Credit and the transmission of fiscal policy shocks: Recent evidence from Greece

Based on the SVAR approach we examine the importance of credit for the transmission of fiscal policy shocks in Greece. Fiscal shocks have more pronounced effects on the output when credit is constrained. Tax burden shocks have the most protracted effects.     

Financial soundness indicators and financial crisis episodes

This paper studies the links between of financial soundness indicators and financial crisis episodes controlling for several macroeconomic and fiscal variables in 20 OECD countries. We focus our attention on aggregate capital adequacy, asset quality and bank profitability indicators compiled by the IMF. Our key findings suggest that in times of severe financial crisis regulatory capital to risk weighted assets is increased (by about 0.5–0.6 % points; p.p.) to abide by regulatory and supervisory demands, non performing loans (NPLs) to total loans increase dramatically (by about 0.5–0.6 p.p.), but loan loss provisions lag behind NPLs (they fall by about 12.3–18.8 p.p.) and profitability deteriorates dramatically (returns on assets (equity) fall by about 0.3–0.4 (5.0–7.0) p.p.).     

Dancing Spreads: Market Assessment of Contagion from the Crisis in the Euro Periphery based on Distress Dependence Analysis

The crisis in the eurozone periphery has so far affected markets substantially more than the size of the countries in the region would suggest. Data on direct exposures and simple correlations also fail to explain the cross-border impact of the crisis. Following Segoviano (2006), this paper uses distress dependence analysis to measure market assessment of contagion risks from Greece and Ireland to the rest of Europe during the peaks of the crises in these countries. The results provide insights to possible contagion risks through cross-border negative feedback loops between sovereigns and banking sectors in Europe that help explain the severe impact of the crisis.     

What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries

We allow for monetary, real, and financial variables to assess the relevant importance of each of the variables to exchange rate volatility in the case of selected EMU members and candidate countries. Ex-ante analysis shows that volatility in the Polish zloty/euro and the Hungarian forint/euro forex markets can be influenced by the monetary-side of the economy. On the other hand, ex-post analysis shows that forex markets in France, Italy and Spain had been influenced, during the pre-EMU era, by monetary and real shocks. However, the Irish pound exchange rate per ECU had been affected by only real shocks.     

GARCH modelling of banking integration in the Eurozone

We investigate the progress of integration in the European banking industry and its effects on the price of the common stock of banks listed on European stock exchanges. We estimate the overall effect of progress by comparing the changes in the stock price volatility of listed banks over the period from January 1990 to December 2005. Using univariate and bivariate GARCH models, we document that the introduction of the Euro and the enlargement of the European Union in May 2004 have contributed to the integration process of the banking industry in Europe. We also find evidence of negative volatility spillovers among bank stock returns for different groups of countries that have been involved in various recent stages of the European economic and political integration.     

Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets

We examine empirically the predictability of conditions associated with a higher probability of a price spike in agricultural commodity markets. We find that the forward spread is the most significant indicator of probable price jumps in maize, wheat and soybeans futures markets, a result which is in line with the ‘Theory of Storage’. We additionally show that some option-implied variables add significant predictive power when added to the more standard information variable set. Overall, the estimated probabilities of large price increases from our probit models exhibit significant correlations with historical sudden market upheavals in agricultural markets.     

The spatial impact of EU Pan-European transport axes: City clusters formation in the Balkan area and developmental perspectives

This article explores the spatial and development implications of the Pan-European Transport Axes in the Balkans. For that purpose, the potential Development Poles and Axes are determined, on the basis of size, the location of cities, their interconnection and their role as hubs of the Pan-European axes. This is achieved by means of the formation and implementation of a methodology based on the use of special statistical applications. According to data analysis, three geographical units arise: Central Core, Peripheral Zone, Perimetric Zones. In the analysis that follows, Advantages, Weaknesses, Opportunities and Threats are examined in each case and suggestions are made as regards the policies required.     

The impact of corporate governance,regulatory differences and futures contracts on movements among portfolios of cross-listed equities: The case of Germany

We test the impact of corporate governance effects on the stock price volatility of the DAX100 and find that these variables increase the volatility and decrease the error terms statistically significant. In addition, controlling for contemporaneous and next period's movements, we find that shocks can have a significant impact on the magnitude of stock return co-movements. In particular, our results show that the impact of the German mark/Euro and German bond price index futures shocks have a significant effect on spillovers, on contemporaneous and next period's co-movements related to firms or equities that cross-list on markets with different creditor bankruptcy protection rules. On the other hand, the impact of the German mark/Euro and the German stock price index shocks related to different shareholder protection rules have a smaller impact on both the next period's co-movements and contemporaneous co-movements among or between markets.     

Efficient Monetary Policy Design near Price Stability

Using dynamic programming methods, we study the design of optimal monetary policy in a simple, calibrated open-economy model and evaluate the effect of the liquidity trap generated by the zero bound on nominal interest rates. We show that the optimal policy near price stability is asymmetric. As inflation declines, policy turns expansionary sooner and more aggressively than would be optimal in the absence of the zero bound. This introduces an upward bias in the average level of inflation. We also discuss operational issues associated with the interpretation and implementation of policy at the zero bound in relation to the recent situation in Japan. J. Japan. Int. Econ., December 2000, 14(4), pp. 327–365. Board of Governors of the Federal Reserve System, Washington, D.C. 20551 Copyright 2000 Academic Press.Journal of Economic Literature Classification Numbers: E31, E52, E58, E61.     

The relationship between organizational culture and market orientation in the Greek telecommunication companies

The modern business environment is characterized by intense competition, which has led telecommunication companies to a continuous race towards gaining and maintaining a competitive advantage. In order to succeed, telecommunication companies “cultivate” market orientation and market oriented cultures as non-imitable characteristics, capable to ensure long–term corporate viability and growth. This paper provides an insight into the Greek telecommunication industry by: a) revealing the coordination between market orientation strategies with corresponding culture, b) the relationship between extrovert-type cultures with performance and c) how special traits of telecommunication providers (size and age) influence the degree of market orientation and the dominant culture type (introvert or extrovert). The paper contributes: a) to the creation of national cultural profile in the telecommunication industry, which can become a starting point in a wider trial to create a European industry profile, b) to the empirical testing of the correlation between culture and market orientation and c) to the examination of the extent to which background factors (such as firms’ age and size) should be taken into account during the implementation of a business strategy.