313 research outputs found
sj-docx-1-tar-10.1177_17534666231170813 – Supplemental material for The effects of upper limb exercise training on upper limb muscle strength in people with chronic obstructive pulmonary disease: a systematic review and meta-analysis of randomized controlled trials
No full textSupplemental material, sj-docx-1-tar-10.1177_17534666231170813 for The effects of upper limb exercise training on upper limb muscle strength in people with chronic obstructive pulmonary disease: a systematic review and meta-analysis of randomized controlled trials by Christos Karagiannis, Christos Savva, Vasileios Korakakis, George Ploutarchou, Tonia Adamide, Andreas Georgiou and Theodoros Xanthos in Therapeutic Advances in Respiratory Disease</p
Market price of risk estimation: Does distribution matter?
No full textThe 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 financial markets is generalized to a class of two-sided, asymmetry separable distributions. The latter class of distributions includes as special cases the skewed forms for the normal, Student’s t, Laplace, generalized error, generalized t, logistic and generalized type III logistic. All distributions document a positive and statistically significant relationship between risk and expected returns. A comparison of their data fitting ability shows that the generalized t distribution provides the best overall results
The Risk and Return Conundrum Explained: International Evidence*
No full textThe relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the analytical framework developed by Theodossiou and Savva (2016) along with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across international stock markets. The investigation reveals that the contradictory findings are the result of ignoring the impact of skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive as depicted by finance theory. However, negative skewness results in lowering the total price of risk and in some cases reverting its sign from positive to negative
Government bond market risk-return trade-off
No full textWe analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess kurtosis) as they are defined in Savva and Theodossiou (2018). There is no risk-return trade-off when considering a linear relationship between returns and risk. We consider good and bad volatility separately as defined by threshold regressions and find non-linear risk-return trade-off, that is negative for large lagged returns
Changes on share prices around year end revenue announcements
No full textThis research’s aim is to explain how stock prices fluctuate in a period of fifteen days around the yearly revenue announcement by companies entered in NASDAQ exchange market and also to investigate the correlation between the price and five economic factors. As expected, EPS seems to have the higher correlation with the share price as a small increase of this ratio could cause a substantial increase on company’s share price. The same positive correlation can be observed on yearly revenues announced from the company and the yearly calculated P/E ratio without having the same big impact on the price though. In the other hand, dividends paid during the year and company’s average market capitalization of last year have negative correlation with the price meaning that a slightly increase of those two factors could force share price to move down.Complete
How quantitative easing affects the real economy and interest rates
No full textThis thesis will present the strategies and monetary policies that were followed by the Central Banks of Europe and United States respectively, by the time the economic crisis broke out. The analysis is trying to make clear whether the two different strategies helped the real economy or not. Before entering the analysis, basic concepts are being clarified for better understanding. Then, after presenting data and facts about the asset purchasing, the conclusions will be extracted.
The basic question is how the two programs of Quantitative Easing affected the real economy and to what extent. The answer comes based on a combination of researches developed by researchers who were active during the crisis period.Complete
Επιπτώσεις Δημοσίων Δαπανών και Εσόδων στην Οικονομική Ανάπτυξη της Κύπρου
No full textΟ σκοπός αυτής της μελέτης είναι να διερευνήσει τις επιπτώσεις που έχουν οι κυβερνητικές δαπάνες και τα έσοδα στην οικονομική ανάπτυξη της Κύπρου, χρησιμοποιώντας δεδομένα για τις χρονιές 1995-2011. Τα στοιχεία είναι τριμηνιαία και έχουν παρθεί από την Στατιστική Υπηρεσία του Υπουργείου Οικονομικών. Είναι πολύ σημαντική η μελέτη των επιπτώσεων τους στις οικονομικές επιδόσεις και την οικονομική μεγένθυση της χώρας. Ως κύριο εργαλείο εξαγωγής αποτελεσμάτων, χρησιμοποιήθηκε το οικονομετρικό πρόγραμμα Stata.Complete
Essays on Bank Lending, Output Growth and Implications for Economic Policy
No full textThe relationship between bank lending and output growth, the subsequent policy implications and the effects of policy on this relationship have been in and out of vogue many times in the academic literature. Even though the recent financial crisis has once again turned our attention to the examination of this connection, studies concerning the effects of bank lending on the overall economy and the policy implications these entail have been few since its onset. This dissertation contributes to the literature by providing three interrelated, mainly empirical, chapters which study different aspects of the relationship between bank lending and output growth, as well as the macroeconomic policies associated with them.
The first chapter examines the effect of an increase in total lending in the economy of three euro area countries (Germany, Italy, Spain) by employing a factor-augemented VAR (FAVAR) specification. The benefit of this approach, as evidenced in the literature, is that the inclusion of the factors generates more precise estimates as they incorporate the whole economy into the specification. The contribution is twofold: first, I find that while the average effect of bank lending on output is relatively small, it is always positive with responses varying across countries; second, increases in bank lending, also increase total deposits in the economy, in all sample countries, providing the first macroeconomic evidence for the credit creation theory, i.e. that bank lending creates deposits. In addition, the results suggest that large changes in deposits unrelated to changes in lending can potentially signal distress, a channel policymakers can focus on as a leading indicator.
In the second chapter, I examine the effects of private bank lending in the economy using both theory and empirical evidence supplementing the evidence presented in the first chapter. Through a two-period model, I find that even when changes in lending are due to monetary
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easing, a positive relationship between finance and growth exists, while this relationship exhibits diminishing returns after a certain threshold. Furthermore, the theoretical conclusions are tested by employing a smooth transition conditional correlation (STCC) model. The empirical evidence also suggests that the finance-growth relationship is always positive and exhibits diminishing returns after country-specific thresholds. Overall, the results suggest that, other things being constant, private lending promotes GDP growth, at any debt-to-GDP ratio. As such, macro-prudential policies should not emphasise on the level of lending, but how the allocation of these loans affects the workings of the economy.
The third chapter focuses on policy issues. The first two chapters establish that the relationship between bank lending and output growth is positive, and more so that there are no thresholds after which it becomes negative, the third chapter asks whether monetary policy has a persistent effect on bank lending behaviour. To answer this question I employ macroeconomic data for 10 euro area (EA) countries and, through the shock persistence methodology developed by Lee et al. (1993), I examine whether monetary policy has persistent effects on bank lending behavior, both directly through the credit channel and indirectly through the risk-taking and liquidity channels. The findings suggest that policy actions aimed at affecting credit risk and bank lending do not have any persistent effects if only the interest rate is employed. Consequently, macro-prudential policy should focus on other factors which affect lending decisions, most notably the liquidity channel as an important determinant of the level of lending.Complete
Investigating Risk Characteristics and Dynamic Connectedness among Traditional and Modern Investments during Crises
No full textThis PhD thesis examines the risk-return characteristics and dynamic interconnection of a diverse group of modern financial instruments. Such investments include 'environmentally friendly' stocks, which are vulnerable to systemic risk and the impact of non-normal distributions. Furthermore, well-known financial instruments such as gold, oil, and sectoral stock indices are examined, as well as emergingly popular investments such as wheat. Notably, this thesis focuses not only on highly innovative digital investment tools such as cryptocurrencies, but also on the most modern forms of digital assets, such as 'environmentally-friendly' cryptocurrencies, which are considered riskier but have the potential to become the most appealing to investors in the medium to long term. Diversification or hedging against higher systemic risk through the optimal synthesis of portfolios based on a thorough assessment of risk-adjusted performance dynamics may be a valuable tool for investors during crises such as the Covid-19 or the Russia-Ukraine conflict.Complete
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