Ali Kutan | Southern Illinois University Edwardsville (original) (raw)

Papers by Ali Kutan

Journal of Financial Stability, 2009

ISBN 978-80-7343-149-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-149-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-138-8 (Národohospodářský ústav AV ČR, v.v.i.)

SSRN Electronic Journal, 2001

This paper examines the sources of fluctuations in inflation and output in two leading transition... more This paper examines the sources of fluctuations in inflation and output in two leading transitioneconomy candidates for admission to the European Union (EU), Poland and Hungary. Using a rational expectations, dynamic open economy aggregate supply- aggregate demand model, we consider real oil price, supply, balance of payments, demand, and monetary disturbances incorporating important features of transition economies such as balance

This paper provides an empirical inquiry into the sources of movements of the real and nominal ex... more This paper provides an empirical inquiry into the sources of movements of the real and nominal exchange rates in Hungary and Poland for during the 1990:01-1998:02 period. We decompose the exchange rate movements into those attributable to real and nominal shocks, we find that (1) nominal shocks have played a significant role in Poland, but not in Hungary, in explaining

The last decade of the 20th century brought about many economic and financial changes in the econ... more The last decade of the 20th century brought about many economic and financial changes in the economies of the former communist countries. This paper provides an overview of the developments that took place in the areas of financial markets and institutions and monetary policy in three of the most advanced transition economies, namely, the Czech Republic, Hungary and Poland. After

A consumer-choice model developed by Enders, Sandler and Parise (1992) is utilized to study the r... more A consumer-choice model developed by Enders, Sandler and Parise (1992) is utilized to study the regional effects of terrorism on competitors’ market shares in tourism sector where involved countries enjoy significant tourism activities but are subject to high frequency of terrorist attacks. The theoretical model is tested for three Mediterranean countries, namely Greece, Israel, and Turkey, for the period from

Some recent time series studies testing the stationarity of real exchange rates (RERs) produce co... more Some recent time series studies testing the stationarity of real exchange rates (RERs) produce conflicting results. Using nonlinear unit root tests and recursive analysis, this paper tests whether the evidence on the stationarity of RERs is sensitive to different numeraire currencies, different sample periods covering regional and global crises, and the inclusion of countries with different levels of economic or regional integration. The results indicate that evidence for a stationary RER could be substantially sensitive to sample period changes, but not so for the currencies of the countries involved in forming the euro area. We also find that financial crises have a notable impact on testing the stationarity of RERs, depending on the numeraire currency used. We discuss the policy implications of the findings.

Many developing and emerging markets have high degrees of state bank ownership. In addition, the ... more Many developing and emerging markets have high degrees of state bank ownership. In addition, the recent global financial crisis has led to significant state ownership of banking assets in developed countries such as the United Kingdom. These observations beg the question of whether the effectiveness of monetary policy through a lending channel differs across banks with different ownerships. In this paper, using bank-level data from India, we examine this issue and also test whether the reaction of different types of banks (i.e., private, state and foreign) to monetary policy changes is different in easy and tight policy regimes. Our results suggest that there are considerable differences in the reactions of different types of banks to monetary policy initiatives of the central bank and the bank lending channel of monetary policy might be much more effective in a tight money period than in an easy money period. We also find differences in impact of monetary policy changes on less risky short term and more risky medium term lending We discuss the policy implications of the findings. Our results from India are preliminary and further studies are needed to see whether our findings can be generalized to emerging economies or developing countries in general.

The IMF's effects on private capital markets have attracted increasing attention in the literatur... more The IMF's effects on private capital markets have attracted increasing attention in the literature. This paper examines whether IMF-related news during the Asian crisis contains information regarding the changes in sovereign bond spreads of Indonesia and Korea. Our results indicate that other countries' IMF-related news increases these countries' bond spreads. Both in Indonesia and Korea, the countries' own news associated with program negotiations and approval decreases bond spreads. With respect to the interpretations of the impact of IMF news on private capital markets, we show that the current interpretations vary and identify this issue as an important future research agenda.

On June 16 2009, in what authorities called "a surprise development" the Turkish Government remov... more On June 16 2009, in what authorities called "a surprise development" the Turkish Government removed a provision from its existing laws that had allowed Turkish residents to borrow in foreign currency from banks operating in Turkey. The development ended a long era of foreign currency lending in Turkey at least in the sense of consumer loans. This paper studies the determinants and consequences of foreign currency lending for banks in Turkey in the run-up to this significant policy change. Our analysis uses detailed foreign and Turkish currency composition bank data for 21 commercial banks in Turkey between 2002 and 2010. We evaluate drivers of saving and lending in foreign currency(FX) in Turkey along with consequences for the banking system in particular and for the economy in general. We highlight possible risks to the Turkish banking system as a result of system's heavy exposure to both channels. In doing so, we show that the policy change was not necessarily a surprise but a cautionary step in the right direction to help keep Turkish banking system stable.

SSRN Electronic Journal, 2000

This paper examines the ending of moderate rates of inflation in three transition economies, the ... more This paper examines the ending of moderate rates of inflation in three transition economies, the Czech Republic, Hungary and Poland at the end of 1998. We argue that the institutions for the conduct of monetary policy in these countries were relatively weak and that monetary policy was unsupported by fiscal policy and hampered by multiple objectives. Using a VAR model of inflation, we show that, under a variety of assumptions, foreign prices and the persistence of inflation are the key determinants of inflation in these countries. From this finding we conclude that the end of moderate inflation in the Czech Republic, Hungary and Poland was largely due to the decline in import prices in the second half of 1998, and thus it may be a temporary phenomenon.

We examine the patterns of information flows within and across sectors of the two Chinese stock e... more We examine the patterns of information flows within and across sectors of the two Chinese stock exchanges in Shanghai and Shenzhen, using daily data during 1994 - 2001. Using the generalized forecast error variance decomposition, we find a high degree of interdependence, indicating that the sectors are highly integrated and sector prices reflect information from other sectors. Industry is the

ICPSR Data Holdings, 2000

A group of studies have shown that in less developed countries, purchasing power parity (PPP) the... more A group of studies have shown that in less developed countries, purchasing power parity (PPP) theory is supported more often when the black market exchange rates rather than official rates are used in the testing procedure. They have all relied upon linear ADF test applied either to the residuals of a cointegrating vector or to real exchange rates. In this

Applied Economics Letters, 2010

A group of studies have shown that in less developed countries, Purchasing Power Parity (PPP) the... more A group of studies have shown that in less developed countries, Purchasing Power Parity (PPP) theory is supported more often when black market exchange rates rather than official rates are used in the testing procedure. They have all relied upon linear Augmented Dickey–Fuller (ADF) test applied either to the residuals of a cointegrating vector or to real exchange rates. In

Applied Economics, 2009

Several different approaches have been followed by researchers to test the validity of Purchasing... more Several different approaches have been followed by researchers to test the validity of Purchasing Power Parity (PPP). Since the introduction of the unit-root tests, researchers have applied a battery of these tests to determine whether the real exchange rates are stationary. If the answer is in the affirmative, PPP is validated. While application of the standard augmented Dickey–Fuller test has

Economics Letters - ECON LETT, 2002

Using aggregated data on macroeconomic announcements may disguise the effect of public informatio... more Using aggregated data on macroeconomic announcements may disguise the effect of public information on asset returns. We use a disaggregated procedure that captures the impact of each announcement on Nikkei returns and find that public information does affect the market.

Ten European Union (EU) candidate countries are scheduled to join the Union by 2004. A key requir... more Ten European Union (EU) candidate countries are scheduled to join the Union by 2004. A key requirement to join the Economic and Monetary Union is real and financial convergence to EU standards. Using recent panel unit root techniques, we find strong evidence of price level convergence, but not real convergence. Thus, an early peg to the Euro and a quick adoption of the Euro as a national currency is feasible for the candidates, but the benefits of joining the Euro zone are as yet limited.

The North American Journal of Economics and Finance, 2008

We empirically examine the fiscal convergence of the recent ten European Union (EU) members using... more We empirically examine the fiscal convergence of the recent ten European Union (EU) members using the Maastricht fiscal convergence criteria. We test for absolute beta and sigma convergence of the new members in comparison to the Maastricht benchmarks as well as the EU15 figures, utilizing methodologies that allow for structural breaks. The results show poor fiscal performance in the European Union in general, suggesting that monetary unions do not necessarily encourage fiscal convergence for its members.