1,720,993 research outputs found
PEACE AND TOURISM: A NEXUS? EVIDENCE FROM DEVELOPED AND DEVELOPING COUNTRIES
No full text The paper empirically examines the nexus between tourism and peace. To do so, it uses in the analysis the recently developed composite Global Peace Index. The sample employed consists of 113 countries and covers the period 2008–2014. The methodology adopted includes PVAR Granger causality tests and impulse response functions. The sample was split into two income groups to allow for the possibility that the nexus differs between developed and developing countries. Findings reported herein indicate a temporary, very short-term adverse effect on tourism as a result of worsening levels of peacefulness only for the former group of countries. A peace promoting effect by tourism is established in the case of the latter group. </jats:p
The Monetary Transmission Mechanism: Evidence from Eight Economies in Transition
No full textWe examine in this paper the importance of banks' behavior in the transmission of the monetary policy to the real economy. Monthly data from eight economies in transition that recently became members of the European Union and the techniques of cointegration and Error Correction models are used, in order to investigate the relationship between intermediation margin spread (IMS, official lending rate minus deposit rate) and industrial production. Given the low development of corporate bond market and the dependence of non-financial agents on banking credits, we find that in many countries the IMS is an important leading indicator of industrial production. However, in countries characterized by credit access constraints (Estonia and Latvia) evidence for the traditional money channel is found. Evidence for both money and credit channels is found in Poland and Hungary. These results imply that a common monetary policy implemented by the European Central Bank may be transmitted in different ways across the new members of the enlarged European Union with different effects on real output in each country.Monetary policy, transmission mechanism, credit channel, VAR/VEC models,
The macroeconomic effects of fiscal consolidation policies in Greece
No full text
Purpose
This paper aims to investigate the effects of contractionary fiscal policy shocks on major Greek macroeconomic variables within a structural vector autoregression framework while accounting for debt dynamics.
Design/methodology/approach
The sign restriction approach is applied to identify a linear combination of government spending and government revenue shock simultaneously while accounting for debt dynamics. Additionally, output and unemployment responses to fiscal shocks under different scenarios concerning the amalgamation of austerity measures are considered.
Findings
The results indicate that a contractionary consumption policy shock, namely, a 1 per cent decrease in government consumption and a 1 per cent increase in indirect taxes, is preferred, as it produces a minor decrease in output and substantially decreases public debt, while a contractionary wage policy shock is suitable only when the government aims to sharply reduce public debt, as the consequences for the economy are harsh. A contractionary investment policy shock is not recommended, as it triggers a rise in unemployment and a fall in output, while the effect on the public debt is minor.
Practical implications
Policymakers should focus their efforts on reducing unproductive government consumption on the expenditure side. Concerning revenues, the reinforcement of tax administration is recommended to ensure that indirect taxes will be collected.
Originality/value
This paper contributes to the existing literature by providing a disaggregated analysis of the effects of fiscal policy actions in Greece by implementing several fiscal policy scenarios and accounting for the level of public debt. All scenarios are in the vein of the economic adjustment programs guidelines.
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Interest rate pass through in a Markov-switching Vector Autoregression model: Evidence from Greek retail bank interest rates
No full textYield spreads and real economic activity in East European transition economies
No full textRecent research in developed countries provides evidence for the significant role of the yield spread on real economic activity. Using k-months industrial production growth rate model, this article attempts to ascertain whether similar results are obtained for countries from East Europe (Czech Republic, Poland, Hungary and Slovakia). The results suggest that the interest rate spread does indeed have some predictive power over the 24-months across the countries. These results remain qualitative robust to the inclusion of additional variables and to the change of unemployment rate as a different measure of economic activity. Cyclical movements of volatility appear to be unable to account for the usefulness of the spread for forecasting industrial production growth. Finally, it is found that the term spread is a better indicator of future real growth in countries with low and stable inflation (Czech Republic) and not in countries characterized by high and volatile inflation (Hungary).
Evaluating the style-based risk model for equity mutual funds investing in Europe
No full textAmerican equity mutual funds of varying investment styles investing in Europe is examined, using Value at Risk (VaR) and expected tail loss (ETL) models developed through three techniques (parametric, nonparametric and style-based approach). Alternative VaR and ETL implementations might impact the market risk forecast. It is necessary to avoid biasing fund risk estimates. Particular attention is given to the style-based risk approach by comparing it to the other methods. A performance evaluation of the models is approached from two directions: statisical model selection and model selection based on a loss function. The empirical results show that the particular investment style of a mutual fund must guide and determine which VaR and ETL model may be applied in order to extract accurate risk estimates. For the least diversified funds that overweight growth and underweight value stocks, the style-based risk model produce significantly lower VaR and ETL estimates than do the other models. The results for the well-diversified fund show an opposite significance pattern. Through 'backtesting' procedures, additional evidence is provided for the significance of testing frequency and size of tail losses in order to rank risk models.
American equity mutual funds in European markets: Hot hands phenomenon and style analysis
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