Papers by George Hondroyiannis
MPRA Paper, 2011
The purpose of this paper is to explore the main macroeconomic, financial and structural factors ... more The purpose of this paper is to explore the main macroeconomic, financial and structural factors that influenced current account developments in the euro area countries over the period from 1980 to 2008. The analysis, which theoretically rests on the intertemporal ...
Journal of Economic Studies, 2020
PurposeA growing amount of micro-data analyses has highlighted the importance of information trai... more PurposeA growing amount of micro-data analyses has highlighted the importance of information trails, such as generated by card transactions, for improving tax compliance. Yet, time series evidence indicating a positive effect of card payments on VAT revenue performance has been scarce. This paper revisits the question of the effect of card payments on VAT revenue by using annual and quarterly panel data for the 19 euro area member states, covering the period 2000–2016.Design/methodology/approachA panel VECM is employed in order to address endogeneity issues and to account for common stochastic trends, which, is shown to be crucial in revealing the anticipated positive effect of card use on the performance of VAT.FindingsThe analysis confirms that a higher share of card payments in private consumption increases VAT revenue and the efficiency of revenue collection. Higher gains are estimated for countries with above average self-employment.Originality/valueThe contribution of the pape...
Journal of International Money and Finance, Oct 1, 2013
Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmet... more Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmetry and proportionality of the price coefficients. We investigate a separate condition, which we term homogeneity. Specifically, while there may be factors that drive a wedge between prices and exchange rates, when these factors are held constant we would expect a change in exchange rates to be associated with a proportional, or homogeneous, change in prices. To test for the existence of homogeneity in prices, we conduct two experiments. First, we apply a time-varyingcoefficient procedure to nine euro-area countries as well as the euro area as a whole during the (monthly) sample period, 1999: M1 to 2011:M3. Second we apply the same procedure to the same group of countries, plus Canada, Japan and Mexico, over the longer period, 1957:M4 to 2011:M3. We find that averages of the price coefficients, corrected for specification biases, are uniformly homogeneous in the long run, providing strong support for PPP.
Economic change and restructuring, Sep 25, 2012
Journal of African Economies, Jun 23, 2008
After trending upward for about 25 years, the income velocity of money in South Africa reversed c... more After trending upward for about 25 years, the income velocity of money in South Africa reversed course in 1994 and began a steep decline that continues to the present day. Some writers have argued that the change in income velocity is symptomatic of an unstable demand for money, the implication of this argument being that movements in the money supply provide little useful information about medium-to-long-term inflationary developments. We argue otherwise. Our basic premise is that there is a stable demand-for-money function but that the models that have been used to estimate South African money demand are not well specified because they do not include a measure of wealth. Using two empirical methodologies-a co-integrated vector equilibrium correction (VEC) approach and a timevarying coefficient (TVC) approach-we find that a demand-for-money function that includes wealth is stable. Consequently, our results suggest that the present practice of the South African Reserve Bank whereby M3 is used as an information variable in the Bank's inflationtargeting framework is well-placed.
Studies in Nonlinear Dynamics and Econometrics, Jan 11, 2010
Misspecifications of econometric models can lead to biased coefficients and error terms, which in... more Misspecifications of econometric models can lead to biased coefficients and error terms, which in turn can lead to incorrect inference and incorrect models. There are specific techniques such as instrumental variables which attempt to deal with some individual forms of model misspecification. However these can typically only address one problem at a time. This paper proposes a general method for estimating underlying parameters in the presence of a range of unknown model misspecifications. It is argued that this method can consistently estimate the direct effect of an independent variable on a dependent variable with all of its other determinants held constant even in the presence of a misspecified functional form, measurement error and omitted variables. .
Spatial Economic Analysis, Jun 1, 2009
Abstract A spatial model is used to specify and then test for the existence of contagion among em... more Abstract A spatial model is used to specify and then test for the existence of contagion among emerging market economies. We consider both trade and regional channels of contagion. Our results suggest that contagion is a statistically significant factor in foreign exchange markets and, furthermore, its effects are not uniform across the countries considered. Our results also suggest that trade links are significant channels of contagion transmission; on the other hand, geographic distances do not appear to be significant channels of contagion transmission. We also report results which indicate the extent of contagion. These results relate to effects which emanate from one country to another. Aspects spatiaux de la contagion parmi les économies émergentes Résumé Nous faisons usage d'un modèle spatial pour spécifier, puis tester, l'existence d'une contagion parmi les économies des marchés émergents. Nous nous penchons sur les vecteurs commercial et régional de cette contagion. Nos résultats indiquent d'une part que la contagion est un facteur significatif sur le plan statistique dans les marchés à commerce extérieur, d'autre part que ses effets ne sont pas uniformes dans les pays examinés. Nos résultats nous permettent d'affirmer également que les relations commerciales sont des vecteurs significatifs de transmission de la contagion; par contre, les distances géographiques ne semblent pas être des vecteurs significatifs de transmission de la contagion. Nous présentons également des résultats qui soulignent l’étendue de la contagion: ces résultats portent sur les effets émanant d'un pays à un autre. Aspectos espaciales del contagio entre economias emergentes Résumén Se utiliza un modelo espacial para especificar, y luego se comprueba la existencia de contagio entre las economías de mercados emergentes. Consideramos canales de contagio, tanto comerciales como regionales. Nuestros resultados sugieren que el contagio es un factor estadísticamente significativo en los mercados de divisas, así como que sus efectos no son uniformes a través de los países considerados. Nuestros resultados también sugieren que los lazos comerciales son canales significativos para la transmisión de contagio; por otra parte, las distancias geográficas no parecen ser canales significativos de transmisión de contagio. También incluimos resultados que indican la extensión del contagio. Dichos resultados se relacionan con efectos que emanan de un país a otro.
Journal of Economics and Business, Aug 1, 1996
This paper develops two models to explain the growth of assets of foreign banks and the number of... more This paper develops two models to explain the growth of assets of foreign banks and the number of branches in Greece by country of origin. The empirical results indicate that foreign trade with Greece, country's creditworthiness, the size of the banking sector in the foreign country and the geographic distance of the foreign country from Greece are directly related to foreign bank presence in Greece.
Applied Economics Letters, Nov 1, 1994
ABSTRACT
Open Economies Review, Jan 20, 2010
... 4. Sudden large shocks to relative prices, such as the large oil price shocks may cause nomin... more ... 4. Sudden large shocks to relative prices, such as the large oil price shocks may cause nominal ... We can remove the effect on the coefficients which come from the second set of variables (ie ... Inflation is estimated as the rate of growth of the consumer price index (CPI) from one ...
Economics Letters, 2000
A random coefficient estimation procedure is used to estimate the time profile of the interest ra... more A random coefficient estimation procedure is used to estimate the time profile of the interest rate elasticity of Japanese money demand. Contrary to the prediction of the liquidity trap hypothesis, the absolute value of the elasticity is found to decline at lower levels of interest rates.
Journal of Policy Modeling, Mar 1, 2005
The paper studies the relationship among per capita output, real wage and demographic variables, ... more The paper studies the relationship among per capita output, real wage and demographic variables, such as fertility rate and age dependency ratio in eight European countries over the period 1960–98. In the empirical analysis, stationarity and non-cointegration is tested employing country-by-country and panel tests. The results show that in a country-by-country basis and in the panel setting, there is a long-run relationship among the four variables. Employing the fully modified OLS estimation technique, the long-run coefficients are estimated for each country separately and for the panel as a whole. The results indicate that in the long run, an increase in real output per capita will be associated with higher fertility while positive employment shocks are responsible for the deterioration of fertility. In addition, the findings suggest that in the sample of the eight European countries, an increase in fertility will be associated with higher real per capita output.
Journal of International Financial Markets, Institutions and Money, Apr 1, 2005
This paper assesses empirically the relationship between the development of the banking system an... more This paper assesses empirically the relationship between the development of the banking system and the stock market and economic performance for the case of Greece over the period 1986-1999. Greece is a medium sized EU country where the financial liberalization process started back in the early eighties. The empirical results, using VAR models, suggest that there exists a bi-directional causality between finance and growth in the long run. The findings, using error-correction models, show that both bank and stock market financing can promote economic growth, in the long run, although their effect is small. Furthermore, the contribution of stock market finance to economic growth appears to be substantially smaller compared to bank finance.
RePEc: Research Papers in Economics, Sep 1, 2009
The paper provides new evidence on the causal relationship between money and price for the euro a... more The paper provides new evidence on the causal relationship between money and price for the euro area using quarterly data for the period 1980 to 2006, employing two alternative methods of estimation: the vector error correction (VEC) and time-varying coefficient (TVC) estimation techniques. The latter technique has the advantage over the former technique in that it can deal with possible specification biases and spurious relationships that may have arisen from structural changes. The empirical results from the VEC method reveal a bidirectional causal relationship between money and price. Contrary, the results from the TVC technique suggest that money is acting as an exogenous process determining the price level.
Social Science Research Network, 2003
This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a perio... more This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC) modelling, are used to estimate the demand for money. The coefficients of both the VEC and RC procedures support the hypothesis that the demand for money becomes more responsive to both the own rate of return on money balances and the opportunity cost of holding money because of financial deregulation. In general, both procedures also support the hypothesis that the income elasticity of money demand declines over time as a result of technological improvements in the payments system and the development of money substitutes, which lead to economies of scale in holding money.
RePEc: Research Papers in Economics, Aug 1, 2007
RePEc: Research Papers in Economics, Sep 1, 2009
A recent contribution to the literature argues that the present international monetary system in ... more 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. The members of the new periphery peg their currencies to the U.S. dollar at undervalued exchange rates and accumulate foreign reserves. In contrast, the old periphery-consisting of Western Europe, Canada and parts of Latin America-interacts with the centre with flexible exchange rates; its aggregate current account has been roughly in balance. As under the older system, the United States remains the centre country, pursuing a monetary-policy strategy that overlooks the exchange rate. An implication of this argument is the following asymmetry hypothesis: under both regimes the United States does not take external factors into account in conducting monetary policy while the periphery does take external factors into account. We provide results of a test of the asymmetry hypothesis. Then, we present a new method for decomposition of the business cycle using a time-varying-coefficient technique that allows us to test the relationship between the cycle and macroeconomic policies. We apply this technique to five countries for three sub-periods over the 1959 to 2007 period.
RePEc: Research Papers in Economics, Aug 1, 2007
RePEc: Research Papers in Economics, Sep 1, 2009
Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consi... more Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the issue of non-stationarity. This paper outlines the basic stages of the technique and discusses in detail how the issue of nonstationarity and cointegration affect each stage of the TVC estimation procedure. Keywords Specification Problem ⋅ Correct interpretation of coefficients ⋅ Appropriate assumption ⋅ Time-varying coefficient model ⋅ Coefficient driver JEL Classification Numbers C130 ⋅ C190 ⋅ C220 ________________________________________________________________________ The views expressed in this paper are the authors' own and do not necessarily represent those of their respective institutions.
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Papers by George Hondroyiannis