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View article: U.S. reciprocal tariff announcement and European bank stock performance
U.S. reciprocal tariff announcement and European bank stock performance Open
Following the announcement of new reciprocal U.S. tariffs on April 2, 2025, European banks experienced notable stock price declines, as concerns over U.S. and global growth weighed heavily on asset prices. In the two days following the ann…
View article: The Fourth SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Risk and Uncertainty in a Post-Pandemic World; Implications for the Economy, Financial Markets, and Monetary Policy
The Fourth SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Risk and Uncertainty in a Post-Pandemic World; Implications for the Economy, Financial Markets, and Monetary Policy Open
Over the past five years, the COVID-19 pandemic, supply chain disruptions, concerns about trade policies and their implications for the global trading network, military conflicts, and broader geopolitical tensions have sharply heightened r…
View article: Climate-Related Financial Stability Risks for the United States: Methods and Applications
Climate-Related Financial Stability Risks for the United States: Methods and Applications Open
The authors review ten broad classes of models that have been used to study potential financial stability risks arising from climate change in the United States. Their lens is primarily methodological: They describe each modeling technique…
View article: The Third SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Monetary Policy and Banking Regulation under Elevated Uncertainty
The Third SNB-FRB-BIS High-Level Conference on Global Risk, Uncertainty, and Volatility: Monetary Policy and Banking Regulation under Elevated Uncertainty Open
The Swiss National Bank (SNB), the Division of International Finance of the Federal Reserve Board (FRB), and the Bank for International Settlements (BIS) jointly organized the third High-Level Conference on Global Risk, Uncertainty, and Vo…
View article: Replication Data for: The Impact of Risk Cycles on Business Cycles: A Historical View
Replication Data for: The Impact of Risk Cycles on Business Cycles: A Historical View Open
We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs on risk. We construct a proxy of these beliefs and show that…
View article: Effects of Information Overload on Financial Markets: How Much Is Too Much?
Effects of Information Overload on Financial Markets: How Much Is Too Much? Open
Motivated by cognitive theories verifying that investors have limited capacity to process information, we study the effects of information overload on stock market dynamics. We construct an information overload index using textual analysis…
View article: The Impact of Risk Cycles on Business Cycles: A Historical View
The Impact of Risk Cycles on Business Cycles: A Historical View Open
We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs about risk. We construct a proxy of these beliefs and show t…
View article: The impact of risk cycles on business cycles: a historical view
The impact of risk cycles on business cycles: a historical view Open
We investigate the effects of financial risk cycles on business cycles, using a panel spanning 73 countries since 1900. Agents use a Bayesian learning model to form their beliefs on risk. We construct a proxy of these beliefs and show that…
View article: How global risk perceptions affect economic growth
How global risk perceptions affect economic growth Open
The global crisis in 2008 reminded us of the importance of the financial sector for the macroeconomy, a lesson many had forgotten in the decades after the previous global crisis, the Great Depression. Financial risk matters. It is necessar…
View article: How much lockdown policies contribute to local unemployment? Evidence from the first and second waves of COVID-19
How much lockdown policies contribute to local unemployment? Evidence from the first and second waves of COVID-19 Open
Did people reduce their social interactions as a result of the pandemic, restrictive lockdown policies, or both? What was the impact of reduced social interactions on local employment? Importantly, why did unemployment spike during the fir…
View article: What is Certain about Uncertainty?
What is Certain about Uncertainty? Open
Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing measures …
View article: Monitoring the Liquidity Profile of Mutual Funds
Monitoring the Liquidity Profile of Mutual Funds Open
Policymakers and academics have been particularly attuned to the issues of liquidity transformation and first mover advantage at open-end mutual funds. Open-end mutual funds engage in liquidity transformation because they promise one-day r…
View article: Measuring the Liquidity Profile of Mutual Funds
Measuring the Liquidity Profile of Mutual Funds Open
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surpris…
View article: The Role of U.S. Monetary Policy in Global Banking Crises
The Role of U.S. Monetary Policy in Global Banking Crises Open
We examine the role of U.S. monetary policy in global financial stability by using a cross-country database spanning the period from 1870-2010 across 69 countries. U.S. monetary policy tightening increases the probability of banking crises…
View article: Low Risk as a Predictor of Financial Crises
Low Risk as a Predictor of Financial Crises Open
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high volatility as a warning signal, this column argues that such an alarm comes too late, ar…
View article: Learning from History: Volatility and Financial Crises
Learning from History: Volatility and Financial Crises Open
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and across 60 countries. Prolonged periods of low volatility have strong in-sample and ou…
View article: Learning from History: Volatility and Financial Crises
Learning from History: Volatility and Financial Crises Open
We study the effects of volatility on financial crises by constructing a cross-country database spanning over 200 years. Volatility is not a significant predictor of crises whereas unusually high and low volatilities are. Low volatility is…
View article: Low volatility makes a financial crisis more likely
Low volatility makes a financial crisis more likely Open
Jon Danielsson, Marcela Valenzuela and Ilknur Zer provide empirical evidence of Minsky’s theory of instability
View article: Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report Open
Because increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky…
View article: Information Disclosures, Default Risk, and Bank Value
Information Disclosures, Default Risk, and Bank Value Open
This paper investigates the causal effects of voluntary information disclosures on a bank's expected default probability, enterprise risk, and value. I measure disclosure via a self-constructed index for the largest 80 U.S. bank holding co…