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Welcome to my website.
I am an Assistant Professor (Teaching Focussed) in Macro-Finance at the University of Warwick, having joined the Department of Economics in 2021.
I currently deliver lectures for the undergraduate module Economics of Money and Banking (EC-230/EC-352) and the postgraduate module (MSc) Investment and the Financial System (EC-988), as well as seminars in Econometrics (EC-226), Introductory Mathematics and Statistics (EC-961), and Macroeconomics (EC-204). In addition to my teaching duties, I am the Assessment and Feedback Coordinator, Advisor to Female Students, and Curriculum Reviewer within the Department, and a Fellow of the Rimini Centre for Economic Analysis (RCEA).
Prior to joining the University of Warwick, I was a Graduate Teaching Assistant and Special/Visiting Lecturer in Economics at Birkbeck, City, University of London, the London School of Economics (LSE), and the UCL Social Research Institute. I have over seven years of teaching experience across a range of economics courses, including Applied Statistics and Econometrics, Introductory Micro- and Macroeconomics, Money and Banking, and Quantitative Applied Economics. I also have private-sector experience as a financial consultant.
I hold a PhD in Economics and Finance from Birkbeck, University of London, awarded through a full scholarship. My PhD dissertation, which received the Best PhD Thesis Award in 2023, examines the macroeconomic determinants of sovereign and systemic risk. I also hold an Associate Fellowship in Teaching and Supporting Learning in Higher Education (2019) in the UK.
I obtained a Master’s degree in Economics and Market Policy from the University of Bologna in 2012 and a Bachelor’s degree in Economics from Ege University in 2010.
Job Market Paper: Published
'The North American Journal of Economics and Finance'
Volume 70, January 2024, 102083
''How Macroeconomic Conditions Affect Systemic Risk in the Short and the Long-run?"
This study quantifies the effects of macroeconomic variables on various market-based systemic risk measures in 24 European banks over the 2008-2019 period. In a first step, I measure daily systemic risk for banks based on ΔCoVaR, MES, and SRISK framework and examine the contributions of individual banks to aggregate systemic risk during specific stress events. Systemic risk in European banks has risen in the wake of the global financial crisis and the Brexit referendum result. In a second step, I investigate how macroeconomic conditions affect systemic risk in the short and long-run. I find that three systemic risk measures have a long-run stable relationship with EU industrial production, EU inflation, Euribor, and US equity market volatility, but some variables have opposite effects in the short and long-run.
Link to a paper: https://doi.org/10.1016/j.najef.2024.102083
[1] Z. O. Kurter. “How macroeconomic conditions affect systemic risk in the short and long-run?”, The North American Journal of Economics and Finance 70 (2024), p. 102083. issn: 1062-9408.
Scimago Research Centers Ranking: Q1 in Finance 2023 / SJR 2023: 0.86 / Impact Factor 2024: 3.8
Orcid: https://orcid.org/0000-0002-2446-2643
Research Interests
Macro-Finance
Financial Economics Event Studies
Macroeconomics
Applied Econometrics
I am interested in the field of Macro-Finance, Macroeconomics and Applied Econometrics. My current research focuses on understanding the 'Macroeconomic Determinants of Sovereign and Systemic Risk'. This research provides insight into changes in financial markets, financial crises, and some specific distress events, increases our understanding of debt and equity securities, the connections between financial markets and the aspects of the real economy. All of these elements play a role in upholding financial stability.
My doctoral dissertation examines the lead-lag relationship between sovereign bond yield changes and stock market return by using a Markov Switching Granger Causality methodology, how macroeconomic conditions affect systemic risk in European banks in the short and long-run by employing Quantile Regression and Panel Autoregressive Distributed Lags with estimators (PARDL) and asymmetric GARCH methodology, and my last paper is about the effect of economic policy uncertainty on sovereign credit risk (measuring credit default swap (CDS) spread), covering sovereign bond yields, exchange rate volatility and economic activity by using Panel-VAR.
CONTACT
If you have any questions or comments, please feel free to contact me at
Department of Economics - The University of Warwick
Coventry CV4 7AL, United Kingdom
E-mail: Zeynep.Kurter@warwick.ac.uk
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