Main Research Interests

 

• Macro-Finance 

• Financial Economics Event Studies 

• Macroeconomics

• Applied Econometrics

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Research Interests Details: 

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• ​Economics of Money and Banking

• Financial Markets and Financial Crisis

• Stock, Bonds, and Yield Curves 

• Investment and Portfolio Management

• Empirical Finance

• Financial Economics Event Studies

• Artificial Intelligence Impact on Invesment 

• Systemic and Financial Risks 

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Research Profile

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Zeynep KURTER | Lecturer | Doctor of Philosophy | The University of Warwick, Coventry | Department of Economics | Research profile (researchgate.net)

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Scopus Profile:

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Kurter, Zeynep O. - Author details - Scopus Preview​

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Research Projects with Students: 

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Project with Students | Zeynep Kurter

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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)

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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. 

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European Sovereign Bond and Stock Market Granger Causality Dynamics (repec.org)

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• 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

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This paper was presented:

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Financial Stability Strategy and Risk Seminar at Bank of England-Lunchtime Seminars (Sept.2024) • The 45th Eurasia Business and Economics Society (EBES) Conference, in Budapest (2023) • The Money Macro and Finance Research group (MMF) 53th Annual Conference at Kent University (2022) • Ph.D. Alumni Conference at Birkbeck, University of London (2022) • The Rimini Research Centre for Economic Analysis (RCEA) Money, Macro and Finance Virtual Conference (2021) • Ph.D. Jamboree at Birkbeck, University of London (2021)

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• 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 paper: Pass Through of Economic Policy Uncertainty Shock on Sovereign Credit Risk: A Panel VAR Approach by ZEYNEP Ozde KURTER :: SSRN 

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Supervisors:

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Principal Supervisor: Prof. Pedro Gomes, Birkbeck University of London 

Prof. Ron Smith, Birkbeck University of London 

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​Recent Paper  is a joint paper with Balaaj Bhatti 

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While artificial intelligence (AI) has become increasingly prevalent, empirical evidence on its impact on firm value is limited. This inaugural UK market study uses event study methodology to assess stock market reactions to AI investment announcements by FTSE 100 companies from 2019-2023. Analysing 138 announcements from 53 companies, the research reveals that AI investments have a marginally positive, but statistically insignificant impact of 0.114% on the announcement day, affirmed by both parametric and non-parametric tests. Further subsample analysis shows that high credit rating firms and early adopters experience significantly negative impacts on firm value, indicating investor risk-aversion and a clear second-mover advantage. Cross-sectional analysis demonstrates that industry and the type of AI investment critically influence returns, and confirms the size effect with larger firms experiencing more negative returns than smaller ones. Earnings before interest, taxes and amortization (EBITDA) margins and cyber risk ratings, however, do not significantly impact returns. This study advances AI literature by examining market dynamics associated with AI investments, providing a foundation for future research, and providing practical insights for investors and corporate managers aiming to maximize risk-adjusted returns and firm value.

 

Available at: (PDF) The Effect of AI Investment Announcements on Adopting Companies Abnormal Returns: A Critical Analysis of the UK Market (researchgate.net)​

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Work in Progress

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• The Effect of AI Investment Announcements on Adopting Companies Abnormal Returns: A Critical Analysis of the UK Market (2024)

• 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)

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Research Network:

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• Fellow at the Rimini Centre for Economic Analysis 

The Rimini Centre for Economic Analysis - Fellows (rcea.world)

 

Member: 

• Eurasia Business and Economics Society (EBES)

• Member - Royal Economic Society (RES)

• Member - Economics Network 

• Member - The Computational and Financial Econometrics (CFEnetwork)

• Member - The Birkbeck Centre for Applied Macroeconomics (BCAM)