ABSTRACT Based on a trivariate panel VAR and utilizing Generalized Impulse Responses, we explored... more ABSTRACT Based on a trivariate panel VAR and utilizing Generalized Impulse Responses, we explored the dynamic impacts of terrorism and crime risks on public order and safety spending across European countries during the period 1994-2006. Our findings suggest that both a shock in terrorism risk or in crime, significantly increase the subsequent trajectory of public order and safety spending. As a by-product we find that public spending is ineffective in reducing observed crime or terrorism risks.
Abstract In this paper we focus on the market structure of the banking,system in a set of Transit... more Abstract In this paper we focus on the market structure of the banking,system in a set of Transition countries. In particular, by employing reduced-form revenue equations in a panel framework,we are able to estimate the Panzar-Rosse h-statistic. We mainly control for heterogeneity by conditioning our estimation on bank-specific characteristics so as to account for differences in financial risk, size and
ABSTRACT This paper investigates which theory--crisis- or noncrisis-contingent theory-- may bette... more ABSTRACT This paper investigates which theory--crisis- or noncrisis-contingent theory-- may better explain the comovements observed between Turkish and Greek financial market returns. Using cointegration and vector error-correction models, we first establish interdependence and a long-run causal relationship between stock and foreign exchange markets. Then, using the crisis- and noncrisis-contingent theories to explain the observed linkage, we show that the comovement of the stock markets across the two countries can be primarily attributed to the sharing of similar trading and foreign direct investment partners, providing evidence for the noncrisis-contingent theory in this case. On the other hand, evidence indicates that the recent Asian and Russian crises have produced significant contagion effects between the Greek drachma and Turkish lira markets, but not between Greek and Turkish stock markets, suggesting that the crisis-contingent models may better explain the linkage between the exchange markets. The policy implications of our findings for Turkey's European Union-membership efforts, as well as for market practitioners and international investors, are discussed.
Utilising data for all firms listed in the Athens Stock Exchange, we explore the issue of capital... more Utilising data for all firms listed in the Athens Stock Exchange, we explore the issue of capital market imperfections by investigating the extent to which investment is sensitive to the availability of internal finance. Our empirical results indicate a positive association of cash flow and investment, leading to the conclusion of imperfect substitutability between internal and external finance. Furthermore, firm-
Communications in Statistics - Theory and Methods, 2014
ABSTRACT The importance of Logistic distribution has been widely recognized in many applied areas... more ABSTRACT The importance of Logistic distribution has been widely recognized in many applied areas such as, demography, population studies, finance, agriculture, etc. Since its introduction as a model, much attention has been paid to the study of several generalizations of it, which would offer additional flexibility when data fitting is chased. In the present paper we introduce and develop a natural generalization of the Logistic distribution by considering a probability model whose logit cumulative distribution function transformation is of polynomial type. The performance of the model's fitting to financial data, using different parameter estimation methods, is also investigated.
International Journal of Monetary Economics and Finance, 2008
ABSTRACT In the present study we initially take stock of the dispersed definitions and measuremen... more ABSTRACT In the present study we initially take stock of the dispersed definitions and measurement methods of irreversibility by offering a bird's eye view of the existing literature. Then we construct a closed-form model to investigate the impact of conditional uncertainty on investment spending under irreversibility by employing leasing penetration rates as an indirect indicator for the degree of irreversibility. Our results support the concept that the investment-uncertainty elasticity varies across leasing rates, and that the overall negative effect of uncertainty on investment decreases monotonically with the degree of reversibility.
ABSTRACT Based on a trivariate panel VAR and utilizing Generalized Impulse Responses, we explored... more ABSTRACT Based on a trivariate panel VAR and utilizing Generalized Impulse Responses, we explored the dynamic impacts of terrorism and crime risks on public order and safety spending across European countries during the period 1994-2006. Our findings suggest that both a shock in terrorism risk or in crime, significantly increase the subsequent trajectory of public order and safety spending. As a by-product we find that public spending is ineffective in reducing observed crime or terrorism risks.
Abstract In this paper we focus on the market structure of the banking,system in a set of Transit... more Abstract In this paper we focus on the market structure of the banking,system in a set of Transition countries. In particular, by employing reduced-form revenue equations in a panel framework,we are able to estimate the Panzar-Rosse h-statistic. We mainly control for heterogeneity by conditioning our estimation on bank-specific characteristics so as to account for differences in financial risk, size and
ABSTRACT This paper investigates which theory--crisis- or noncrisis-contingent theory-- may bette... more ABSTRACT This paper investigates which theory--crisis- or noncrisis-contingent theory-- may better explain the comovements observed between Turkish and Greek financial market returns. Using cointegration and vector error-correction models, we first establish interdependence and a long-run causal relationship between stock and foreign exchange markets. Then, using the crisis- and noncrisis-contingent theories to explain the observed linkage, we show that the comovement of the stock markets across the two countries can be primarily attributed to the sharing of similar trading and foreign direct investment partners, providing evidence for the noncrisis-contingent theory in this case. On the other hand, evidence indicates that the recent Asian and Russian crises have produced significant contagion effects between the Greek drachma and Turkish lira markets, but not between Greek and Turkish stock markets, suggesting that the crisis-contingent models may better explain the linkage between the exchange markets. The policy implications of our findings for Turkey's European Union-membership efforts, as well as for market practitioners and international investors, are discussed.
Utilising data for all firms listed in the Athens Stock Exchange, we explore the issue of capital... more Utilising data for all firms listed in the Athens Stock Exchange, we explore the issue of capital market imperfections by investigating the extent to which investment is sensitive to the availability of internal finance. Our empirical results indicate a positive association of cash flow and investment, leading to the conclusion of imperfect substitutability between internal and external finance. Furthermore, firm-
Communications in Statistics - Theory and Methods, 2014
ABSTRACT The importance of Logistic distribution has been widely recognized in many applied areas... more ABSTRACT The importance of Logistic distribution has been widely recognized in many applied areas such as, demography, population studies, finance, agriculture, etc. Since its introduction as a model, much attention has been paid to the study of several generalizations of it, which would offer additional flexibility when data fitting is chased. In the present paper we introduce and develop a natural generalization of the Logistic distribution by considering a probability model whose logit cumulative distribution function transformation is of polynomial type. The performance of the model's fitting to financial data, using different parameter estimation methods, is also investigated.
International Journal of Monetary Economics and Finance, 2008
ABSTRACT In the present study we initially take stock of the dispersed definitions and measuremen... more ABSTRACT In the present study we initially take stock of the dispersed definitions and measurement methods of irreversibility by offering a bird's eye view of the existing literature. Then we construct a closed-form model to investigate the impact of conditional uncertainty on investment spending under irreversibility by employing leasing penetration rates as an indirect indicator for the degree of irreversibility. Our results support the concept that the investment-uncertainty elasticity varies across leasing rates, and that the overall negative effect of uncertainty on investment decreases monotonically with the degree of reversibility.
Uploads
Papers by Konstantinos Drakos