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Zeynep Kurter

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Room: S1.115
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About me

I joined the Department of Economics as a Teaching Fellow in Economics at Warwick University in October 2021. I am currently teaching Econometrics, Applied Econometrics and Macroeconomics at University of Warwick. Before joining Warwick, 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 5 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 completed my PhD in Economics at Birkbeck, University of London in 2021. 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.

Research Interests

  • Macro-Finance
  • 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 relationship between financial markets and the aspects of the real economy to maintain the financial stability in the economy.

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.

  • Chapter: European Sovereign Bond and Stock Market Granger Causality Dynamics
    (joint paper with Pedro Gomes and Rubens Morita), 2019, ResearchGate


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 2008-2018. We use a Markov-Switching Granger Causality method that determines reversals of causality endogenously. In all countries, there were often changes in the direction of the Granger causality between the two markets that coincided with global and idiosyncratic economic events. Stock returns took a leading role in changes of sovereign bond yields in all countries, particularly during the financial and the Euro Area crisis. Changes in sovereign bond yields have occasionally led stock returns in France, Spain and Portugal.

  • Chapter: How Macroeconomic Conditions Affect Systemic Risk in the Short and the Long-run?

(Zeynep Ozde Kurter, 2020, WRAP)


Chapter 2 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.

  • Chapter "The Effect of EPU on Sovereign Credit Risk"


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.