Privatizing the statutory auditing services in Greece

This paper examines the historical process of privatizing the Greek auditing profession in the context of contemporaneous political and economic developments that date from the inception of the profession in 1955. The paper focuses on the successive attempts to implement the EEC's Eighth Company Law Directive that led to the abolition of the Body of Sworn-in Accountants - the state-sponsored institute and at the same time a practising firm. Furthermore, the changing expectations about the auditor's role as reflected in the privatization discussions over time are explored.     

Consumer preferences and demand systems

This paper is an up-to-date survey of the state-of-the-art in consumer demand modelling. We review and evaluate advances in a number of related areas, including different approaches to empirical demand analysis, such as the differential approach, the locally flexible functional forms approach, the semi-non-parametric approach, and a non-parametric approach. We also address estimation issues, including sampling theoretic and Bayesian estimation methods, and discuss the limitations of the currently common approaches. We also highlight the challenge inherent in achieving economic regularity, for consistency with the assumptions of the underlying neoclassical economic theory, as well as econometric regularity, when variables are nonstationary.     

Efficiency,technical change,and returns to scale in large US banks: Panel data evidence from an output distance function satisfying theoretical regularity

This paper provides parametric estimates of technical change, efficiency change, economies of scale, and total factor productivity growth for large banks (those with assets in excess of $1 billion) in the United States, over the period from 2000 to 2005. This is done by estimating an output distance function subject to theoretical regularity within a Bayesian framework. We find that failure to incorporate theoretical regularity conditions results in mismeasured shadow revenue and/or cost shares, which in turn leads to perverse conclusions regarding productivity growth. Our results from the regularity-constrained model show that total factor productivity of the large US banks grew at an average rate of 1.98% over the sample period. However, our estimates also show a clear downward trend in the growth rate of total factor productivity and our decomposition of the primal Divisia total factor productivity growth index into its three components – technical change, efficiency change, and economies of scale – indicates that technical change is the driving force behind this decline.     

The demand for divisia M1, M2, and M3 in the United States

This paper analyzes the demand for broad money measures and estimates the degree of substitution between Divisia money, defined from narrow to broad, and the “nested like assets” at different levels of aggregation. The analysis is conducted within a microtheoretical framework-utilizing the demand-system approach- and makes use of the Strotz-Gorman multistage optimization framework. Another pleasing feature of our approach is the systematic testing for the appropriateness of the weak separability (aggregation) conditions at the various levels of aggregation.     

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.     

Broker-dealer Leverage and the Stock Market

This paper employs linear and nonlinear causality tests to examine (for the first time) the dynamic relation between broker-dealer leverage and the stock market in the United States, using quarterly data since 1967. We find significant linear causality from the stock market to broker-dealer leverage and a nonlinear feedback from broker-dealer leverage to the stock market, supporting the view that the macro economy is highly nonlinear. This bidirectional causality shows that a stock market crash might happen long before a fall in fundamental asset values.