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The double half-normal distribution and its extensions
(2015) Papadopoulos, Alecos
We use the difference of two half-normal random variables as a device to generate a class of distributions whose members have Gaussian functional forms but possess the characteristic kink of the Laplace distribution and exhibit positive excess kurtosis. These distributions provide data-modeling tools alternative to the use of the Laplace distribution, but they also have applications wherever absolute values of normal random variables appear, for example in relation to the absolute error of estimators and predictors, but also in Brownian motion theory. We provide Monte Carlo evidence related to the performance of maximum likelihood estimation of the distribution.
Stochastic spanning
(2015) Arvanitis, Stelios; Hallam, Mark; Post, Thierry; Topaloglou, Nikolas
This study develops and implements methods for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a statistical test procedure for ‘stochastic spanning’ for two nested polyhedral portfolio sets based on subsampling and Linear Programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. Using this test, we accept market portfolio efficiency but reject two-fund separation in standard data sets of historical stock market returns. The divergence between the test results for the two hypotheses illustrates the role for higher-order moment risk in portfolio choice and challenges representative-investor models of capital market equilibrium.
Fiscal policy reforms in a general equilibrium model with imperfections
(2016) Koliousi, Panagiota; Miaouli, Natasha; Philippopoulos, Apostolis
The debate on the way of stabilizing the economy, through cuts in public spendingor rises in taxes, has been intensified after the crisis in 2008. This holds primarily for theEurozone periphery countries. In view of high public debts, these countries have been urgedto adopt restrictive fiscal policies which have further dampened demand and have worsenedthe recession, at least in the short term. It is known that within a dynamic general equilibrium(DGE) model with a representative agent a reduction of capital tax rates and the move of thetax burden to labour taxes produces social welfare benefits. However, one should not neglectthe resulting distributional implications, which may favour some social groups vis-à-visothers. Such distributional implications are significantly influenced by imperfections inproduct and labour markets. Thus, this paper employs a DGE model that incorporatesheterogeneous agents (entrepreneurs and workers) and imperfectly competitive product andlabour markets, augmented with a relatively rich public sector, to quantify themacroeconomic and distributional implications of fiscal reforms like the above in the euroarea. Our main results are as follows: First, the most effective policy for the government to boostoutput is to reduce the capital tax rate, regardless the policy instrument that adjusts. Inaddition, if the goal of tax-spending policy is to promote welfare, then it should decrease thetax rate on labour and increase the consumption tax rate. Finally, a reduction in any of thetax rates, financed by an increase in capital tax rate, leads to a fall of inequality between thetwo social groups.
Joint stock company births in turbulent times: Greece, 1909-1929
Pepelasis, Ioanna Sapfo; Aivalis, Konstantinos
On the basis of a new data base we map trends in the demography of incorporation(number of joint stock company births; total and median registered capital; andsectoral distribution) during 1909-1929, a turbulent phase of modern Greek history.The main findings are that:1. There was a cumulative take-off in incorporation. This ‘transcendence’ wastriggered by three factors: the political empowerment of the bourgeoisie; thelegal/institutional reforms which it initiated; and the substantial expansion inthe territory and population of Greece. The take-off phase was also interlinkedwith a quickening in industrialization, a pattern of synchronicity which has notbeen unique to Greece.2. During this take-off phase in incorporation there was ademocratization/popularization process at work as there was a sharp decreasein the median size of registered capital per start-up and the typical joint stockcompany came to ‘resemble’ partnership based/family firms.3. Manufacturing already from the 1910s became the number one activity ofjoint stock company start-ups. However, simultaneously, the nascent corporatesector showed a greater interest in the traditional segment of the economy, ascommerce and shipping became respectively its second and third mostimportant areas of activity.
Testing for prospect and Markowitz stochastic dominance efficiency
(03/13/2017) Arvanitis, Stelios; Topaloglou, Nikolas
We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ Monte Carlo experiments to assess the finite sample size and power of the tests. We use the tests to empirically establish whether the value-weighted market portfolio is the best choice of every individual with preferences exhibiting certain patterns of local attitudes towards risk. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the particular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead,we reject the hypothesis for Markowitz stochastic dominance, which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio.
Market and political power interactions in Greece: a theory
(2016) Kollintzas, Tryphon; Papageorgiou, Dimitris; Vassilatos, Vanghelis
In recent years the growth pattern of Greece has been disturbed, as this country issuffering from a persisting economic crisis that goes beyond the usual business cycle. In this paper, we develop a neoclassical growth model of market and political power interactions that explains this crisis. The model incorporates the insiders-outsiders labor market structure and the concept of an elite government. Outsiders form a group of workers that supply labor to a competitive private sector. And, insiders form a group of workers that enjoy market power in supplying labor to the public sector and influence the policy decisions of government, including those that affect the development and maintenance of public sector infrastructures. This leads to labor misallocation andinefficient fiscal policies. Despite the fact that expanding public sector output has a positive effecton growth, eventually this is counterbalanced by the labor misallocation and inefficient tax policyoutcomes. Thus, the deep and sustained growth reversal occurring in Greece is explained as aconsequence of the organizational structure of the labor market, that has important implications onthe workings of the economic and political systems.
Deflationary adjustment processes and the effectiveness of structural reforms in monetary unions
(2016) Demopoulos, George D.; Yannacopoulos, Nicholas A.
In a currency area, the only policy option available to a deficit country to regain the loss of its competitiveness is to deflate. This is going to be a painful process, especially in situations in which the Tobin-Fisher effect is dominant. Adjusting through deflation may destabilize (under certain conditions) the economy of the debtor country, while in cases in which stability is preserved, the economy is trapped in a deflationary equilibrium characterized by low output and employment. There are no policies, at the national level, able to help the economy of the debtor country out of this deflationary trap, if the surplus country insists on preserving its surpluses. In this case, the debtor is forced to reduce its spending, demand side policies are out of question, while supply policies are counterproductive. Deflation may also worsen the terms of trade of the debtor country, reducing further its welfare.
Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski’s FPT
(03/13/2017) Arvanitis, Stelios
We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixedpoint theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition ofunecessarily strong conditions for the derivation of the solution.
The driving forces of the greek great depression
(03/13/2017) Economides, George; Papageorgiou, Dimitris; Philippopoulos, Apostolis
This paper provides a quantitative study of the main determinants of the Greek greatdepression since 2010. We use a medium-scale DSGE model calibrated to the Greek economybetween 2000 and 2009 (the euphoria years that followed the adoption of the euro). Then, departingfrom 2010, our simulations show that the fiscal policy mix adopted, jointly with the deterioration ininstitutional quality and, specifically, in the degree of protection of property rights, can explainessentially all the total loss in GDP between 2010 and 2015 (around 26%). In particular, the fiscalpolicy mix accounts for 14% of the total output loss, while the deterioration in property rightsaccounts for another 8%. It thus naturally follows that a less distorting fiscal policy mix and astronger protection of property rights are necessary conditions for economic recovery in this country.
Monetary policy, market structure and the income shares in the U.S.
(15-04-2016) Bitros, George C.
This paper investigates whether the monetary policy and the market structure have anything to do with the declining share of labor in the U.S in recent decades. For this purpose: (a) a dynamicgeneral equilibrium model is constructed and used in conjunction with data over the2000-2014 period to compute the income shares; (b) the latter are compared to those reportedfrom various sources for significant differences, and (c) the influence of monetary policy issubjected to several statistical tests. With comfortable margins of confidence it is found thatthe interest rate the Federal Open Market Committee charges for providing liquidity to theeconomy is related positively with the shares of labor and profits and negatively with the shareof interest. What these findings imply is that, by moving opposite to the equilibrium real interestrate, the relentless reduction of the federal funds rate since the 1980s may have contributed tothe decline in the equilibrium share of labor, whereas the division of the equilibrium non-laborincome between interest and profits has been evolving in favor of the former, because accordingto all indications the stock of producers’ goods in the U.S has been aging. As for the marketstructure, it is found that even if firms had and attempted to exercise monopoly power, it wouldbe exceedingly difficult to exploit it because the demand of consumers’ goods is significantlyprice elastic. Should these results be confirmed by further research, they would go a long waytowards explaining the deceleration of investment and economic growth.
Savings, investment and the real interest rate in an endogenous growth model
(17/10/2012) Alogoskoufis, George
This paper proposes a framework for comparing the predictions of representative household modelswith those of models of overlapping generations, in the context of a class of endogenous growththeories with investment adjustment costs. In the model used in this paper, savings and investmentare co-determined through adjustments in the real interest rate, and the equilibrium investment ratedetermines the long-run growth rate. The two classes of models have similar predictions regardingthe effects of technological and preference shocks, but the overlapping generations model predictslower savings and investment, higher interest rates and lower growth rates that the correspondingrepresentative household model. We calibrate the two models using similar parameter values andthe results suggest that the differences between the two models are not quantitatively large. Forplausible parameter values, the differences in growth rates, savings rates and investment rates are ofthe order of 0.1 to 0.2 of a percentage point per annum, which accumulated over twenty five yearsis at most 5% of aggregate output. The differences for real interest rates are even smaller. Overallthe results suggest that the relative simplicity of the representative household model does not lead toresults that would be too far off quantitatively, even if the real world is characterized by overlappinggenerations.

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