Kılıç, Erdem

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Profile URL
https://hdl.handle.net/20.500.11779/2761
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Email Address
kilice@mef.edu.tr
Main Affiliation
04.01. Department of Economics
Status
Former Staff
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ORCID ID
0000-0003-1917-2227
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Turkish CoHE Profile ID
Google Scholar ID
WoS Researcher ID
JBS-4046-2023

Sustainable Development Goals

2

ZERO HUNGER
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0

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16

PEACE, JUSTICE AND STRONG INSTITUTIONS
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0

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1

NO POVERTY
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1

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11

SUSTAINABLE CITIES AND COMMUNITIES
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1

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7

AFFORDABLE AND CLEAN ENERGY
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10

REDUCED INEQUALITIES
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2

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3

GOOD HEALTH AND WELL-BEING
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6

CLEAN WATER AND SANITATION
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9

INDUSTRY, INNOVATION AND INFRASTRUCTURE
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12

RESPONSIBLE CONSUMPTION AND PRODUCTION
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5

GENDER EQUALITY
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14

LIFE BELOW WATER
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0

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13

CLIMATE ACTION
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15

LIFE ON LAND
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8

DECENT WORK AND ECONOMIC GROWTH
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17

PARTNERSHIPS FOR THE GOALS
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4

QUALITY EDUCATION
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This researcher does not have a Scopus ID.
Documents

7

Citations

52

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Scholarly Output

15

Articles

8

Views / Downloads

3353/1794

Supervised MSc Theses

0

Supervised PhD Theses

0

WoS Citation Count

70

Scopus Citation Count

75

WoS h-index

5

Scopus h-index

5

Patents

0

Projects

0

WoS Citations per Publication

4.67

Scopus Citations per Publication

5.00

Open Access Source

5

Supervised Theses

0

JournalCount
AEA Annual Meeting 2019 - ASSA - American Economic Associtation, Atlanta1
Annals of Financial Economics1
Applied Economics1
Central European Journal of Operations Research1
Economic Modelling1
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Now showing 1 - 10 of 15
  • Thumbnail Image
    Conference Object
    Citation - WoS: 9
    Citation - Scopus: 11
    A Value-Adding Approach To Reliability Under Preventive Maintenance Costs and Its Applications
    (2014) Dubey, Rameshwar; Kılıç, Erdem; Ali, Sadia Samar; Weber, Gerhard Wilhelm
    No equipment (system) can be perfectly reliable in spite of the utmost care and best efforts on the part of the designer, decision-maker and manufacturer. The two sides of maintenance are corrective and preventive maintenance. It is generally assumed that a preventive maintenance action is less costly than a repair maintenance action. We examine this proposition in detail on the basis of a failure-time model that relates conformance quality to reliability. Illustratively, we present reliability in the context of contracts with asymmetric information. The model shows how to overcome information rents through price distortions and quantity rationing. The paper ends with a conclusion and an outlook to future studies.
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    Article
    Citation - WoS: 5
    Citation - Scopus: 5
    Evidence for Financial Contagion in Endogenous Volatile Periods
    (Wiley, 2015) Ulusoy, Veysel; Kılıç, Erdem
    The objective of this study is to analyze cross-border contagious dynamics in both foreign exchange markets and stock exchange markets. Propagation is analyzed with respect to the transmission of excessive volatility that is endogenously determined. The contagion process is discussed in the context of financial systems, foreign direct investments and trade. Implementing a vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity (VAR-MGARCH) model, we show that country-specific turbulence in financial markets is able to create unanticipated financial contagion across countries. Diversified trade and financial relations decrease the risk of exposure to contagion from external markets. The world's largest economies, however, play a price-setter role, and diversification is of secondary importance. Asymmetric transmission of the empirically predicted contagion prevails in the latter case.
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    Book Part
    Monetary Coordination and Regulation Policies of Spillover Effects on Asset Dynamics
    (Springer, 2016) Kılıç, Erdem
    In this study we propose a model for excessive volatility regulation. The model dealswith the control of shocks in capital markets. After describing a transmission mechanism thattransfers shocks in a macroeconomic variable, we establish a model how to control the shocks inthe framework. Two economies are considered with alternative constellations in coordination ofpolicies. Spillover effects under coordination are less severe, than the spillover effects under Nashequilibrium in the case of comovements of asset volatilities. In other terms, coordination helps tocure the contagious effects, in the case, where two countries are affected by the same spillovereffect in the same direction.
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    Article
    Citation - WoS: 18
    Citation - Scopus: 20
    Consumer Confidence and Economic Activity: a Factor Augmented Var Approach
    (Taylor & Francis, 2016) Kılıç, Erdem; Çankaya, Serkan
    This study aims to analyse the effects of the consumer confidence on economic activity for the USmarket. We use the empirical factor-augmented vector autoregression (FAVAR) method, whichenables us to incorporate a wide range of economic activity factors into the analysis. Theconsumer confidence index (CCI) is chosen as the principal variable that is presumed to representthe degree of optimism on the state of economic activity. The results show that consumerconfidence and economic activity are strongly correlated for manufacturing-related factors,such as industrial production and inventories. We also observe strong relation among CCI andpersonal consumption expenditures, as well as housing market variables.
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    Book Part
    Fiyat Hareketleri
    (Astana Yayınları, 2021) Kılıç, Erdem
    Bir piyasa ekonomisinde fiyat kavramı büyük bir öneme sahiptir. Piyasada mevcut olan bütün mal ve hizmetler fiyatları ile değerlendirilip işlem görmektelerdir. Belirlenmiş olan fiyata göre alım satım miktarı gerçekleşmektedir. Serbest piyasa ekonomisinde, fiyat düzeyi bir gösterge olarak üretim maliyetini,arz-talep dengesini, piyasadaki üretim miktarını ve spekülatif eğilimleri yansıtır. Piyasalardaki arz ve talep arasındaki koordinasyonu sağlayan unsur fiyat mekanizmasıdır. Adam Smith’in tabiri ile piyasalar ‘görünmez bir el tarafından’ yönlendirilmektedir. Bu görünmez elin işlevselliği fiyat mekanizmasının ne ölçüde etkin çalıştığı ile ölçülebilir.
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    Conference Object
    Contagion Effects in Forward and Spot Foreign Exchange Markets
    (2017) Kılıç, Erdem
    Contagion effects in the Forex Markets are estimated by the help of a bivariate Hawkes diffusion model. Contagion occurs in most cases beyond volatility. n this regard, asymmetry in these expectations is involved. The asymmetry depends on each currency pair. Internal market dynamics, as well as the transmission of country-specific dynamics are important features in determining the exact impact of the asymmetry on the evolution of these parameters.
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    Article
    Citation - WoS: 5
    Fuzzy Optimization for Portfolio Selection Based on Embedding Theorem in Fuzzy Normed Linear Spaces
    (De Gruyter, 2014) Solatikia, Farnaz; Kılıç, Erdem; Weber, Gerhard-Wilhelm
    In this paper, we propose a novel approach Embedding Theoremabout Menger probabilistic normed Spaces. The main idea behind ourapproach consists of taking advantage of interplays between Mengerprobabilistic normed spaces and normed spaces in a way to get anequivalent stochastic program. This helps avoiding pitfalls due to severe over simplification of the reality. The embedding theorem showsthat the set of all fuzzy numbers can be embedded into a Mengerprobabilistic Banach space. Inspired by this embedding theorem, wepropose a solution concept of fuzzy optimization problem which isobtained by applying the embedding function to the original fuzzyoptimization problem.
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    Article
    X-Capm Revisited: the Institutional Extrapolative Capital Asset Pricing Model (i-X
    (Eurasian Publications, 2018) Son Turan, Semen; Kılıç, Erdem
    This study constructs and tests a consumption-based asset pricing model in which someinvestors form beliefs about future price changes in the stock market by extrapolating past pricechanges, while other investors hold fully rational beliefs. The contribution of the present work isthe inclusion of institutional investor bias. As such it extends theory. But it also conductseconometric tests by using daily survey data on individual and institutional investors’ sentimenton the current economic situation and their future expectations. Empirical findings may implythat institutions’ sentiment reverts quicker to the equilibrium price than individual sentiment, atleast with regard to their beliefs on future economic outlook. If studied further with a biggerdataset, it may imply that institutional investors are closer to the rational-decision makingmechanism compared to individual investors. The theoretical framework rests on prospecttheory. The market studied is the US equity market, however findings and suggestions can beapplied to global markets and various financial instruments.
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    Article
    Citation - WoS: 17
    Citation - Scopus: 19
    Oil Prices and Economic Activity in Brics and G7 Countries
    (Springer, 2019) Kılıç, Erdem; Çankaya, Serkan
    The effect of oil prices on countries’ economic activity has been the center of attention for decades. The empirical link between oil prices and economic activity has been steadily investigated during this time period but the measured outcomes have revealed mixed results and been inconsistent. This study examines the effect of oil prices on economic activity for Brazil, Russia, India, China, and South Africa (BRICS) and Group of Seven (G7) countries in both short-run and long-run relationships by estimating a maximum likelihood structural vector autoregression model. The model shows that a positive shock to oil prices tends to affect the monetary aggregate in Brazil, Canada, France, Germany, and Russia. The effect on interest rate spread is most significant in India and Russia. Impulse response functions display almost no effect on the gross domestic product in the US and China. A positive response on the consumer price index is observed mostly for developed countries. The response of real exchange rate reveals a positive effect on all countries in varying degrees, with the exception of the US and South Africa. Finally, Granger causality tests were conducted with proper allowance for the non-stationarity of the data. The findings illustrate that the Russian economy is among the economies that are most significantly affected by oil price fluctuations for almost all the selected variables. The models also reveal that the effect of oil price shocks on the US’s and China’s economic activities is only limited to the effect on real exchange rates. Other variables show no or limited reactions to oil prices. We also used the Markov switching maximum likelihood vector autoregression models, which reveals similar results.
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    Article
    Citation - WoS: 6
    Citation - Scopus: 8
    Arbitrageur Behavior in Sentiment-Driven Asset-Pricing
    (World Scientific Publishing, 2021) Kılıç, Erdem; Oğuzhan, Göksel
    This study aims to model arbitrageur behavior in a sentiment-driven capital asset-pricing model under the premise of reflecting a more detailed decomposition of investor types in the equity markets. We explore the behavior and the impact of arbitrageur behavior, particularly, on pricing and on key financial ratios. We observe that the prevalence of the arbitrageur counteracts the effects of unsophisticated investors, resulting in a lower volatility of the price–dividend ratio, lower predictive power of changes in consumption for future price changes and lower equity premium. Thus, the results of our research allow us to conjecture that the extrapolation bias in the prices is lowered.