
Sermin Gungor
Senior Research Advisor
- Ph. D. in Economics, Emory University, Atlanta (2010)
- M.Sc. in Financial Economics and Econometrics, University of Essex, Essex, U.K. (2001)
- B.A. in Economics, Marmara University, Istanbul, Turkey (2000)
Bio
Sermin Gungor is a Senior Research Advisor in the Financial Markets Department at the Bank of Canada. Her research focuses on asset pricing, fixed income markets, and financial econometrics with work published in journals such as the Journal of Finance, Journal of Econometrics, Journal of Financial Econometrics, Journal of Business and Economic Statistics, and the Journal of Empirical Finance.
She joined the Bank in 2010 and has held various senior roles, including Deputy Managing Director of Economic and Financial Research (2022–2024). From 2017 to 2019, she was an Associate Visiting Professor at the University of Western Ontario. Sermin holds a PhD in Economics from Emory University and an MSc from the University of Essex.
Staff analytical notes
Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
Has Liquidity in Canadian Government Bond Markets Deteriorated?
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.
Staff discussion papers
Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Staff working papers
Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Bank publications
Bank of Canada Review articles
The Life Cycle of Government of Canada Bonds in Core Funding Markets
Journal publications
- “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. - "Multivariate Tests of Mean-Variance Efficiency and Spanning with Large Number of Assets and Time-Varying Covariances"
(with R. Luger), Journal of Business & Economic Statistics, 34:2, 161-175, 2016. - “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.