Ruben is a Senior Economist in the Financial Stability Department. His research interests are econometrics, statistics and empirical finance. Specifically, he conducted research on networks and the identification of Structural VAR models. Ruben holds a Ph.D. degree from the University of Mannheim.

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Staff working papers

Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers

Staff Working Paper 2021-37 Felix Brunner, Ruben Hipp
Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.

On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity

Staff Working Paper 2020-42 Ruben Hipp
Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors.

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