Sermin Gungor

Sermin Gungor

Deputy Managing Director

Economic and Financial Research
  • 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)

Curriculum vitae

ORCID Author Orcid Link RePEc Google Scholar

Bio

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.

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Staff analytical notes

The impact of the Bank of Canada’s Government Bond Purchase Program

Staff Analytical Note 2021-23 Rohan Arora, Sermin Gungor, Joe Nesrallah, Guillaume Ouellet Leblanc, Jonathan Witmer
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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Monetary policy, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E63

Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study

Staff Analytical Note 2020-23 Rohan Arora, Sermin Gungor, Kaetlynd McRae, Jonathan Witmer
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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?

Staff Analytical Note 2018-31 Chen Fan, Sermin Gungor, Guillaume Nolin, Jun Yang
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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?

Staff Analytical Note 2018-30 Chen Fan, Sermin Gungor, Guillaume Nolin, Jun Yang
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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

Has Liquidity in Canadian Government Bond Markets Deteriorated?

Staff Analytical Note 2017-10 Sermin Gungor, Jun Yang

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.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14

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Staff discussion papers

Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Staff Discussion Paper 2018-4 Narayan Bulusu, Sermin Gungor
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.
Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Wholesale funding JEL Code(s): G, G1, G12, G2, G21, G23

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Staff working papers

Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

Staff Working Paper 2017-10 Sermin Gungor, Richard Luger
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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor
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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Staff Working Paper 2014-51 Sermin Gungor, Richard Luger
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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra
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.
Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Staff Working Paper 2013-16 Sermin Gungor, Richard Luger
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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12

Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

Staff Working Paper 2010-36 Sermin Gungor, Richard Luger
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.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12

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Bank publications

Bank of Canada Review articles

May 11, 2017

The Life Cycle of Government of Canada Bonds in Core Funding Markets

Bank of Canada Review - Spring 2017 Narayan Bulusu, Sermin Gungor
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.
Content Type(s): Publications, Bank of Canada Review articles Topic(s): Debt management, Financial markets JEL Code(s): G, G1, G12, G2, G23

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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.