"Macro Stress-Testing Dividend Income: Evidence from Euro Area Banks", Economics Letters, 2021 (201), 1-4 (with Mariusz Jarmuzek and Cosimo Pancaro).
"Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach", Journal of Applied Econometrics, 2020 (1), 61-81 (with P. Siklos).
published paper working paper version
Featured in ECB Financial Stability Review 2021
"The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets", International Review of Economics & Finance, 2019 (March), 203-215 (with M. T. Bohl and W. Souza).
published paper working paper version
"Price Discovery in Thinly Traded Futures Markets: How Thin Is too Thin?", Journal of Futures Markets, 2016 (9), 851-869 (with P. Adaemmer and M. T. Bohl).
published paper working paper version
"Climate Stress Test for the German Banking Sector: Impact of the Green Transition on Corporate Loan Portfolios" (with Kuntz, L.C., Niederauer, S., Strobel, L., and Zwanzger, J.)
Bundesbank Working Paper 11/2025
This paper proposes a novel climate risk stress test framework, which allows to quantify climate transition risks for a large sample of German banks. We capture model uncertainty in a unique way by applying two standalone models (a micro and a macro model) for translating stress scenarios into credit risk parameters.
"Climate Transition Risk Stress Test for the German Financial System" (with Etzel, T., Falter, A., Frankovic, I., Ohls, J., Strobel, L., and Wilke, H.)
Bundesbank Technical Paper 04/2023
The paper discusses the details behind the analysis for the special chapter "Risks arising from structural change using the decarbonisation of the economy as an example" in the Bundesbank Financial Stability Review 2023.
"Sensitivity Analysis of Climate-related Transition Risks in the German Financial Sector" (with Etzel, T., Falter, A., Frankovic, I., Kablau, A., Lauscher, P., Schober, D., Ohls, J., Strobel, L., and Wilke, H.)
Bundesbank Technical Paper 13/2021
The paper discusses the details behind the analysis for the special chapter "Climate policy and financial stability" in the Bundesbank Financial Stability Review 2021.
"Examining the Common Dynamics of Commodity Futures Prices"
"Credit Risk Transmission during the Pandemic: The Sovereign-Bank-Corporate Nexus", ECB Financial Stability Review, May 2021, Box (with Cosimo Pancaro).
"Prospects for Euro Area Bank Lending Margins in an Extended Low-for-longer Interest Rate Environment", ECB Financial Stability Review, November 2020, Special Feature (with U. Albertazzi, D. Andreeva, M. Belloni, A. Grassi, J. Mosthaf and T. Shakir).
"The Global Dimensions of Macroprudential Policy", Report of the Advisory Scientific Committee 10, European Systemic Risk Board, February 2020 (with R. Portes (coordinator), T. Beck, W. Buiter, K. Dominguez, D. Gros, S. Kalemli-Ozcan, T. Peltonen and A. Sanchez-Serrano).
"Features of a Macroprudential Stance: Initial Considerations", Report of the ESRB Expert Group on Macroprudential Stance, April 2019.
"Development of the Concept of Macroprudential Stance", A Review of Macroprudential Policy in the EU in 2018, Special Feature B, ESRB, April 2019, 81-87 (with S. Fahr, N. Hallissey and J. Quin).