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Publications

by alumni of

Cambridge Finance
University of Cambridge
Cambridge, United Kingdom

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2023

  1. Oliver de Groot & Ceyhun Bora Durdu & Enrique G. Mendoza, 2023. "Why Global and Local Solutions of Open-Economy Models with Incomplete Markets Differ and Why it Matters," NBER Working Papers 31544, National Bureau of Economic Research, Inc.

2022

  1. de Groot, Oliver & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2022. "A toolkit for computing Constrained Optimal Policy Projections (COPPs)," CEPR Discussion Papers 16865, C.E.P.R. Discussion Papers.

2021

  1. Mr. Anil Ari & Gabor Pula, 2021. "Assessing the Macroeconomic Impact of Structural Reforms in Ukraine," IMF Working Papers 2021/100, International Monetary Fund.

2020

  1. de Groot, Oliver & Haas, Alexander, 2020. "The Signalling Channel of Negative Interest Rates," CEPR Discussion Papers 14268, C.E.P.R. Discussion Papers.
  2. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
  3. de Groot, Oliver & Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Nikalexi, Katerina, 2020. "Monetary policy and regional inequality," Working Paper Series 2385, European Central Bank.
  4. de Groot, Oliver & Mazelis, Falk, 2020. "Mitigating the forward guidance puzzle: inattention, credibility, finite planning horizons and learning," Working Paper Series 2426, European Central Bank.
  5. Christoffel, Kai & de Groot, Oliver & Mazelis, Falk & Montes-Galdón, Carlos, 2020. "Using forecast-augmented VAR evidence to dampen the forward guidance puzzle," Working Paper Series 2495, European Central Bank.
  6. Oliver de Groot & Bora Durdu & Enrique G. Mendoza, 2020. "Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets," Finance and Economics Discussion Series 2020-006, Board of Governors of the Federal Reserve System (U.S.).
  7. Oliver de Groot & Grzegorz Wesołowski, 2020. "Business cycle implications of banking system heterogeneity and complexity," NBP Working Papers 330, Narodowy Bank Polski.
  8. Ari, Anil & Ratnovski, Lev & Chen, Sophia, 2020. "The dynamics of non-performing loans during banking crises: a new database," Working Paper Series 2395, European Central Bank.
  9. Mr. Damien Puy & Mr. Anil Ari & Ms. Yu Shi, 2020. "Foreign Demand and Local House Prices: Evidence from the US," IMF Working Papers 2020/043, International Monetary Fund.
  10. Dell'Ariccia, Giovanni & Agur, Itai & Ari, Anil, 2020. "Designing Central Bank Digital Currencies," CEPR Discussion Papers 15366, C.E.P.R. Discussion Papers.
  11. Mr. Anil Ari & David Bartolini & Vizhdan Boranova & Gabriel Di Bella & Mr. Kamil Dybczak & Ms. Keiko Honjo & Raju Huidrom & Andreas Jobst & Nemanja Jovanovic & Ezgi O. Ozturk & Ms. Laura Papi & Mr. Se, 2020. "Infrastructure in Central, Eastern, and Southeastern Europe: Benchmarking, Macroeconomic Impact, and Policy Issues," IMF Departmental Papers / Policy Papers 2020/011, International Monetary Fund.

2019

  1. Thomas van Florenstein Mulder & Tugrul Vehbi, 2019. "Forecasting with a Global VAR model," Reserve Bank of New Zealand Analytical Notes series AN2019/03, Reserve Bank of New Zealand.
  2. Oliver de Groot & C. Bora Durdu & Enrique G. Mendoza, 2019. "Global v. Local Methods in the Analysis of Open-Economy Models with Incomplete Markets," Working Papers 201916, University of Liverpool, Department of Economics.

2018

  1. Amy Rice & Tugrul Vehbi & Benjamin Wong, 2018. "Measuring uncertainty and its impact on the New Zealand economy," Reserve Bank of New Zealand Analytical Notes series AN2018/01, Reserve Bank of New Zealand.
  2. Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2018. "Nowcasting New Zealand GDP using machine learning algorithms," CAMA Working Papers 2018-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Ari, A. & Corsetti, G. & Dedola, L., 2018. "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics 1831, Faculty of Economics, University of Cambridge.
  4. Ari, Anil, 2018. "Gambling traps," Working Paper Series 2217, European Central Bank.
  5. Mr. Tommaso Mancini-Griffoli & Mr. Maria Soledad Martinez Peria & Mr. Itai Agur & Mr. Anil Ari & Mr. John Kiff & Ms. Adina Popescu & Ms. Celine Rochon, 2018. "Casting Light on Central Bank Digital Currencies," IMF Staff Discussion Notes 2018/008, International Monetary Fund.

2017

  1. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2017. "Uncertainty Shocks in a Model of Effective Demand: Comment," Working Papers 1706, Federal Reserve Bank of Dallas.
  2. Mr. Anil Ari & Matthieu Darracq-Paries & Christoffer Kok, 2017. "Shadow Banking and Market Discipline on Traditional Banks," IMF Working Papers 2017/285, International Monetary Fund.

2016

  1. Tugrul Vehbi, 2016. "The macroeconomic impact of the age composition of migration," Reserve Bank of New Zealand Analytical Notes series AN2016/03, Reserve Bank of New Zealand.
  2. Gunes Kamber & Ozer Karagedikli & Michael Ryan & Tugrul Vehbi, 2016. "International spill-overs of uncertainty shocks: Evidence from a FAVAR," CAMA Working Papers 2016-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Enrique Mendoza & Bora Durdu & Oliver de Groot, 2016. "Global v. Local Methods in the Quantitative Analysis of Open-Economy Models with Incomplete Markets," 2016 Meeting Papers 595, Society for Economic Dynamics.
  4. Ari, Anil, 2016. "Sovereign risk and bank risk-taking," Working Paper Series 1894, European Central Bank.
  5. Ari, Anil & Darracq Pariès, Matthieu & Kok, Christoffer & Żochowski, Dawid, 2016. "When shadows grow longer: shadow banking with endogenous entry," Working Paper Series 1943, European Central Bank.

2015

  1. Anil Ari, 2015. "Sovereign Risk and Bank Risk-Taking," Working Papers 202, Oesterreichische Nationalbank (Austrian Central Bank).

2014

  1. Dungey, Mardi & Vehbi, Tugrul & Martin, Charlton, 2014. "VAR modelling in the presence of China’s rise : an application to the Taiwanese economy," Working Papers 2014-09, University of Tasmania, Tasmanian School of Business and Economics.
  2. Enzo Cassino & Neil Cribbens & Tugrul Vehbi, 2014. "Determinants of the New Zealand Yield Curve: Domestic vs. Foreign Influences," Treasury Working Paper Series 14/19, New Zealand Treasury.
  3. Oliver DeGroot, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).
  4. Oliver de Groot, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).

2013

  1. Oscar Parkyn & Tugrul Vehbi, 2013. "The Effects of Fiscal Policy in New Zealand: Evidence from a VAR Model with Debt Constraints," CAMA Working Papers 2013-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Ozer Karagedikli & Michael Ryan & Daan Steenkamp & Tugrul Vehbi, 2013. "What happens when the Kiwi flies? The sectoral effects of the exchange rate shocks," CAMA Working Papers 2013-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Denise R Osborn & Tugrul Vehbi, 2013. "Empirical Evidence on Growth Spillovers from China to New Zealand," Treasury Working Paper Series 13/17, New Zealand Treasury.

2012

  1. Leiner-Killinger, Nadine & Holm-Hadulla, Fédéric & de Groot, Oliver, 2012. "Cost of borrowing shocks and fiscal adjustment," Working Paper Series 1503, European Central Bank.

Journal articles

2023

  1. de Groot, Oliver & Haas, Alexander, 2023. "The signalling channel of negative interest rates," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 87-103.

2022

  1. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.

2021

  1. Richardson, Adam & van Florenstein Mulder, Thomas & Vehbi, Tuğrul, 2021. "Nowcasting GDP using machine-learning algorithms: A real-time assessment," International Journal of Forecasting, Elsevier, vol. 37(2), pages 941-948.
  2. Oliver de Groot, 2021. "A Financial Accelerator through Coordination Failure," The Economic Journal, Royal Economic Society, vol. 131(636), pages 1620-1642.
  3. Ari, Anil & Chen, Sophia & Ratnovski, Lev, 2021. "The dynamics of non-performing loans during banking crises: A new database with post-COVID-19 implications," Journal of Banking & Finance, Elsevier, vol. 133(C).

2020

  1. Oliver de Groot & Alexander Haas, 2020. "The Negative Interest Rate Policy Experiment," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(01), pages 7-12, April.

2019

  1. Michael Callaghan & Enzo Cassino & Tugrul Vehbi & Benjamin Wong, 2019. "Opening the toolbox: how does the Reserve Bank analyse the world?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 82, pages 1-14, April.
  2. Trung Duc Tran & Tugrul Vehbi & Benjamin Wong, 2019. "Measuring Uncertainty for New Zealand Using Data‐Rich Approach," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 344-352, September.

2018

  1. Lucy Greig & Amy Rice & Tugrul Vehbi & Benjamin Wong, 2018. "Measuring Uncertainty and Its Impact on a Small Open Economy," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 87-98, March.
  2. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Uncertainty Shocks in a Model of Effective Demand: Comment," Econometrica, Econometric Society, vol. 86(4), pages 1513-1526, July.

2016

  1. Karagedikli, Özer & Ryan, Michael & Steenkamp, Daan & Vehbi, Tugrul, 2016. "What happens when the Kiwi flies? Sectoral effects of exchange rate shocks on the New Zealand economy," Economic Modelling, Elsevier, vol. 52(PB), pages 945-959.

2015

  1. Osborn, Denise R. & Vehbi, Tugrul, 2015. "Growth in China and the US: Effects on a small commodity exporter economy," Economic Modelling, Elsevier, vol. 45(C), pages 268-277.
  2. Dungey, Mardi & Vehbi, Tugrul, 2015. "The influences of international output shocks from the US and China on ASEAN economies," Journal of Asian Economics, Elsevier, vol. 39(C), pages 59-71.
  3. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
  4. de Groot, Oliver & Holm-Hadulla, Fédéric & Leiner-Killinger, Nadine, 2015. "Cost of borrowing shocks and fiscal adjustment," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 23-48.

2014

  1. Oscar Parkyn & Tugrul Vehbi, 2014. "The Effects of Fiscal Policy in New Zealand: Evidence from a VAR Model with Debt Constraints," The Economic Record, The Economic Society of Australia, vol. 90(290), pages 345-364, September.
  2. Oliver de Groot, 2014. "The Risk Channel of Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 115-160, June.

2013

  1. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.

Chapters

2019

  1. Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2019. "Nowcasting New Zealand GDP using machine learning algorithms," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.

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