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Publications

by alumni of

University of Cambridge → Cambridge Finance

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

2024

  1. Mr. Iaroslav Miller & Daniel Baksa & Mr. Philippe D Karam & Tugrul Vehbi, 2024, "G3MOD: A Multi-Country Global Forecasting Model," IMF Working Papers, International Monetary Fund, number 2024/254, Dec.

2023

  1. Mr. Anil Ari & Mr. Daniel Garcia-Macia & Shruti Mishra, 2023, "Has the Phillips Curve Become Steeper?," IMF Working Papers, International Monetary Fund, number 2023/100, May.
  2. Mr. Itai Agur & Mr. Anil Ari & Mr. Giovanni Dell'Ariccia, 2023, "Bank Competition and Household Privacy in a Digital Payment Monopoly," IMF Working Papers, International Monetary Fund, number 2023/121, Jun.
  3. Mr. Anil Ari & Mr. Carlos Mulas-Granados & Mr. Victor Mylonas & Mr. Lev Ratnovski & Wei Zhao, 2023, "One Hundred Inflation Shocks: Seven Stylized Facts," IMF Working Papers, International Monetary Fund, number 2023/190, Sep.
  4. Mr. Anil Ari & Philipp Engler & Gloria Li & Manasa Patnam & Ms. Laura Valderrama, 2023, "Energy Support for Firms in Europe: Best Practice Considerations and Recent Experience," IMF Working Papers, International Monetary Fund, number 2023/197, Sep.
  5. de Groot, Oliver & Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Nikalexi, Katerina, 2023, "Monetary Policy and Regional Inequality," CEPR Discussion Papers, Centre for Economic Policy Research, number 18319, Jul.
  6. 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, National Bureau of Economic Research, Inc, number 31544, Aug.

2022

  1. Mr. Anil Ari & Jean-Marc Atsebi & Mar Domenech Palacios, 2022, "Output Losses in Europe During COVID-19: What Role for Policies?," IMF Working Papers, International Monetary Fund, number 2022/130, Jul.
  2. Mr. Anil Ari & Mr. Nicolas Arregui & Mr. Simon Black & Oya Celasun & Ms. Dora M Iakova & Ms. Aiko Mineshima & Mr. Victor Mylonas & Ian W.H. Parry & Iulia Teodoru & Karlygash Zhunussova, 2022, "Surging Energy Prices in Europe in the Aftermath of the War: How to Support the Vulnerable and Speed up the Transition Away from Fossil Fuels," IMF Working Papers, International Monetary Fund, number 2022/152, Jul.
  3. Mr. Anil Ari & Gabor Pula & Liyang Sun, 2022, "Structural Reforms and Economic Growth: A Machine Learning Approach," IMF Working Papers, International Monetary Fund, number 2022/184, Sep.
  4. de Groot, Oliver & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2022, "A toolkit for computing Constrained Optimal Policy Projections (COPPs)," CEPR Discussion Papers, Centre for Economic Policy Research, number 16865, Jan.

2021

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

2020

  1. Dell'Ariccia, Giovanni & Agur, Itai & Ari, Anil, 2020, "Designing Central Bank Digital Currencies," CEPR Discussion Papers, Centre for Economic Policy Research, number 15366, Oct.
  2. Anil Ari & Sophia Chen & Lev Ratnovski, 2020, "The Dynamics of Non-Performing Loans during Banking Crises: A New Database," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2020_011, May.
  3. 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, International Monetary Fund, number 2020/011, Sep.
  4. Mr. Damien Puy & Mr. Anil Ari & Ms. Yu Shi, 2020, "Foreign Demand and Local House Prices: Evidence from the US," IMF Working Papers, International Monetary Fund, number 2020/043, Feb.
  5. de Groot, Oliver & Haas, Alexander, 2020, "The Signalling Channel of Negative Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 14268, Jan.
  6. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020, "Valuation Risk Revalued," CEPR Discussion Papers, Centre for Economic Policy Research, number 14588, Apr.
  7. de Groot, Oliver & Mazelis, Falk, 2020, "Mitigating the forward guidance puzzle: inattention, credibility, finite planning horizons and learning," Working Paper Series, European Central Bank, number 2426, Jun.
  8. 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, European Central Bank, number 2495, Nov.
  9. 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, Board of Governors of the Federal Reserve System (U.S.), number 2020-006, Jan, DOI: 10.17016/FEDS.2020.006.
  10. Oliver de Groot & Grzegorz Wesołowski, 2020, "Business cycle implications of banking system heterogeneity and complexity," NBP Working Papers, Narodowy Bank Polski, number 330.

2019

  1. 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, University of Liverpool, Department of Economics, number 201916, Nov.
  2. Thomas van Florenstein Mulder & Tugrul Vehbi, 2019, "Forecasting with a Global VAR model," Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand, number AN2019/03, Mar.
  3. Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2019, "Nowcasting GDP using machine learning algorithms: A real-time assessment," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2019/03, Nov.

2018

  1. Ari, A. & Corsetti, G. & Dedola, L., 2018, "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1831, May.
  2. Ari, Anil, 2018, "Gambling traps," Working Paper Series, European Central Bank, number 2217, Dec.
  3. Mr. Itai Agur & Maria Soledad Martinez Peria & Mr. Anil Ari & Mr. John Kiff & Ms. Adina Popescu & Ms. Celine Rochon & Mr. Tommaso Mancini-Griffoli, 2018, "Casting Light on Central Bank Digital Currencies," IMF Staff Discussion Notes, International Monetary Fund, number 2018/008, Nov.
  4. Adam Richardson & Thomas van Florenstein Mulder & Tugrul Vehbi, 2018, "Nowcasting New Zealand GDP Using Machine Learning Algorithms," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-47, Sep.
  5. 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, Reserve Bank of New Zealand, number AN2018/01, Jan.

2017

  1. Mr. Anil Ari & Matthieu Darracq-Paries & Christoffer Kok, 2017, "Shadow Banking and Market Discipline on Traditional Banks," IMF Working Papers, International Monetary Fund, number 2017/285, Dec.
  2. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2017, "Uncertainty Shocks in a Model of Effective Demand: Comment," Working Papers, Federal Reserve Bank of Dallas, number 1706, May, DOI: 10.24149/wp1706.

2016

  1. Ari, A., 2016, "Sovereign Risk and Bank Risk-Taking," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1665, Nov.
  2. Ari, Anil & Darracq Pariès, Matthieu & Kok, Christoffer & Żochowski, Dawid, 2016, "When shadows grow longer: shadow banking with endogenous entry," Working Paper Series, European Central Bank, number 1943, Aug.
  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, Society for Economic Dynamics, number 595.
  4. Gunes Kamber & Ozer Karagedikli & Michael Ryan & Tugrul Vehbi, 2016, "International Spill-Overs of Uncertainty Shocks: Evidence from a FAVAR," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-61, Oct.
  5. Tugrul Vehbi, 2016, "The macroeconomic impact of the age composition of migration," Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand, number AN2016/03, Apr.

2014

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

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, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-04, Feb.
  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, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-73, Nov.
  3. Denise R Osborn & Tugrul Vehbi, 2013, "Empirical Evidence on Growth Spillovers from China to New Zealand," Treasury Working Paper Series, New Zealand Treasury, number 13/17, Jul.

2012

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

Journal articles

2023

  1. de Groot, Oliver & Haas, Alexander, 2023, "The signalling channel of negative interest rates," Journal of Monetary Economics, Elsevier, volume 138, issue C, pages 87-103, DOI: 10.1016/j.jmoneco.2023.05.011.

2022

  1. Agur, Itai & Ari, Anil & Dell’Ariccia, Giovanni, 2022, "Designing central bank digital currencies," Journal of Monetary Economics, Elsevier, volume 125, issue C, pages 62-79, DOI: 10.1016/j.jmoneco.2021.05.002.
  2. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022, "Valuation risk revalued," Quantitative Economics, Econometric Society, volume 13, issue 2, pages 723-759, May, DOI: 10.3982/QE1779.

2021

  1. 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, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106140.
  2. Oliver de Groot, 2021, "A Financial Accelerator through Coordination Failure," The Economic Journal, Royal Economic Society, volume 131, issue 636, pages 1620-1642.
  3. Richardson, Adam & van Florenstein Mulder, Thomas & Vehbi, Tuğrul, 2021, "Nowcasting GDP using machine-learning algorithms: A real-time assessment," International Journal of Forecasting, Elsevier, volume 37, issue 2, pages 941-948, DOI: 10.1016/j.ijforecast.2020.10.005.

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, volume 21, issue 01, pages 7-12, April.

2019

  1. 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, volume 52, issue 3, pages 344-352, September, DOI: 10.1111/1467-8462.12339.
  2. 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, volume 82, pages 1-14, April.

2018

  1. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018, "Uncertainty Shocks in a Model of Effective Demand: Comment," Econometrica, Econometric Society, volume 86, issue 4, pages 1513-1526, July, DOI: 10.3982/ECTA15405.
  2. 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, volume 51, issue 1, pages 87-98, March, DOI: 10.1111/1467-8462.12255.

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, volume 52, issue PB, pages 945-959, DOI: 10.1016/j.econmod.2015.10.034.

2015

  1. de Groot, Oliver, 2015, "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, volume 52, issue C, pages 308-321, DOI: 10.1016/j.jedc.2015.01.001.
  2. de Groot, Oliver & Holm-Hadulla, Fédéric & Leiner-Killinger, Nadine, 2015, "Cost of borrowing shocks and fiscal adjustment," Journal of International Money and Finance, Elsevier, volume 59, issue C, pages 23-48, DOI: 10.1016/j.jimonfin.2015.09.005.
  3. Dungey, Mardi & Vehbi, Tugrul, 2015, "The influences of international output shocks from the US and China on ASEAN economies," Journal of Asian Economics, Elsevier, volume 39, issue C, pages 59-71, DOI: 10.1016/j.asieco.2015.05.003.
  4. Osborn, Denise R. & Vehbi, Tugrul, 2015, "Growth in China and the US: Effects on a small commodity exporter economy," Economic Modelling, Elsevier, volume 45, issue C, pages 268-277, DOI: 10.1016/j.econmod.2014.10.046.

2014

  1. Oliver de Groot, 2014, "The Risk Channel of Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, volume 10, issue 2, pages 115-160, June.
  2. 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, volume 90, issue 290, pages 345-364, September.

2013

  1. de Groot, Oliver, 2013, "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, volume 120, issue 3, pages 566-569, DOI: 10.1016/j.econlet.2013.06.025.

Chapters

2019

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

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