About me

I joined the Department of Economics as a Teaching Fellow in Economics at Warwick University in October 2021. I am currently teaching Economics of Money & Banking, Investment and the Financial System, Econometrics, and Macroeconomics at University of Warwick. Prior to becoming a part of Warwick University, I was a graduate teaching assistant and special/visiting lecturer in Economics at Birkbeck and City, University of London, London School of Economics (LSE) and University College of London (UCL) Social Research Institute. I have 6 years of teaching experience on variety of economics courses, such as Applied Statistics and Econometrics, Introduction Micro and Macro-Economics, Money and Banking, Quantitative Applied Economics, and have some private sector experience as a financial consultant.

I hold a Ph.D. degree in Economics and Finance from Birkbeck, University of London. I earned Master’s degree in Economics and Market Policy at University of Bologna in 2012, and Bachelor’s degree in Economics at Ege University in 2010.

Publication

"How Macroeconomic Conditions Affect Systemic Risk in the Short and the Long-run?"

Abstract

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.

How macroeconomic conditions affect systemic risk in the short and long-run? - ScienceDirect

Published in the North American Journal of Economics and Finance, Volume 70, January 2024, 102083

Under Revision

Research Paper: "European Sovereign Bond and Stock Market Granger Causality Dynamics"

Abstract

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.

(This is a joint paper with Pedro Gomes and Rubens Morita)

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)

Research Interests

• Macro-Finance
• Financial Economics Event Studies
• Macroeconomics
• Applied Econometrics

I am interested in the field of Macro-Finance, Financial Economics Event Studies, 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.