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

Papers by Ali Kutan

Research paper thumbnail of Opposites attract: The case of Greek and Turkish financial markets

Research paper thumbnail of The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data

Journal of Financial Stability, 2009

Research paper thumbnail of Sources of inflation and output fluctuations in Poland and Hungary: Implications for full membership in the European Union

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

Research paper thumbnail of Sources of real and nominal exchange rate fluctuations in transition economies

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

Research paper thumbnail of The evolution of monetary policy in transition economies

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

Research paper thumbnail of Regional effects of terrorism on tourism: Evidence from three Mediterranean countries

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

Research paper thumbnail of IMF programs, financial and real sector performance, and the Asian crisis

Research paper thumbnail of Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates

Research paper thumbnail of Implications of bank ownership for the credit channel of monetary policy transmission: Evidence from India

Research paper thumbnail of Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea

Research paper thumbnail of Dynamics of foreign currency lending in Turkey

Research paper thumbnail of The End of Moderate Inflation in Three Transition Economies?

SSRN Electronic Journal, 2000

Research paper thumbnail of Information Flows Within and Across Sectors in China's Emerging Stock Markets

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

Research paper thumbnail of Evolution of Monetary Policy in Transition Economies

ICPSR Data Holdings, 2000

Research paper thumbnail of Black and Official Market Exchange Rates and Purchasing Power Parity: More Evidence from Non-Linear STAR Tests

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

Research paper thumbnail of Black and official market exchange rates and purchasing power parity: evidence from Latin America

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

Research paper thumbnail of Towards solving the PPP puzzle: evidence from 113 countries

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

Research paper thumbnail of Is public information really irrelevant in explaining asset returns?

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.

Research paper thumbnail of Convergence of Candidate Countries to the European Union

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.

Research paper thumbnail of Fiscal convergence in the European Union

The North American Journal of Economics and Finance, 2008

Research paper thumbnail of Opposites attract: The case of Greek and Turkish financial markets

Research paper thumbnail of The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data

Journal of Financial Stability, 2009

Research paper thumbnail of Sources of inflation and output fluctuations in Poland and Hungary: Implications for full membership in the European Union

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

Research paper thumbnail of Sources of real and nominal exchange rate fluctuations in transition economies

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

Research paper thumbnail of The evolution of monetary policy in transition economies

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

Research paper thumbnail of Regional effects of terrorism on tourism: Evidence from three Mediterranean countries

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

Research paper thumbnail of IMF programs, financial and real sector performance, and the Asian crisis

Research paper thumbnail of Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates

Research paper thumbnail of Implications of bank ownership for the credit channel of monetary policy transmission: Evidence from India

Research paper thumbnail of Impact of IMF-related news on capital markets: Further evidence from bond spreads in Indonesia and Korea

Research paper thumbnail of Dynamics of foreign currency lending in Turkey

Research paper thumbnail of The End of Moderate Inflation in Three Transition Economies?

SSRN Electronic Journal, 2000

Research paper thumbnail of Information Flows Within and Across Sectors in China's Emerging Stock Markets

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

Research paper thumbnail of Evolution of Monetary Policy in Transition Economies

ICPSR Data Holdings, 2000

Research paper thumbnail of Black and Official Market Exchange Rates and Purchasing Power Parity: More Evidence from Non-Linear STAR Tests

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

Research paper thumbnail of Black and official market exchange rates and purchasing power parity: evidence from Latin America

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

Research paper thumbnail of Towards solving the PPP puzzle: evidence from 113 countries

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

Research paper thumbnail of Is public information really irrelevant in explaining asset returns?

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.

Research paper thumbnail of Convergence of Candidate Countries to the European Union

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.

Research paper thumbnail of Fiscal convergence in the European Union

The North American Journal of Economics and Finance, 2008