Do institutions prevent contagion in financial markets? Evidence from the European debt crisis

ABSTRACT

The recent European Sovereign Debt Crisis brought in attention a number of structural problems in the European Union. Part of the effort to correct these problems in the countries that were mostly affected by the crisis were a number of policy responses from the European Union, the European Central Bank, the International Monetary Fund and the Local Governments. In this study, we attempt to assess the success of these responses to constrain the contagion of the crisis from the banking sector to the real economy sectors of the Eurozone countries. Our results show that policy announcements from the EU/ECB/IMF affect the transmission of shocks generated in the banking sector to the market. Moreover, policy responses of the national governments also seem to play a role in the contagion of the crisis.     

An empirical analysis of the Scottish housing market by property type

This paper studies house price dynamics of the different property types in Scotland. We find evidence of i) breakpoints around the recent financial crisis in three property types (flats, terraced, semi‐detached) and in the average house prices, ii) volatility clustering in the detached house prices, with the CGARCH being the optimal volatility model, iii) negative impact of the unemployment and interest rates on house prices irrespective of the property type and positive effect of the CPI in the prices of the detached, terraced and average houses. Our results have significant implications for appropriate economic policy selection and investment management.     

Safety alerts reduce willingness to visit parks irrigated with recycled water

This study demonstrates the effects of framing safety precautions on the presentation of a controversial product (recycled water [RW]) to the inhabitants of two Greek towns by asking them whether they would visit various configurations of a public park irrigated with RW. The same questions are posed in an additional version augmented with a safety alert. Among many others, results mainly show that willingness to visit (WTV) a park irrigated with RW or willingness to pay for RW decrease when respondents are confronted with the safety statement that ‘the irrigated parts are isolated and have been properly marked for the visitor so that he/she does not come into touch with RW’. Moreover, WTV does not decrease when there is previous experience with the park. The upgrade of RW from secondary to tertiary treatment is valuated only when safety alerts are present. The paper yields promotion insights useful for relevant utilities, organizations, and governments which are interested in forming a social marketing mix for this product while contributing to the theoretical and empirical understanding of framing effects with their experimental demonstration in the two case studies.     

Is the value of environmental goods sensitive to the public funding scheme? Evidence from a marine restoration programme in the Black Sea

In this paper, we conduct choice experiments in Turkey and Ukraine on the valuation of a marine restoration programme in the Black Sea, to examine whether the value of environmental goods is sensitive to the source of public financing. We contribute to the debate on the optimal composition of public expenditure, an issue that can be controversial in times of financial crises. We discriminate between two funding regimes through the reallocation of public spending. The first proposes financing the marine restoration programme by reducing public expenditure for investments in renewable energy, and the second by reducing public expenditure for civil servants’ training. The results reveal that the marginal value of public money depends on the funding source. Furthermore, attribute values are sensitive to the trade-off implied by the funding scheme. The magnitude of the results differs in the two countries considered, because of their heterogeneity in political and cultural dimensions.     

Factors influencing the profitability of domestic and foreign commercial banks in the European Union

Using bank level data this paper examines how bank's specific characteristics and the overall banking environment affect the profitability of commercial domestic and foreign banks operating in the 15 EU countries over the period 1995–2001. The results indicate that profitability of both domestic and foreign banks is affected not only by bank's specific characteristics but also by financial market structure and macroeconomic conditions. All the variables, with the exception of concentration in the case of domestic banks profits, are significant although their impact and relation with profits is not always the same for domestic and foreign banks.     

Is the value of an environmental public good sensitive to the providing institution?

In this paper we examine whether stated preferences and Willingness To Pay estimates, obtained in a choice experiment, are sensitive to the institutional context in which the good under evaluation is provided. Specifically, we examine the effects on valuation from employing two different institutions, an authority under the supervision of the National government and an authority under the supervision of an international body, the European Commission, as responsible for the design and implementation of a forest restoration project following a split sample approach. We find that coefficients of the utility model and Willingness To Pay estimates for all attributes are not statistically different between the two treatments. This is so despite the significant differences in the trust levels reported for the two institutions. We speculate that our results reflect the significance of the environmental good to the citizens given its local nature and the sheer size of the fire disaster.     

Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

The Journal of Real Estate Finance and Economics - This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices...     

Determinants of tourists' expenditure at mass participant sport events: a five-year analysis

Using the five-year data of a US running event (N?=?9380), this study examined key determinants of tourists' expenditure in a mass participant sport event. Economic constraint, travel-related, socio-demographic, and sport-related facets were integrated into the expenditure model while considering changes in tourism prices. The proposed four-facet model provides a broader framework for event organisers and destination marketers in evaluating what factors determine participants' spending behaviours while at the destination, thereby maximising the potential economic benefits of hosting a participant sport event.     

The investigation of the dynamic linkages between real estate market and stock market in Greece

ABSTRACT

We use quarterly data from Greece over the period 1997:1–2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.     

A multivariate analysis of United States and global real estate investment trusts

Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations.