This study examines the relationship between energy consumption and economic growth for a panel o... more This study examines the relationship between energy consumption and economic growth for a panel of nine South American countries over the period 1980–2005 within a multivariate framework. Given the relatively short span of the time series data, a panel cointegration and error correction model is employed to infer the causal relationship.
Abstract The paper estimates an empirical model that is consistent with a variety of Research and... more Abstract The paper estimates an empirical model that is consistent with a variety of Research and Development (R&D)-driven models of growth where technology is transmitted via trade to other industries, both domestically and internationally, by being embodied in differentiated intermediate goods. The evidence is based on data from 21 manufacturing industries in six European Union countries for the period 1980–1997.
Abstract: This paper investigates the existence and direction of the relationship between consump... more Abstract: This paper investigates the existence and direction of the relationship between consumption and budget deficits. Using a panel from twelve different transitional countries, from 1980 to 1999, it applies panel cointegration and causality methodology. This study finds statistical evidence for a long run relationship between these two variables. In addition, the empirical findings do not support the hypothesis of the Ricardian Equivalence, since budget deficits affect consumption negatively.
This paper evaluates the performance of two alternative policy rules, a forward-looking rule and ... more This paper evaluates the performance of two alternative policy rules, a forward-looking rule and a spontaneous adjustment rule, under alternative inflation targets, in terms of output losses in a macroeconomic model, using European Union data. The simulations suggest that forward-looking rules contribute to macroeconomic stability and monetary policy credibility, and that a positive inflation target, as opposed to zero inflation, leads to higher and less volatile output.
This paper investigates how explicit structural shocks that characterize the endogenous character... more This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries—Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Kilian, L.,(forthcoming). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.
The goal of this paper is to investigate the efficiency of the banking systems in eight European ... more The goal of this paper is to investigate the efficiency of the banking systems in eight European countries over the period 1994 to 2008 by using the production frontier methodology. The paper shows that risk factors along with a size variable should be taken into account, otherwise inefficiency tends to be overstated.
Abstract The impact of strong emotions or mood on decision making and risk taking is well recogni... more Abstract The impact of strong emotions or mood on decision making and risk taking is well recognized in behavioral economics and finance. Yet, and in spite of the immense interest, no study, so far, has provided any comprehensive evidence on the impact of weather conditions. This paper provides the theoretical framework to study the impact of weather through its influence on bank manager's mood on bank inefficiency.
Мета даної статті–визначити чи впливають на банківську прибутковість у банківській системі Греції... more Мета даної статті–визначити чи впливають на банківську прибутковість у банківській системі Греції умови кон'юнктурного циклу через методологію панельних порогових моделей. Емпіричні результати вказують на наявність проциклічного зв'язку між банківською прибутковістю та кон'юнктурними циклами. Показано, що спреди процентної ставки можуть бути чітким поясненням цієї асиметричної поведінки у прибутковості.
This paper estimates Okun's coefficient for certain regional areas in Greece over the period 1960... more This paper estimates Okun's coefficient for certain regional areas in Greece over the period 1960–1997. Through the Hodrick-Prescott filtering and the band-pass filtering the empirical analysis shows that that the coefficients do not exhibit substantial interregional differences, except for the cases of Epirus and North Aegean Islands. In these two cases, the estimates are larger than the regional average under both detrending methodologies. The empirical findings also show that Okun's relationship undergoes a structural change in 1981.
Abstract The objective of this paper is to estimate a long-run version of money demand in Greece ... more Abstract The objective of this paper is to estimate a long-run version of money demand in Greece through cointegration tests and over the period 1978-1995. The feature that distinguishes this paper from the conventional ad-hoc money demand models is that the money demand function is derived through a shopping-time technology which seems the proper approach when the reason for holding money balances is the motive of minimizing the transactions costs.(JEL Classification System: Ε 41)
Abstract: The goal of this study is to identify whether bank profitability, defined as interest, ... more Abstract: The goal of this study is to identify whether bank profitability, defined as interest, non-interest, and profits before taxes, in the Greek banking system is affected by business cycle conditions through the methodology of panel multiple threshold models.
On January 1, 1999, the European Monetary Union (EMU) became a reality. On that date, the 15 memb... more On January 1, 1999, the European Monetary Union (EMU) became a reality. On that date, the 15 members of the European Union (EU) decided to lock their currencies together. Thus, the euro has emerged as the only currency of transaction among EU members (The UK, Sweden and Denmark are still off the EMU procedure, although they have been constant members of the EU).
Abstract: This paper examines the underlying dynamics of selected euro-area sovereign bonds by em... more Abstract: This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in particular, market liquidity and credit risk.
Abstract This study examines the impact of disaggregated earnings on stock prices for listed ship... more Abstract This study examines the impact of disaggregated earnings on stock prices for listed shipping firms. It shows that operating and non-operating income from ships sales have higher power in explaining stock prices than operating earnings only as key information for future profitability, investment opportunities and firm valuation. The testing period is from 2000 to 2008. The methodologies are those of panel cointegration and panel causality tests.
Abstract The paper explores the linkages between labour productivity, innovation and technology s... more Abstract The paper explores the linkages between labour productivity, innovation and technology spillovers in a panel of manufacturing industries. The roles of R&D, human capital and international trade are considered in stimulating innovation and/or facilitating technology transfer. Using panel-based unit root tests and cointegration analysis, the results indicate the existence of a single long-run equilibrium relation between labour productivity, innovation and technology transfer.
Abstract: This study employs the panel convergence methodology developed by Phillips and Sul (200... more Abstract: This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates, eg stock returns, our empirical results suggest that the equity markets of 35 of the 42 counties in our sample do form a unified convergence club.
Abstract This paper investigates the impact of the firm's accounting information and, especially ... more Abstract This paper investigates the impact of the firm's accounting information and, especially the role of earnings quality, on its cost of capital and how this influences excess returns. The analysis extends prior works by investigating how components of accounting information and, especially earnings quality, affect stock returns through their effect on the cost of capital. The empirical approach uses a sample of US manufacturing firms as well as the methodology of panel data.
Abstract: This paper examines the process of relative food price volatility and investigates how ... more Abstract: This paper examines the process of relative food price volatility and investigates how short-run deviations from the relationship between relative food prices and particular macroeconomic fundamentals affect this volatility for the case of Greece. The methodology followed in this paper to measure relative food price volatility is that of Generalized Autoregressive Conditional Heteroskedastic (GARCH) and GARCH-X models.
Abstract This paper investigates the factors behind long-term convergence in the insurance sector... more Abstract This paper investigates the factors behind long-term convergence in the insurance sector by questioning the role of harmonization and regulation across the EMU. By investigating convergence through balance-sheet items, the study sheds light on the role played by the management preferences of insurances across the EMU. Overall, the convergence tests employed within this study provide evidence of limited convergence within the insurance sector across the EMU countries.
This study examines the relationship between energy consumption and economic growth for a panel o... more This study examines the relationship between energy consumption and economic growth for a panel of nine South American countries over the period 1980–2005 within a multivariate framework. Given the relatively short span of the time series data, a panel cointegration and error correction model is employed to infer the causal relationship.
Abstract The paper estimates an empirical model that is consistent with a variety of Research and... more Abstract The paper estimates an empirical model that is consistent with a variety of Research and Development (R&D)-driven models of growth where technology is transmitted via trade to other industries, both domestically and internationally, by being embodied in differentiated intermediate goods. The evidence is based on data from 21 manufacturing industries in six European Union countries for the period 1980–1997.
Abstract: This paper investigates the existence and direction of the relationship between consump... more Abstract: This paper investigates the existence and direction of the relationship between consumption and budget deficits. Using a panel from twelve different transitional countries, from 1980 to 1999, it applies panel cointegration and causality methodology. This study finds statistical evidence for a long run relationship between these two variables. In addition, the empirical findings do not support the hypothesis of the Ricardian Equivalence, since budget deficits affect consumption negatively.
This paper evaluates the performance of two alternative policy rules, a forward-looking rule and ... more This paper evaluates the performance of two alternative policy rules, a forward-looking rule and a spontaneous adjustment rule, under alternative inflation targets, in terms of output losses in a macroeconomic model, using European Union data. The simulations suggest that forward-looking rules contribute to macroeconomic stability and monetary policy credibility, and that a positive inflation target, as opposed to zero inflation, leads to higher and less volatile output.
This paper investigates how explicit structural shocks that characterize the endogenous character... more This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries—Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Kilian, L.,(forthcoming). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.
The goal of this paper is to investigate the efficiency of the banking systems in eight European ... more The goal of this paper is to investigate the efficiency of the banking systems in eight European countries over the period 1994 to 2008 by using the production frontier methodology. The paper shows that risk factors along with a size variable should be taken into account, otherwise inefficiency tends to be overstated.
Abstract The impact of strong emotions or mood on decision making and risk taking is well recogni... more Abstract The impact of strong emotions or mood on decision making and risk taking is well recognized in behavioral economics and finance. Yet, and in spite of the immense interest, no study, so far, has provided any comprehensive evidence on the impact of weather conditions. This paper provides the theoretical framework to study the impact of weather through its influence on bank manager's mood on bank inefficiency.
Мета даної статті–визначити чи впливають на банківську прибутковість у банківській системі Греції... more Мета даної статті–визначити чи впливають на банківську прибутковість у банківській системі Греції умови кон'юнктурного циклу через методологію панельних порогових моделей. Емпіричні результати вказують на наявність проциклічного зв'язку між банківською прибутковістю та кон'юнктурними циклами. Показано, що спреди процентної ставки можуть бути чітким поясненням цієї асиметричної поведінки у прибутковості.
This paper estimates Okun's coefficient for certain regional areas in Greece over the period 1960... more This paper estimates Okun's coefficient for certain regional areas in Greece over the period 1960–1997. Through the Hodrick-Prescott filtering and the band-pass filtering the empirical analysis shows that that the coefficients do not exhibit substantial interregional differences, except for the cases of Epirus and North Aegean Islands. In these two cases, the estimates are larger than the regional average under both detrending methodologies. The empirical findings also show that Okun's relationship undergoes a structural change in 1981.
Abstract The objective of this paper is to estimate a long-run version of money demand in Greece ... more Abstract The objective of this paper is to estimate a long-run version of money demand in Greece through cointegration tests and over the period 1978-1995. The feature that distinguishes this paper from the conventional ad-hoc money demand models is that the money demand function is derived through a shopping-time technology which seems the proper approach when the reason for holding money balances is the motive of minimizing the transactions costs.(JEL Classification System: Ε 41)
Abstract: The goal of this study is to identify whether bank profitability, defined as interest, ... more Abstract: The goal of this study is to identify whether bank profitability, defined as interest, non-interest, and profits before taxes, in the Greek banking system is affected by business cycle conditions through the methodology of panel multiple threshold models.
On January 1, 1999, the European Monetary Union (EMU) became a reality. On that date, the 15 memb... more On January 1, 1999, the European Monetary Union (EMU) became a reality. On that date, the 15 members of the European Union (EU) decided to lock their currencies together. Thus, the euro has emerged as the only currency of transaction among EU members (The UK, Sweden and Denmark are still off the EMU procedure, although they have been constant members of the EU).
Abstract: This paper examines the underlying dynamics of selected euro-area sovereign bonds by em... more Abstract: This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature. This methodology allows for identifying the underlying transmission mechanisms of several factors; in particular, market liquidity and credit risk.
Abstract This study examines the impact of disaggregated earnings on stock prices for listed ship... more Abstract This study examines the impact of disaggregated earnings on stock prices for listed shipping firms. It shows that operating and non-operating income from ships sales have higher power in explaining stock prices than operating earnings only as key information for future profitability, investment opportunities and firm valuation. The testing period is from 2000 to 2008. The methodologies are those of panel cointegration and panel causality tests.
Abstract The paper explores the linkages between labour productivity, innovation and technology s... more Abstract The paper explores the linkages between labour productivity, innovation and technology spillovers in a panel of manufacturing industries. The roles of R&D, human capital and international trade are considered in stimulating innovation and/or facilitating technology transfer. Using panel-based unit root tests and cointegration analysis, the results indicate the existence of a single long-run equilibrium relation between labour productivity, innovation and technology transfer.
Abstract: This study employs the panel convergence methodology developed by Phillips and Sul (200... more Abstract: This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates, eg stock returns, our empirical results suggest that the equity markets of 35 of the 42 counties in our sample do form a unified convergence club.
Abstract This paper investigates the impact of the firm's accounting information and, especially ... more Abstract This paper investigates the impact of the firm's accounting information and, especially the role of earnings quality, on its cost of capital and how this influences excess returns. The analysis extends prior works by investigating how components of accounting information and, especially earnings quality, affect stock returns through their effect on the cost of capital. The empirical approach uses a sample of US manufacturing firms as well as the methodology of panel data.
Abstract: This paper examines the process of relative food price volatility and investigates how ... more Abstract: This paper examines the process of relative food price volatility and investigates how short-run deviations from the relationship between relative food prices and particular macroeconomic fundamentals affect this volatility for the case of Greece. The methodology followed in this paper to measure relative food price volatility is that of Generalized Autoregressive Conditional Heteroskedastic (GARCH) and GARCH-X models.
Abstract This paper investigates the factors behind long-term convergence in the insurance sector... more Abstract This paper investigates the factors behind long-term convergence in the insurance sector by questioning the role of harmonization and regulation across the EMU. By investigating convergence through balance-sheet items, the study sheds light on the role played by the management preferences of insurances across the EMU. Overall, the convergence tests employed within this study provide evidence of limited convergence within the insurance sector across the EMU countries.
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