Sermin Gungor was appointed Deputy Managing Director of Economic and Financial Research (EFR) for a two year term, effective September 2022. In this role, she serves as a member of the EFR senior leadership team providing strategic direction to the Bank-wide Research Plan and the Strategic Plan.
Sermin began her career as a Senior Analyst in the Bank’s Financial Markets Department (FMD) in 2010. She has since held increasingly senior roles, most recently a Research Advisor in FMD. From 2017 to 2019, she was an Associate Visiting Professor at the University of Western Ontario in the Department of Economics.
Her primary research interests cover a range of topics including financial econometrics, asset pricing and fixed income markets. She has published scholarly articles in academic journals including the Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, Journal of Empirical Finance, Canadian Journal of Economics. She received her doctorate in Economics from Emory University and Master of Science in Financial Economics and Econometrics from the University of Essex.
We assess the response of Government of Canada bond yields to the Bank of Canada’s initial announcement of the Government Bond Purchase Program (GBPP) as well as to the Bank’s later GBPP purchase operations.
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy.
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.
Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets.
“The Life-cycle of Trading Activity and Liquidity of Government of Canada Bonds: Evidence from Cash, Repo, and Securities Lending Markets” (with N. Bulusu), Canadian Journal of Economics, forthcoming.
“Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects” (with R. Luger), Journal of Econometrics, forthcoming.
“Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns” (with R. Luger), Journal of Financial Econometrics, forthcoming.
“Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings” (with R. Luger), L'Actualité économique, 91, 35-65, 2015.
"Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach" (with R. Luger), Journal of Business & Economic Statistics, 31:1, 66-77, 2013.
"Exact Distribution-Free Tests of Mean-Variance Efficiency" (with R. Luger), Journal of Empirical Finance, 16, 816-829, 2009.
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