Kleopatra Nikolaou

Division
Current Position: Economist
Fields of interest: Financial Economics,Macroeconomics and Monetary Economics,International Economics
Email: Kleopatra.Nikolaou@ecb.int

Biography

Other current responsibilities: 2017-2020
Advisor to the ECB Permanent Representative in the IMF, USA
Education: 2003-2007
PhD in International Finance, Warwick Business School, UK; 2001-2002
MSc in Economics and Finance, Warwick Business School, UK; 1996-2000
BSc in European and International Economics, Athens University of Economics and Business, Greece
Professional experience: 2016-2017
Acting Section Chief, Short-term funding markets, Division of Research and Statistics, Federal Reserve Board of Governors, USA; 2013-2016
Senior / Principal Economist, Short-term funding markets, Division of Research and Statistics, Federal Reserve Board of Governors, USA; 2008-2013
Economist, Monetary Policy Stance Division, Directorate General Economics, ECB, Germany; 2006-2008
Graduate Program Participant, ECB, Germany; 2002-2003
Junior Economist, 4CAST LtD, London, UK
Awards: 2004
PhD Scholarship - Warwick Business School, British Economic and Social Research Council (ESRC), UK; 2003
PhD Scholarship - Warwick Business School, British Economic and Social Research Council (ESRC), UK; 1996
Scholarship - National Foundation of Scholarships (IKY), Greece
Teaching experience: 2006-2007
Teaching assistant: Research Techniques, University of Warwick, UK; 2005-2006
Teaching assistant for Advanced Econometric, University of Warwick, UK

ECB publications

17 August 2006

WORKING PAPER SERIES - No. 667

Abstract: We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile auto-regression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different magnitudes of shocks that hit the real exchange rate, conditional on its past history, and can detect asymmetric, dynamic adjustment of the real exchange rate towards its long run equilibrium. Our results suggest that large shocks tend to induce strong mean reverting tendencies in the exchange rate, with half lives less than one year in the extreme quantiles. Mean reversion is faster when large shocks originate at points of large real exchange rate deviations from the long run equilibrium. However, in the absence of shocks no mean reversion is observed. Finally, we report asymmetries in the dynamic adjustment of the RER.
JEL Code: F31 : International Economics→International Finance→Foreign Exchange

19 February 2009

WORKING PAPER SERIES - No. 1008

Abstract: We discuss the notion of liquidity and liquidity risk within the financial system. We distinguish between three different liquidity types, central bank liquidity, funding and market liquidity and their relevant risks. In order to understand the workings of financial system liquidity, as well as the role of the central bank, we bring together relevant literature from different areas and review liquidity linkages among these three types in normal and turbulent times. We stress that the root of liquidity risk lies in information asymmetries and the existence of incomplete markets. The role of central bank liquidity can be important in managing a liquidity crisis, yet it is not a panacea. It can act as an immediate but temporary buffer to liquidity shocks, thereby allowing time for supervision and regulation to confront the causes of liquidity risk.
JEL Code: G10 : Financial Economics→General Financial Markets→General
G20 : Financial Economics→Financial Institutions and Services→General

6 March 2009

WORKING PAPER SERIES - No. 1024

Abstract: In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions conducted at the ECB between June 2005 and December 2007. We find that our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent turmoil. We are also able to document downward spirals between funding liquidity risk and market liquidity.
JEL Code: E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages

28 April 2009

WORKING PAPER SERIES - No. 1044

Abstract: This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology is based on dynamic factor models, the EM algorithm and the Kalman filter. The domestic model is compared vis-á-vis an international one, where information from foreign yield curves is allowed to enrich the information set of the domestic yield curve. The results have interesting and original implications. They reveal clear international dependency patterns, strong enough to improve forecasts of Germany and to a lesser extent UK. The US yield curve exhibits a more independent behaviour. In this way, the paper also generalizes anecdotal evidence on international interest rate linkages to the whole yield curve.
JEL Code: F31 : International Economics→International Finance→Foreign Exchange

External publications

2013

Journal of Banking and Finance