shocks have changed over time. Identification of U.S. shocks is obtained via high-frequency monetary instruments, which are incorporated as an exogenous variables in the VAR. Our results point toward a growing role of the U.S. central bank’s policy actions in driving global financial and real cycles, through an amplification of spillover effects via financial linkages. In the recent period of financial globalization, the negative effects of U.S. monetary policy tightenings on world output doubled. We also find a starker response of the global financial cycle over time, even though to a lesser extent.

Identification of Non-Rational Risk Shocks, 2022.

[Working Paper]


This paper studies how non-rational risk shocks affect the macroeconomy. Exploiting survey data on expectations of financial executives, belief distortions on financial markets identify a non-rational risk shock. Surprises in beliefs in credit spreads measure belief distortions, and are used as a proxy for exogenous variation in the risk premium. Belief distortions elicit overreaction of credit spreads, eventually leading to exaggerated beliefs on financial markets. Results indicate that the constructed shocks have statistically and economically meaningful effects. A positive non-rational risk shock moves credit spreads remarkably up, while real activity and the stock market decline.

Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility with Jesus Crespo Cuaresma and Christian Glocker, 2022.

[Working Paper]


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 Credit Market Sentiment Shocks with Thomas O. Zörner, 2019.
Revise & resubmit at the Journal of Money, Credit and Banking


This paper investigates the role of credit market sentiments and investor beliefs on credit cycle dynamics and their propagation to business cycle fluctuations. Using US data from 1968 to 2014, we find that credit market sentiments are indeed able to detect asymmetries in a small-scale macroeconomic model. By exploiting recent developments in behavioral finance on expectation formation in financial markets, an unexpected credit market news shock is identified which exhibits different impacts in an optimistic and pessimistic credit market environment. While an unexpected movement in the optimistic regime leads to a rather low to muted impact on output and credit, we find a significant negative impact on those variables in the pessimistic regime. Therefore, this paper departs from the current literature on the role of financial frictions for explaining business cycle behavior in macroeconomics and argues in line with recent theoretical contributions on the relevance of expectation formation mechanisms as a source of macroeconomic instability.

A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty with Martin Feldkircher and Burkhard Raunig, 2020.

[Working Paper]


Sovereign credit default swaps (CDS) provide protection against losses from sovereign defaults and are traded for almost all countries by the world’s largest financial institutions. The premium for protection, the so-called CDS spread, depends on a country’s economic health. The volatility of sovereign CDS spreads should therefore reflect uncertainty of global financial institutions regarding the economic and political conditions in a country and thus offer an “outside view” on economic uncertainty. Our empirical results suggest that the volatility of sovereign CDS spreads does contain information about economic uncertainty. For a broad panel of 16 countries we find that sovereign CDS volatility shares directional information with popular news-based economic policy uncertainty (EPU) indices. Using Bayesian panel VARs, we also find similar responses of output and unemployment to shocks in CDS volatility and EPU. Sovereign CDS volatility could therefore be used either as an additional indicator of uncertainty or as a general indicator of economic uncertainty when EPU indices are not available or other indicators are considered unreliable.


BGVAR: Bayesian Global Vector Autoregressions, Version 2.4.3 with Martin Feldkircher and Florian Huber, 2022.


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.

[Working Paper]

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

[Working Paper]


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), and the University of Vienna (univie), I have taught the following courses:

  • International Macroeconomics, Undergraduate Level (WU; WS 19, SS20, WS20)
  • Quantitative Data Analysis, Undergraduate Level (univie; WS19, WS20, WS21)
  • 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)


Department of International Economics
Vienna School of International Studies
Favoritenstrasse 15a, 1040 Vienna, Austria
Phone: +43 1 505 72 72 - 176

Department of Economics
Vienna University of Economics and Business
Welthandelsplatz 1, 1020 Vienna, Austria
Phone: +43 1 31366 - 6154