In this paper we provide an investigation on the potential benefits that may exist for portfolio managers, private and institutional investors from domestic portfolio diversification. We employ daily data for the period 1996-2002 from the... more
In this paper we provide an investigation on the potential benefits that may exist for portfolio managers, private and institutional investors from domestic portfolio diversification. We employ daily data for the period 1996-2002 from the Cyprus Stock Exchange, recently ...
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In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are... more
In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and what the degree of correlation across these markets is. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that two or three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crises as well as over the 2007-2009 financial turmoil, while there is a transition to the low volatility regime as they approach the accession to the EU in 2004. It is also shown that the capital flows liberalizatio...
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... The Dornbusch's (1976) sticky price model accords, in the long run, with the implications of the monetary approach but has Keynesian features in the short-run (Dornbusch's model assumes β5 < 0 and β6 > 0). Different... more
... The Dornbusch's (1976) sticky price model accords, in the long run, with the implications of the monetary approach but has Keynesian features in the short-run (Dornbusch's model assumes β5 < 0 and β6 > 0). Different signs of the coefficients in equation (1) will also be ...
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Research Interests: Forecasting, European Union, Stability, Applied Economics, Identification, and 14 moreRandom Walk, Multivariate Time Series, Money and Finance, Statistical Significance, Exchange rate, Purchasing Power Parity, Boolean Satisfiability, Linear Equations, Exchange Rate Policy, VAR model, Simultaneous equations, Recursive estimation, Monetary Model, and Finance and Investment Banking
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The monetary model of exchange rate determination is tested by means of cointegration analysis for three bilateral drachma exchange rates over the period September 1919 to April 1928. Strong evidence is obtained for the drachma-US dollar... more
The monetary model of exchange rate determination is tested by means of cointegration analysis for three bilateral drachma exchange rates over the period September 1919 to April 1928. Strong evidence is obtained for the drachma-US dollar case of a long-run relationship which is identified with the monetary model. This implies that market fundamentals accounted for the substantial loss of the external value of the drachma over the period under examination. The failure to identify this model in the other two cases, namely, Drachma-pound sterling and Drachma-French franc, is explained by the monetary policy pursued by Greece during that period.
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... Empirical support for the ability of portfolio balance models to explain the determinants of black market premium has been provided by Dornbusch et al. (1983), Phylaktis (1991) and Phylaktis and Manalis (1995) for several developing... more
... Empirical support for the ability of portfolio balance models to explain the determinants of black market premium has been provided by Dornbusch et al. (1983), Phylaktis (1991) and Phylaktis and Manalis (1995) for several developing countries. ...
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ABSTRACT SUMMARY This paper examines the e⁄ects of temporal aggregation on the estimated time series properties of economic data. Theory predicts that temporal aggregation loses information about the underlying data processes. We derive... more
ABSTRACT SUMMARY This paper examines the e⁄ects of temporal aggregation on the estimated time series properties of economic data. Theory predicts that temporal aggregation loses information about the underlying data processes. We derive low frequency, quarterly and annual, models implied by high frequency, monthly, structural vector autoregressive (SVAR) models and we find that these losses in information are substantial. It is shown that the accuracy of both the estimates and the forecasts of this class of models improve substantially when monthly data are used. Moreover, the aggregated data show more long-run persistence than the underlying disaggregated data. ( 1998 John Wiley &amp; Sons, Ltd.
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This paper examines the long-term linkages between seven Central and Eastern European (CEE) emerging stock markets and two developed stock markets, namely the German and the US markets. The stability of the long-run relationships is... more
This paper examines the long-term linkages between seven Central and Eastern European (CEE) emerging stock markets and two developed stock markets, namely the German and the US markets. The stability of the long-run relationships is studied using recursive cointegration analysis. The results reveal that the financial linkages between the CEE markets and the world markets increased with the beginning of
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By Georgios P. Kouretas, Yiannis Papadakis and Leonidas Zarangas; EXCHANGE RATES, INTEREST RATES, BUDGET DEFECITS, MONEY AND CURRENT ACCOUNT INTERRELATIONSHIPS IN GREECE: Evidence from. ...
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... Laura De Nitto (RAI ). Media Education Activities in RAI. Alessia Rosa (University of Turin). MED AND MENS: an Italian project. ... Tweens, Media and Consumption with focus on the 10-12year olds&amp;amp;#x27; use of the Internet.... more
... Laura De Nitto (RAI ). Media Education Activities in RAI. Alessia Rosa (University of Turin). MED AND MENS: an Italian project. ... Tweens, Media and Consumption with focus on the 10-12year olds&amp;amp;#x27; use of the Internet. Rassmussen Jeanette (The Copenhagen Business School). ...
... ANGELOS KANAS and GEORGIOS P. KOURETAS* Department of Economics, Uni6ersity of Crete, Uni6ersity Campus, GR-74100, Rethymno, Greece ... to the managed float was accompanied by the imposition of trade and foreign exchange restrictions... more
... ANGELOS KANAS and GEORGIOS P. KOURETAS* Department of Economics, Uni6ersity of Crete, Uni6ersity Campus, GR-74100, Rethymno, Greece ... to the managed float was accompanied by the imposition of trade and foreign exchange restrictions (Manalis, 1993) so that ...
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This paper examines the Purchasing Power Parity theory from a long-run perspective in the presence of a parallel or 'black' market for US dollars in Greece using monthly data for the recent float. Johansen's FIML... more
This paper examines the Purchasing Power Parity theory from a long-run perspective in the presence of a parallel or 'black' market for US dollars in Greece using monthly data for the recent float. Johansen's FIML multivariate cointegration techniques is applied. Recent development associated with this procedure are considered. First, a formal test developed by Paruolo (1996) for the presence of I(2) and I(1) components in a ultivariate context is applied along with the estimation of the roots of the companion matrix for the correct determination of the cointegration rank. Second, given that two significant cointegration vectors were found, structural restrictions identifying the long-run relations of interest are specified as proposed by Johansen and Juselius (1994) and Johansen (1995b). Thus, the joint structure of PPP and long-run informational market efficiency could not be rejected. Furthermore, estimation of the error correction terms shows that the black market ...
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This paper develops a methodology for appraising projects to be constructed in common by more than one country member of the European Union. In the methodology developed, particular attention is paid in estimating the social cost of... more
This paper develops a methodology for appraising projects to be constructed in common by more than one country member of the European Union. In the methodology developed, particular attention is paid in estimating the social cost of financing of every alternative financial resource employed by intra-European projects and in estimating the country redistribution effect of the project. Finally, the methodology
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ABSTRACT In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply... more
ABSTRACT In this paper we develop a methodology for testing the validity of the expectations theory of the term structure and the uncovered interest parity within the framework provided by cointegration theory. For this purpose, we apply the multivariate cointegration technique suggested by Johansen (1988, 1991) using data on interest rates from the eurodollar and euromark markets with maturity ranging from 7 days to 1 year. First, we were able to find nine statistically significant cointegrating vectors among the system of ten interest rates. Second, given that more than one long-run relationships were found we imposed independent linear and homogeneous restrictions on the system and the joint structure of the expectations theory and the UIP could not be rejected implying that our proposed framework is a valid framework to study the interdependence of monetary policy in an integrated scheme. Finally, with the application of tests for parameter stability in cointegrated models we show that our cointegration results are sample independent and that the estimated coefficients do not suffer from instabilities in recursive estimations.
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... By Georgios P. Kouretas Department of Economics University of Crete University Campus GR-74100 Rethymno Greece ... exchange restrictions (Manalis, 1993) so that the official exchange rate was not purely market-determined but was still... more
... By Georgios P. Kouretas Department of Economics University of Crete University Campus GR-74100 Rethymno Greece ... exchange restrictions (Manalis, 1993) so that the official exchange rate was not purely market-determined but was still rather administratively determined. ...
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This paper presents and critically discusses the origins and causes of the Greek fiscal crisis and its implications for the euro currency as well as the SEE economies. In the aftermath of the 2007-2009 financial crisis the enormous... more
This paper presents and critically discusses the origins and causes of the Greek fiscal crisis and its implications for the euro currency as well as the SEE economies. In the aftermath of the 2007-2009 financial crisis the enormous increase in sovereign debt has emerged as an important negative outcome, since public debt was dramatically increased in an effort by the US and the European governments to reduce the accumulated growth of private debt in the years preceding the recent financial turmoil. Although Greece is the country member of the eurozone that has been in the middle of this ongoing debt crisis, since November 2009 when it was made clear that its budget deficit and mainly its public debt were not sustainable, Greece?s fiscal crisis is not directly linked to the 2007 US subprime mortgage loan market crisis. As a result of this negative downturn the Greek government happily accepted a rescue plan of 110 billion euros designed and financed by the European Union and the IMF....
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Since 1997, the Department of Economics of the University of Crete has organized an annual international conference on macroeconomic analysis and international finance. The articles included in this special issue are refereed versions of... more
Since 1997, the Department of Economics of the University of Crete has organized an annual international conference on macroeconomic analysis and international finance. The articles included in this special issue are refereed versions of papers presented at the 17th International Conference on Macroeconomic Analysis and International Finance held at the University Campus, Rethymno, 30 May–1 June 2013, and submitted toMacroeconomic Dynamicsin an open call for papers. The central theme of this Special Issue isGrowth, Optimal Fiscal and Monetary Policy, and Financial Frictions. The topics discussed in this issue are endogenous growth and public investment and taxation; optimal inflation and fiscal and monetary policy; foreign reserve accumulation and China's exchange rate policy; and liquidity shocks and financial frictions. We begin the Special Issue with an overview of these papers.
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By Georgios P. Kouretas and Athanasios Papadopoulos; Overview of the special issue on crisis and opportunity: Policy evaluation during the global turmoil. ...
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No abstract is available for this item. ... To our knowledge, this item is not available for download. To find whether it is available, there are three options: 1. Check below under "Related research" whether another version of... more
No abstract is available for this item. ... To our knowledge, this item is not available for download. To find whether it is available, there are three options: 1. Check below under "Related research" whether another version of this item is available online. 2. Check on the ...
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ABSTRACT This study examines the proposition that destabilizing speculation caused the overvaluation of the pound sterling in mid-1924 and the depreciation of the franc Poincare in mid-l925, by testing for the existence of long-run... more
ABSTRACT This study examines the proposition that destabilizing speculation caused the overvaluation of the pound sterling in mid-1924 and the depreciation of the franc Poincare in mid-l925, by testing for the existence of long-run purchasing power parity in the 1920s for the dollar sterling, franc sterling and franc dollar exchange rates. Using the Johansen-Juselius multivariate cointegration technique, evidence was found in favour of PPP in all the cases. However, using Hansen-Johansen (1993) tests for parameter constancy in cointegrated VAR models, it was found that the results for the dollar sterling case are very fragile, and this may be interpreted as evidence that destabilizing speculation caused the overvaluation of sterling, while the results for the franc Poincare are rather robust, indicating that it was not deliberately undervalued. Copyright 2000 by Taylor and Francis Group
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ABSTRACT A test is made for the existence of long-run purchasing power parity (PPP) for three drahma bilateral exchange rates during the 1920s. Maximim likelihood estimation techniques of cointegration vectors are employed and they... more
ABSTRACT A test is made for the existence of long-run purchasing power parity (PPP) for three drahma bilateral exchange rates during the 1920s. Maximim likelihood estimation techniques of cointegration vectors are employed and they produce strong evidence in favour or PPP.
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Research Interests: Emerging Economies, Applied Economics, Monetary Policy, Inflation Dynamics, Moving average, and 8 morePublic health systems and services research, Statistical Properties, Inflation Persistence, Fractional Integral, Confidence Interval, Recursive estimation, Finance and Investment Banking, and Ordinary Least Square
This paper re-examines the long-run properties of the monetary exchange rate model in the presence of a parallel or black market for U.S. dollars in two Latin American countries under the twin hypotheses that the system contains variables... more
This paper re-examines the long-run properties of the monetary exchange rate model in the presence of a parallel or black market for U.S. dollars in two Latin American countries under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recent I(2) test by Rahbek et al. (1999) to examine the presence of I(2) and I(1) components in a multivariate context we find that the linear trend hypothesis could not be rejected and we find evidence that the system contains two I(2) variables for each country namely, Chile and Mexico, and this finding is reconfirmed by the estimated roots of the companion matrix (Juselius, 1995). The I(2) component led to the transformation of the estimated model by imposing long-run but not short-run proportionality between domestic and foreign money. Three statistically significant cointegrating vectors were found and, by imposing linear restrictions on each vector as ...