We employ a Smooth Transition Conditional Correlation (STCC) model and the latest available data ... more We employ a Smooth Transition Conditional Correlation (STCC) model and the latest available data to examine for a non-linear relationship between changes in global temperature and anthropogenic emissions of greenhouse gases. Controlling for natural factors which also affect global temperature, we find that anthropogenic climate forcings and global temperature have practically zero correlation before a certain threshold value is reached. In contrast, correlation rises strongly after anthropogenic emissions exceed this threshold. The value of this threshold can be traced back in the mid-1960’s, during the years of the post-WWII economic boom, when a substantial amount of additional greenhouse gases (compared to the pre-industrial era) had started accumulating in the atmosphere due to the burning of fossil fuels from human activities.
Communications in Statistics - Theory and Methods, 2021
The econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savv... more The econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savva and Savva and Theodossiou to investigate the relationship between risk and expected returns in fin...
This paper investigates how changes in key macroeconomic variables influence the growth in house ... more This paper investigates how changes in key macroeconomic variables influence the growth in house prices, using a panel data methodology for a sample of 24 countries. The main findings suggest that population; economic growth, stock returns and inflation are key factors for the increase in the housing price index. Moreover, as expected, construction cost is associated with the housing prices. In contrast, interest and unemployment rates adversely affect housing prices.
This paper applies a two-regime Markov switching model to investigate the impact of the macro-eco... more This paper applies a two-regime Markov switching model to investigate the impact of the macro-economy on the dynamics of the housing market in Cyprus for the period from 2001 to 2014. The econometric methodology implemented in this study suggests that the behaviour of housing market in Cyprus is regime dependent and allows for a clearer understanding of the drivers of the housing market during “boom” and “crash” periods.
Abstract This paper extends the investigation of the stochastic properties of electricity price g... more Abstract This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and skewness price components and the development of a risk neutral forecasting equation for electricity prices. Empirical results using ten-years of hourly wholesale prices from the Day-Ahead electricity market in Germany depict the presence of seasonality, strong mean reversion and up-to third degree time-varying moments.
We employ a factor-augmented VAR (FAVAR) covering both domestic and international developments to... more We employ a factor-augmented VAR (FAVAR) covering both domestic and international developments to examine the confidence effects of a fiscal shock, using a sample of six euro area countries. The results indicate that following a shock in total government expenditure, responses are country-specific, while a weak geographical pattern, i.e. a distinction between core and periphery countries can be observed. Overall, the confidence response is short-lived and returns to zero after a few quarters. Heterogeneity in country responses also indicates that the Bachmann and Sims (2012) conclusion suggesting the endogenous response of confidence explaining almost all of the fiscal-driven output expansion in recessions, may hold only in country-specific cases.
This paper examines the effects of the current financial crisis on the correlations of four inter... more This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion.
We employ a Smooth Transition Conditional Correlation (STCC) model and the latest available data ... more We employ a Smooth Transition Conditional Correlation (STCC) model and the latest available data to examine for a non-linear relationship between changes in global temperature and anthropogenic emissions of greenhouse gases. Controlling for natural factors which also affect global temperature, we find that anthropogenic climate forcings and global temperature have practically zero correlation before a certain threshold value is reached. In contrast, correlation rises strongly after anthropogenic emissions exceed this threshold. The value of this threshold can be traced back in the mid-1960’s, during the years of the post-WWII economic boom, when a substantial amount of additional greenhouse gases (compared to the pre-industrial era) had started accumulating in the atmosphere due to the burning of fossil fuels from human activities.
Communications in Statistics - Theory and Methods, 2021
The econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savv... more The econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savva and Savva and Theodossiou to investigate the relationship between risk and expected returns in fin...
This paper investigates how changes in key macroeconomic variables influence the growth in house ... more This paper investigates how changes in key macroeconomic variables influence the growth in house prices, using a panel data methodology for a sample of 24 countries. The main findings suggest that population; economic growth, stock returns and inflation are key factors for the increase in the housing price index. Moreover, as expected, construction cost is associated with the housing prices. In contrast, interest and unemployment rates adversely affect housing prices.
This paper applies a two-regime Markov switching model to investigate the impact of the macro-eco... more This paper applies a two-regime Markov switching model to investigate the impact of the macro-economy on the dynamics of the housing market in Cyprus for the period from 2001 to 2014. The econometric methodology implemented in this study suggests that the behaviour of housing market in Cyprus is regime dependent and allows for a clearer understanding of the drivers of the housing market during “boom” and “crash” periods.
Abstract This paper extends the investigation of the stochastic properties of electricity price g... more Abstract This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and skewness price components and the development of a risk neutral forecasting equation for electricity prices. Empirical results using ten-years of hourly wholesale prices from the Day-Ahead electricity market in Germany depict the presence of seasonality, strong mean reversion and up-to third degree time-varying moments.
We employ a factor-augmented VAR (FAVAR) covering both domestic and international developments to... more We employ a factor-augmented VAR (FAVAR) covering both domestic and international developments to examine the confidence effects of a fiscal shock, using a sample of six euro area countries. The results indicate that following a shock in total government expenditure, responses are country-specific, while a weak geographical pattern, i.e. a distinction between core and periphery countries can be observed. Overall, the confidence response is short-lived and returns to zero after a few quarters. Heterogeneity in country responses also indicates that the Bachmann and Sims (2012) conclusion suggesting the endogenous response of confidence explaining almost all of the fiscal-driven output expansion in recessions, may hold only in country-specific cases.
This paper examines the effects of the current financial crisis on the correlations of four inter... more This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion.
Uploads
Papers by Christos Savva