Bank of Greece

Displaying 1-20 of 20 results

  • White Papers // May 2011

    Unveiling The Monetary Policy Rule In Euro Area

    This paper provides evidence that, since the sign of Maastricht Treaty, euro-area monetary authorities mainly follow a strong anti-inflationary policy. This policy can be described by a threshold monetary policy rule model which allows for distinct inflation policy regimes: a low and high. The paper finds that these authorities react...

    Provided By Bank of Greece

  • White Papers // Sep 2010

    Current Account Determinants And External Sustainability In Periods Of Structural Change

    The aim of this paper is to study the main macroeconomic, financial and structural characteristics that affected current account developments in Greece over the period 1960-2007 and link these to the issue of external sustainability. Concerns over Greece's external sustainability have emerged since 1999 when the current account deficit widened...

    Provided By Bank of Greece

  • White Papers // Jul 2010

    Fiscal Policy And Financial Market Movements

    This paper estimates a fiscal policy reaction function in order to investigate the links between financial and real estate market movements and fiscal policy outcomes. An increase in asset prices affects in a positive and significant manner primary balances, with the response reflecting both an increase in government revenues and...

    Provided By Bank of Greece

  • White Papers // Jun 2010

    European Sovereign Bond Spreads: Monetary Unification, Market Conditions And Financial Integration

    In this paper the authors examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus they formulate sovereign bond yield spreads, for eleven EMU countries against the Bund...

    Provided By Bank of Greece

  • White Papers // May 2010

    Export Performance, Competitiveness And Commodity Composition

    This paper attempts to evaluate Greek export performance during the 1996-2006 period, using detailed panel data on bilateral trade by product. Factors explaining Greek export market shares are analysed with the method of Constant Market Shares. In addition, the dynamics of the specialization pattern of Greek exports and the effect...

    Provided By Bank of Greece

  • White Papers // Apr 2010

    Boosting Confidence: Is There A Role For Fiscal Policy?

    This paper investigates the widely held view that expansionary fiscal policy can boost consumer and business confidence, which will stimulate private spending and sustain economic activity. The authors find evidence in favor of this conjecture, i.e., cuts in direct taxes generate a positive effect on consumer and business confidence, while...

    Provided By Bank of Greece

  • White Papers // Apr 2010

    Bretton-Woods Systems, Old And New, And The Rotation Of Exchange-Rate Regimes

    A recent contribution to the literature argues that the present international monetary system in many ways operates like the Bretton-Woods system. Asia is the new periphery of the system and pursues an export-led development strategy based on undervalued exchange rates and accumulated foreign reserves. The United States remains the centre...

    Provided By Bank of Greece

  • White Papers // Feb 2010

    Downward Nominal And Real Wage Rigidity: Survey Evidence From European Firms

    It has been well established that the wages of individual workers react little, especially downwards, to shocks that hit their employer. This paper presents new evidence from a unique survey of firms across Europe on the prevalence of downward wage rigidity in both real and nominal terms. The authors analyse...

    Provided By Bank of Greece

  • White Papers // Jan 2010

    Assessing Market Dominance: A Comment And An Extension

    The authors have proposed a new statistic to assess market dominance. In this paper they expand their discussion of certain mathematical properties in their analysis and link their methodology to some previous approaches. The purpose of the present comment is firstly, to show the interconnection of these approaches and, secondly,...

    Provided By Bank of Greece

  • White Papers // Dec 2009

    The Margins Of Labour Cost Adjustment: Survey Evidence From European Firms

    Firms have multiple options at the time of adjusting their wage bills. However, previous literature has mainly focused on base wages. The authors broaden the analysis beyond downward rigidity in base wages by investigating the use of other margins of labour cost adjustment at the firm level. Using data from...

    Provided By Bank of Greece

  • White Papers // Dec 2009

    An Alternative Methodological Approach To Assess The Predictive Performance Of The Moving Average Trading Rule In Financial Markets: Application To The London Stock Exchange

    In this paper a modification of the Box-Tiao methodology for the assessment of the impact of external events on time series is proposed as an alternative statistical approach of assessing the predictive performance of the moving average trading rule in financial markets. With the proposed methodology measures of the predictive...

    Provided By Bank of Greece

  • White Papers // Nov 2009

    The Effect Of Asset Price Volatility On Fiscal Policy Outcomes

    This paper examines the effect of asset price volatility on fiscal policy stance. The authors find that asset price volatility affects the volatility of discretionary fiscal policy in a positive and significant manner, which according to Fatas and Mihov (2003) has negative repercussions on output volatility and economic growth. Higher...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    Fiscal Adjustments And Asset Price Movements

    This paper examines the links between asset price movements and fiscal adjustments. These findings suggest that a pick up in asset prices increases the probability of initiating a fiscal adjustment, but it does not necessarily lead to a sustainable correction of fiscal imbalances. However, higher real equity prices increase the...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    Benchmark Bonds Interactions Under Regime Shifts

    In the present paper the authors examine interactions among five benchmark ten year government bonds, namely those of the US, Germany, France, Italy and the Netherlands. Main aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    An Optimum-Currency-Area Odyssey

    The theory of optimum-currency-areas was conceived and developed in three highly influential papers, written by Mundell (1961), McKinnon (1963) and Kenen (1969). Those authors identified characteristics that potential members of a monetary union should ideally possess in order to make it feasible to surrender a nationally-tailored monetary policy and the...

    Provided By Bank of Greece

  • White Papers // Aug 2009

    Bank Heterogeneity And Monetary Policy Transmission

    The heterogeneity in the response of banks to a change in monetary policy is an important element in the transmission of this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal factors influencing banks' reaction in terms of lending and risk-taking to...

    Provided By Bank of Greece

  • White Papers // Aug 2009

    Revisiting The Merger And Acquisition Performance Of European Banks

    The papers examines the value creation of Merger and Acquisition (M&A) deals in European Banking from 1990-2004. This is performed, first, by examining the stock price reaction of banks to the announcement of M&A deals and, second, by analyzing the determinants of this reaction. The findings provide evidence of value...

    Provided By Bank of Greece

  • White Papers // Jul 2009

    Optimum Currency Areas Structural Changes And The Endogeneity Of The OCA Criteria: Evidence From Six New EU Member States

    The present paper has two aims. The first aim is to test whether six new member states of the European Union (the six Central and Eastern European Countries) form an Optimum Currency Area (OCA) with the eurozone, in an attempt to assess their readiness for euro adoption. The second aim...

    Provided By Bank of Greece

  • White Papers // Apr 2009

    Fertility Determinants And Economic Uncertainty: An Assessment Using European Panel Data

    This paper examines the determinants of fertility, using panel data for twenty-seven European countries. The authors employ panel co-integration to estimate fertility as function of demographic and economic variables. They show that low fertility in most industrialized countries in Europe is due to low infant mortality rates, high female employment,...

    Provided By Bank of Greece

  • White Papers // Jan 2007

    Identification Of A Loan Supply Function: A Cross-Country Test For The Existence Of A Bank Lending Channel

    Using the theoretical predictions of the Bernanke-Blinder (1988) model, the authors seek to examine the existence of a bank lending channel through the empirical identification of a loan supply function and to assess the impact of differential bank characteristics on banks' ability to supply loans. To this end, they estimate...

    Provided By Bank of Greece

  • White Papers // Sep 2010

    Current Account Determinants And External Sustainability In Periods Of Structural Change

    The aim of this paper is to study the main macroeconomic, financial and structural characteristics that affected current account developments in Greece over the period 1960-2007 and link these to the issue of external sustainability. Concerns over Greece's external sustainability have emerged since 1999 when the current account deficit widened...

    Provided By Bank of Greece

  • White Papers // Jul 2010

    Fiscal Policy And Financial Market Movements

    This paper estimates a fiscal policy reaction function in order to investigate the links between financial and real estate market movements and fiscal policy outcomes. An increase in asset prices affects in a positive and significant manner primary balances, with the response reflecting both an increase in government revenues and...

    Provided By Bank of Greece

  • White Papers // Jun 2010

    European Sovereign Bond Spreads: Monetary Unification, Market Conditions And Financial Integration

    In this paper the authors examine the dynamics of European sovereign bond yield spreads focusing on issues related to financial integration and market conditions. The finding of near-unit-root effects highlights the need for careful econometric specification. Thus they formulate sovereign bond yield spreads, for eleven EMU countries against the Bund...

    Provided By Bank of Greece

  • White Papers // May 2010

    Export Performance, Competitiveness And Commodity Composition

    This paper attempts to evaluate Greek export performance during the 1996-2006 period, using detailed panel data on bilateral trade by product. Factors explaining Greek export market shares are analysed with the method of Constant Market Shares. In addition, the dynamics of the specialization pattern of Greek exports and the effect...

    Provided By Bank of Greece

  • White Papers // Apr 2010

    Boosting Confidence: Is There A Role For Fiscal Policy?

    This paper investigates the widely held view that expansionary fiscal policy can boost consumer and business confidence, which will stimulate private spending and sustain economic activity. The authors find evidence in favor of this conjecture, i.e., cuts in direct taxes generate a positive effect on consumer and business confidence, while...

    Provided By Bank of Greece

  • White Papers // Apr 2010

    Bretton-Woods Systems, Old And New, And The Rotation Of Exchange-Rate Regimes

    A recent contribution to the literature argues that the present international monetary system in many ways operates like the Bretton-Woods system. Asia is the new periphery of the system and pursues an export-led development strategy based on undervalued exchange rates and accumulated foreign reserves. The United States remains the centre...

    Provided By Bank of Greece

  • White Papers // Feb 2010

    Downward Nominal And Real Wage Rigidity: Survey Evidence From European Firms

    It has been well established that the wages of individual workers react little, especially downwards, to shocks that hit their employer. This paper presents new evidence from a unique survey of firms across Europe on the prevalence of downward wage rigidity in both real and nominal terms. The authors analyse...

    Provided By Bank of Greece

  • White Papers // Jan 2010

    Assessing Market Dominance: A Comment And An Extension

    The authors have proposed a new statistic to assess market dominance. In this paper they expand their discussion of certain mathematical properties in their analysis and link their methodology to some previous approaches. The purpose of the present comment is firstly, to show the interconnection of these approaches and, secondly,...

    Provided By Bank of Greece

  • White Papers // Jul 2009

    Optimum Currency Areas Structural Changes And The Endogeneity Of The OCA Criteria: Evidence From Six New EU Member States

    The present paper has two aims. The first aim is to test whether six new member states of the European Union (the six Central and Eastern European Countries) form an Optimum Currency Area (OCA) with the eurozone, in an attempt to assess their readiness for euro adoption. The second aim...

    Provided By Bank of Greece

  • White Papers // Apr 2009

    Fertility Determinants And Economic Uncertainty: An Assessment Using European Panel Data

    This paper examines the determinants of fertility, using panel data for twenty-seven European countries. The authors employ panel co-integration to estimate fertility as function of demographic and economic variables. They show that low fertility in most industrialized countries in Europe is due to low infant mortality rates, high female employment,...

    Provided By Bank of Greece

  • White Papers // Dec 2009

    The Margins Of Labour Cost Adjustment: Survey Evidence From European Firms

    Firms have multiple options at the time of adjusting their wage bills. However, previous literature has mainly focused on base wages. The authors broaden the analysis beyond downward rigidity in base wages by investigating the use of other margins of labour cost adjustment at the firm level. Using data from...

    Provided By Bank of Greece

  • White Papers // Dec 2009

    An Alternative Methodological Approach To Assess The Predictive Performance Of The Moving Average Trading Rule In Financial Markets: Application To The London Stock Exchange

    In this paper a modification of the Box-Tiao methodology for the assessment of the impact of external events on time series is proposed as an alternative statistical approach of assessing the predictive performance of the moving average trading rule in financial markets. With the proposed methodology measures of the predictive...

    Provided By Bank of Greece

  • White Papers // Nov 2009

    The Effect Of Asset Price Volatility On Fiscal Policy Outcomes

    This paper examines the effect of asset price volatility on fiscal policy stance. The authors find that asset price volatility affects the volatility of discretionary fiscal policy in a positive and significant manner, which according to Fatas and Mihov (2003) has negative repercussions on output volatility and economic growth. Higher...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    Fiscal Adjustments And Asset Price Movements

    This paper examines the links between asset price movements and fiscal adjustments. These findings suggest that a pick up in asset prices increases the probability of initiating a fiscal adjustment, but it does not necessarily lead to a sustainable correction of fiscal imbalances. However, higher real equity prices increase the...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    Benchmark Bonds Interactions Under Regime Shifts

    In the present paper the authors examine interactions among five benchmark ten year government bonds, namely those of the US, Germany, France, Italy and the Netherlands. Main aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into...

    Provided By Bank of Greece

  • White Papers // Sep 2009

    An Optimum-Currency-Area Odyssey

    The theory of optimum-currency-areas was conceived and developed in three highly influential papers, written by Mundell (1961), McKinnon (1963) and Kenen (1969). Those authors identified characteristics that potential members of a monetary union should ideally possess in order to make it feasible to surrender a nationally-tailored monetary policy and the...

    Provided By Bank of Greece

  • White Papers // Aug 2009

    Bank Heterogeneity And Monetary Policy Transmission

    The heterogeneity in the response of banks to a change in monetary policy is an important element in the transmission of this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal factors influencing banks' reaction in terms of lending and risk-taking to...

    Provided By Bank of Greece

  • White Papers // Aug 2009

    Revisiting The Merger And Acquisition Performance Of European Banks

    The papers examines the value creation of Merger and Acquisition (M&A) deals in European Banking from 1990-2004. This is performed, first, by examining the stock price reaction of banks to the announcement of M&A deals and, second, by analyzing the determinants of this reaction. The findings provide evidence of value...

    Provided By Bank of Greece

  • White Papers // Jan 2007

    Identification Of A Loan Supply Function: A Cross-Country Test For The Existence Of A Bank Lending Channel

    Using the theoretical predictions of the Bernanke-Blinder (1988) model, the authors seek to examine the existence of a bank lending channel through the empirical identification of a loan supply function and to assess the impact of differential bank characteristics on banks' ability to supply loans. To this end, they estimate...

    Provided By Bank of Greece

  • White Papers // May 2011

    Unveiling The Monetary Policy Rule In Euro Area

    This paper provides evidence that, since the sign of Maastricht Treaty, euro-area monetary authorities mainly follow a strong anti-inflationary policy. This policy can be described by a threshold monetary policy rule model which allows for distinct inflation policy regimes: a low and high. The paper finds that these authorities react...

    Provided By Bank of Greece