Bank Runs in Emerging-Market Economies: Evidence from Turkey's Special Finance Houses

Recent banking crises in emerging-market countries have renewed debates about deposit insurance. Because insurance erodes banks' incentives to manage risks prudently, some argue that its elimination would improve bank stability. Yet eliminating insurance could be destabilizing if it recreates risks of self-fulfilling runs. This paper examines dynamics of depositor behavior during a set of runs on Turkey's Special Finance Houses, an uninsured sub-sector of Islamic banks. Detailed data on withdrawals are analyzed in a vector autoregressive framework that enables us to distinguish between informational and self-fulfilling elements of runs. We found that both types of dynamics were at work during the runs, suggesting a role for deposit insurance, judiciously used, in ruling out expectational problems that fuel tendencies to run.     

The impact of business group affiliation on stock price informativeness: Evidence from an emerging market

This paper examines the relationship between business group affiliation and stock price informativeness in an emerging market setting. We use stock price synchronicity as a measure, and study the impact of group affiliation ‐specifically the extent of affiliation, ownership structure and existence of group bank‐ on firm specific information content. Results reveal that the amount of firm‐specific information capitalized into stock prices tends to be lower (higher) when the firm is group‐affiliated (unaffiliated), indirectly (directly) owned, and affiliated group has (does not have) a group bank. Additionally, the extent of group affiliation maintains a non‐linear relationship with synchronicity, suggesting that the perception of higher versus lower levels of group ownership differs.     

Momentum or market? Determinants of large stock price changes in an emerging market

The aim of this study is to investigate the determinants of large price changes in Turkey. We also provide additional evidence on determinants of large price changes in different macroeconomic environments, specifically on the pre-crisis and post-crisis periods. Using recurrent event analysis with stratified observations and frailty effects, our findings suggest that momentum has a significant impact on large price changes during both pre-crisis and post-crisis periods. However, the impact of market is more significant on the estimation of large price declines in the pre-crisis period and of large price increases in the post-crisis period. Additional findings suggest that liquidity and market-to-book ratio have positive, firm size has a negative impact on likelihood of large price changes regardless of the direction of the stock price change and macroeconomic environment. Findings of this study provide new insights into the understanding of large price changes in an emerging market.     

Inflation and output in the long and short run in Turkey

This paper firstly discusses the impact of inflation on real output in different theoretical models and then investigates this impact empirically in an economy facing persistent high inflation. We find some evidence of Sidrauski’s (Am Econ Rev 57:534–544, 1967) superneutrality of money for Turkey in the long run. However, it seems that inflation affects real output negatively in the short run. These results are more compatible with a class of utility functions in which real money balances and consumption are perfect complements as Asako (Econometrica 51(5):1593–1596, 1983) elucidates.     

Joint and interactive effects of trust and (inter) dependence on relational behaviors in long-term channel dyads

The authors investigate the effects of trust on the relational behaviors of firms in long-term channel dyads across different interdependence structures. Based on the long-term nature of the empirical setting, trust is posited to exert a positive effect on the emergence of relational behaviors in all interdependence conditions. This positive effect of trust is hypothesized to be stronger in highly and symmetrically interdependent channel dyads than in low-interdependence-type symmetric dyads. In addition, for both relatively more dependent and relatively less dependent members of asymmetric dyads, the effect size of trust is hypothesized to increase as the perceived level of interdependence asymmetry increases. Data collected from automobile dealers in Turkey reveal that trust in the supplier has the strongest positive effect on the relational behaviors of dealers in asymmetric dealer-supplier dyads that perceive themselves relatively less dependent than their suppliers. For relatively more dependent dealers, trust is found to exert a modest positive effect. In symmetrically interdependent dealer-supplier dyads, trust exerts a modest positive effect on dealer relational behaviors in the low mutual dependence condition, and this effect size reduces to the point of nonsignificance in the high mutual dependence condition. Theoretical and managerial implications of these findings are discussed.     

Regulating a model

We study a situation in which a regulator relies on risk models that banks produce in order to regulate them. A bank can generate more than one model and choose which models to reveal to the regulator. The regulator can find out the other models by monitoring the bank, but in equilibrium, monitoring induces the bank to produce less information. We show that a high level of monitoring is desirable when the bank’s private gain from producing more information is either sufficiently high or sufficiently low. When public models are more precise, banks produce more information, but the regulator may end up monitoring more.     

Financial and corporate social performance in the UK listed firms: the relevance of non-linearity and lag effects

Using environmental, social and governance scores compiled by Reuters Datastream for each company’s corporate social performance (CSP), we examine the relationship between CSP and corporate financial performance (CFP) of 314 UK listed companies over the period 2002–2015. We further evaluate the relationship between prior and subsequent CFP and prior and subsequent CSP. Based on the system-GMM estimation method, we provide direct evidence that suggests that while CFP and CSP can be linked linearly; however, when we examine the impact of CSP on CFP, the association is more non-linear (cubic) than linear. Our results suggest that firms periodically adjust their level of commitment to society, in order to meet their target CSP. The primary contributions of this paper are testing (1) the non-monotonous relationship between CSP and CFP, (2) the lagged relationship between the two and the optimality of CSP levels, and (3) the presence of a virtuous circle. Our results further suggest that CSP contributes to CFP better during post-crisis years. Our findings are robust to year-on-year changes in CFP and CSP, financial versus non-financial firms, and the intensity of corporate social responsibility (CSR) engagement across industries.

     

Better to give than to receive: Predictive directional measurement of volatility spillovers

Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we propose measures of both the total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010. We show that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillovers were quite limited until the global financial crisis, which began in 2007. As the crisis intensified, so too did the volatility spillovers, with particularly important spillovers from the stock market to other markets taking place after the collapse of the Lehman Brothers in September 2008.     

Public housing units vs. housing vouchers: Accessibility,local public goods,and welfare

We develop a general equilibrium model of residential choice and study the effects of two housing aid policies, public housing units and housing vouchers. Land is differentiated by both residential accessibility and local public goods, and the provision levels of local public goods are determined by property tax revenues and neighborhood compositions. Households differ in their incomes and preferences for local public goods. Housing aid policies are financed by general income taxes. We discuss how the location of public housing units is a fundamental policy variable, in addition to the numbers and sizes of units, and argue that vouchers not only cause less distortion for social welfare compared to public housing, but may also improve overall welfare.     

The impacts of perceived organizational prestige and organization identification on turnover intention: the mediating effect of psychological empowerment

This study examined the attitudes of workers employed at hotels in Turkey. An integrated model was developed to highlight the relationship between organizational prestige and organizational identification with turnover intention as mediated through psychological empowerment. Using a sample of 332 employees, structural equation modelling was conducted to establish this relationship by analysing the responses of employees of hotels in Turkey. The findings of the study reveal a strong relationship between organizational identification/organizational prestige and hotel employees’ turnover intention. The study discusses the implications of the presented findings and suggests potential practical applications.