Zeynep Senyuz

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

9

DOWNLOADS

734

SSRN CITATIONS
Rank 17,519

SSRN RANKINGS

Top 17,519

in Total Papers Citations

12

CROSSREF CITATIONS

34

Scholarly Papers (9)

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

Number of pages: 46 Posted: 23 Nov 2011 Last Revised: 30 Apr 2015
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 91 (286,082)
Citation 1

Abstract:

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Financial Volatility, Real-time Data, Predictive Ability Tests, Dynamic Factor Model, Markov Switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2013-61
Number of pages: 46 Posted: 06 Nov 2013
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 53 (387,389)
Citation 3

Abstract:

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Financial volatility, real-time data, predictive ability tests, dynamic factor model, Markov switching

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2012-09
Number of pages: 33 Posted: 04 May 2012
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
University of California Riverside, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 50 (397,849)
Citation 4

Abstract:

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Realized Volatility, Business Cycles, Forecasting, Probit model, Dynamic Factor Model, Markov Switching

The Regulatory and Monetary Policy Nexus in the Repo Market

Number of pages: 51 Posted: 22 Dec 2016 Last Revised: 16 Jun 2018
Sriya Anbil and Zeynep Senyuz
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 125 (228,557)
Citation 2

Abstract:

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repo, RRP facility, Basel III, monetary policy, Federal Reserve

The Regulatory and Monetary Policy Nexus in the Repo Market

FEDS Working Paper No. 2018-027
Number of pages: 53 Posted: 06 Jun 2018 Last Revised: 21 Feb 2019
Sriya Anbil and Zeynep Senyuz
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 26 (505,924)
Citation 1

Abstract:

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Basel III regulations, Federal Reserve Board and Federal Reserve System, Monetary policy, Repo, Reverse repo facility

3.

A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles

Number of pages: 46 Posted: 07 May 2009
Marcelle Chauvet and Zeynep Senyuz
University of California Riverside and Board of Governors of the Federal Reserve System
Downloads 137 (212,013)
Citation 6

Abstract:

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Forecasting, Business Cycles, Yield Curve, Dynamic Factor Models, Markov Switching

4.

A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy

FEDS Working Paper No. 2012-32
Number of pages: 45 Posted: 27 Jun 2012
Marcelle Chauvet and Zeynep Senyuz
University of California Riverside and Board of Governors of the Federal Reserve System
Downloads 102 (263,474)
Citation 2

Abstract:

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Forecasting, business cycles, dynamic factor models, Markov switching

5.

Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets

FEDS Working Paper No. 2016-084
Number of pages: 45 Posted: 20 Oct 2016
Elizabeth Klee, Zeynep Senyuz and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Board
Downloads 65 (344,954)

Abstract:

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Overnight money markets, Federal funds, Repo, Eurodollar, Commercial paper, VAR models, GARCH models

6.

Factor Analysis of Permanent and Transitory Dynamics of the US Economy and the Stock Market

Journal of Applied Econometrics, Forthcoming
Number of pages: 48 Posted: 20 Nov 2010 Last Revised: 26 Nov 2010
Zeynep Senyuz
Board of Governors of the Federal Reserve System
Downloads 55 (374,802)

Abstract:

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Business Cycles, Stock Market, Permanent and Transitory Components, Dynamic Factor Markov Switching Models

7.

Financial Stress and Equilibrium Dynamics in Money Markets

FEDS Working Paper No. 2015-091
Number of pages: 41 Posted: 17 Oct 2015
Emre Yoldas and Zeynep Senyuz
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 30 (470,784)
Citation 2

Abstract:

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Cointegration, Constant conditional correlation model, GARCH, Money markets, Threshold models

8.

Hedge Fund Contagion and Risk-Adjusted Returns: A Markov-Switching Dynamic Factor Approach

Journal of Empirical Finance, Forthcoming
Posted: 01 May 2013
Ozzy (Ozgur) Akay, Zeynep Senyuz and Emre Yoldas
Office of Financial Research, US Department of the Treasury, Board of Governors of the Federal Reserve System and Federal Reserve Board

Abstract:

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Hedge fund, Contagion, Risk-adjusted return, Dynamic factor models, Markov-switching, Funding liquidity, Flight to safety

9.

Autocontours: Dynamic Specification Testing

Journal of Business and Economic Statistics, Vol. 29, No. 1, pp. 186-200, January 2011
Posted: 23 Nov 2011
University of California, Riverside (UCR) - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board

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Autoregressive conditional duration model, Bootstrap, Parameter uncertainty, Probability contour plot