RESEARCH
Research Interests
Macro-Finance
Financial Economics Event Studies
Macroeconomics
Applied Econometrics
Chapters:
Chapter "European Sovereign Bond and Stock Market Granger Causality Dynamics"
In chapter 1, we investigate the lead-lag relationship between weekly sovereign-bond-yield changes and stock market returns for eight European countries, and how it changed during the period 2008-2022. We use a Markov Switching Granger-causality method that determines reversals of causality endogenously. In all countries, changes were often made in the direction of the Granger causality between the two markets that coincided with global and idiosyncratic economic events. Stock returns led changes in sovereign bond yields in most countries, particularly during the financial, the Euro-Area crisis and Covid Pandemic. In contrast with the literature, we find evidence that changes of sovereign bond yields led stock returns in several periods.
Chapter 1 is a joint paper with Pedro Gomes and Rubens Morita (Under Revision)
Link to a paper: Zeynep KURTER | Birkbeck, University of London, London | Department of Economics, Mathematics and Statistics (researchgate.net)
Alternatively:
Gomes, Pedro & Kurter, Zeynep O. & Morita, Rubens, 2022.
1405, University of Warwick, Department of Economics.
European Sovereign Bond and Stock Market Granger Causality Dynamics (repec.org)
Chapter ''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.
Published in the North American Journal of Economics and Finance, Volume 70, January 2024, 102083
Link to a paper: https://doi.org/10.1016/j.najef.2024.102083
Chapter "The Effect of EPU on Sovereign Credit Risk : A Panel VAR Approach"
Chapter 3 examines how domestic economic policy uncertainty (EPU) affects sovereign credit risk, measured by the sovereign credit default swap (CDS) spreads through exchange-rate volatility, sovereign bond yields, and consumer confidence index. I use monthly data from 2009 to 2020, for 10 countries and employ a panel vector autoregression (PVAR) using a fixed-effects estimator to estimate the real effects of domestic uncertainty shocks on sovereign credit risk, exchange-rate risk, sovereign bond yields (as a market risk.) and the consumer confidence index (as a driver of economic activity). I find sovereign credit risk is influenced the most by economic policy uncertainty. The effect of EPU on sovereign bond yields and the consumer confidence index appears to be less important.
Link to a small article of this paper: Pass Through of Economic Policy Uncertainty Shock on Sovereign Credit Risk: A Panel VAR Approach by ZEYNEP Ozde KURTER :: SSRN
Supervisors:
Principal Supervisor: Prof. Pedro Gomes, Birkbeck University of London
Prof. Ron Smith, Birkbeck University of London
Work in Progress
Analysing Economic Policy Uncertainty: The Role of Equity Return Volatility, Sovereign Credit, and Market Risk - An ARDL Approach in the USA and the UK (2023)
The Lead-Lag Relationship between Sovereign CDS and Stock Returns (2018)
The Real Effects of Global Shocks on Sovereign Risk: A Panel VAR Approach (2017)
How Sovereign is Sovereign Credit Risk?’ written by A. Longstaff & Jun Pan & Lasse H. (replicated in 2017)
The Impact of Public Debt on Sovereign Credit Ratings for Emerging Countries (2012)
RESEARCH NETWORK:
Fellow at the Rimini Centre for Economic Analysis
The Rimini Centre for Economic Analysis - Fellows (rcea.world)
Member:
Eurasia Business and Economics Society (EBES)