Research

Ongoing projects

Bezrukovs, D., Guth, M., Puhr, C. & Weiss, P. (2022). Making stress tests more realistic: incorporating banks’ recovery plans to account for managerial actions.

Guth, M., Hauzenberger, N. & Huber, F. (2022). Measuring the effect of uncertainty on banks' risk-taking.

Guth, M. & Siebenbrunner, C. (2022). Predicting count data based on bank-specific variables.

Published journal articles

Guth, M., Hesse, J., Königswieser, C., Krenn, G., Lipp, C., Neudorfer, B., Schneider, M. & Weiss, P. (2021). OeNB climate risk stress test–modeling a carbon price shock for the Austrian banking sector. Financial Stability Report, (42), 27-45. [Published version]

Battiston, S., Guth, M., Monasterolo, I., Neudorfer, B., & Pointner, W. (2020). Austrian banks’ exposure to climate-related transition risk. Financial Stability Report, (40), 31-44. [Published version]

Guth, M., Lipp, C., Puhr, C., & Schneider, M. (2020). Modeling the COVID-19 effects on the Austrian economy and banking system. Financial Stability Report, (40), 63-86. [Published version]

Working papers

Guth, M. (2021). Predicting Default Probabilities for Stress Tests: A Horse Race between Models. Submitted to the Journal of Forecasting. arXiv preprint arXiv:2202.03110. [Link]

Siebenbrunner, C., Guth, M., Spitzer, R. & Trappl S. (2021). Assessing the Systemic Risk impact of Bank Bail-Ins. Submitted to the Journal of Financial Stability.

Presentations

2022 | 5th Vienna Workshop on High Dimensional Time Series in Macroeconomic and Finance, Institute for Advanced Studies (IHS), Vienna, Austria

Published Thesis

MSc Thesis submitted to the Department of Economics, Vienna University of Economics and Business: Guth, M. (2018). Heterogeneous Effects of Unconventional Monetary Policy on Loan Demand and Supply. Insights from the Bank Lending Survey. [Working paper]