Emre Yoldas

Board of Governors of the Federal Reserve System

Chief of Global Monetary and Sovereign Markets Section

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

18

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18

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22

Scholarly Papers (18)

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1.

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

Downloads 251 (202,553)
Citation 8

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 Board of Governors of the Federal Reserve System
Downloads 120 (384,079)
Citation 1

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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 Board of Governors of the Federal Reserve System
Downloads 66 (565,294)
Citation 3

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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 Board of Governors of the Federal Reserve System
Downloads 65 (570,043)
Citation 3

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

2.

When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets

International Finance Discussion Paper No. 1269
Number of pages: 43 Posted: 15 Jun 2020
Jasper Hoek, Steven B. Kamin and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 186 (268,086)
Citation 3

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Monetary policy, Spillovers, Emerging markets, Growth shock, monetary shocks, Financial conditions

3.

Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets

FEDS Working Paper No. 2016-84
Number of pages: 45 Posted: 20 Oct 2016 Last Revised: 21 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 Board of Governors of the Federal Reserve System
Downloads 136 (350,079)
Citation 3

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

4.

Government Debt and Macroeconomic Activity: A Predictive Analysis for Advanced Economies

FEDS Working Paper No. 2013-05
Number of pages: 17 Posted: 30 May 2017
Deniz Baglan and Emre Yoldas
Howard University and Board of Governors of the Federal Reserve System
Downloads 122 (377,736)
Citation 2

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5.

Non-Linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model

FEDS Working Paper No. 2014-51
Number of pages: 21 Posted: 09 Aug 2014
Deniz Baglan and Emre Yoldas
Howard University and Board of Governors of the Federal Reserve System
Downloads 69 (544,134)

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Inflation, economic growth, semiparametric panel data model, series estimation, bootstrap

6.

Financial Stress and Equilibrium Dynamics in Money Markets

Downloads 50 (635,750)
Citation 2

Financial Stress and Equilibrium Dynamics in Money Markets

FEDS Working Paper No. 2015-91
Posted: 09 Jul 2021
Zeynep Senyuz and Emre Yoldas
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

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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
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 50 (648,846)
Citation 2

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

7.

Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications

Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Number of pages: 34 Posted: 23 Nov 2011 Last Revised: 07 Dec 2011
Emre Yoldas
Board of Governors of the Federal Reserve System
Downloads 44 (670,131)

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Asymmetries, Threshold models, Fama-French factors, Realized Volatility, Yield Curve, Subsampling, Bootstrap, Portfolio Choice

8.

Are Rising U.S. Interest Rates Destabilizing for Emerging Market Economies?

FEDS Notes No. 2021-06-23-2
Posted: 09 Jul 2021
Jasper Hoek, Steven B. Kamin and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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9.

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2013-61
Posted: 09 Jul 2021
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
affiliation not provided to SSRN, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

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10.

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

FEDS Working Paper No. 2012-9
Posted: 09 Jul 2021
Marcelle Chauvet, Zeynep Senyuz and Emre Yoldas
affiliation not provided to SSRN, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

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11.

Dynamics of Overnight Money Markets: What Has Changed at the Zero Lower Bound?

FEDS Notes No. 2015-12-21
Posted: 09 Jul 2021
Elizabeth C. Klee, Zeynep Senyuz and Emre Yoldas
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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12.

The Impact of COVID-19 on Emerging Markets Economies’ Financial Conditions

FEDS Notes No. 2020-10-07-1 https://doi.org/10.17016/2380-7172.2749
Posted: 14 Oct 2020
Shaghil Ahmed, Jasper Hoek, Steven B. Kamin, Benjamin Smith and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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13.

Dynamics of Overnight Money Markets: What Has Changed at the Zero Lower Bound?

FEDS Notes No. 2015-12-21 https://doi.org/10.17016/2380-7172.1676
Posted: 31 Oct 2015
Elizabeth Klee, Zeynep Senyuz and Emre Yoldas
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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14.

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 Board of Governors of the Federal Reserve System

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

15.

Autocontours: Dynamic Specification Testing

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

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

16.

Optimality of the Riskmetrics Model

Finance Research Letters, Vol. 4, No. 3, 2007
Posted: 23 Nov 2011 Last Revised: 24 Nov 2011
Gloria González-Rivera, Tae-Hwy Lee and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics, University of California, Riverside (UCR) - Department of Economics and Board of Governors of the Federal Reserve System

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Estimation, Forecasting, Loss functions, Optimality, VaR

17.

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT ENGLE, Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson, eds., Chapter 11, pp. 213-230, Oxford University Press, January 2010
Posted: 23 Nov 2011
Gloria González-Rivera and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics and Board of Governors of the Federal Reserve System

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Probability Contour Plot, Autocontour, Specification Test, Parameter Uncertainty

18.

Autocontour-Based Evaluation of Multivariate Predictive Densities

International Journal of Forecasting, Forthcoming
Posted: 23 Nov 2011
Emre Yoldas and Gloria González-Rivera
Board of Governors of the Federal Reserve System and University of California, Riverside (UCR) - Department of Economics

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Probability Contour Plot, Probability Integral Transformation, Parameter Uncertainty, Forecasting Schemes