Anthony N. Rezitis

Agricultural University of Athens · Department of Agricultural Economics & Rural Development (RE&D)

This study estimates changes in productivity and profitability and their respective components for two major Indian sse crops, pigeon peas and chickpeas. Results show that average profitability declined during the period under consideration (2009-2014) for both pulse crops. Lower profits are driven by increases in input prices and decreases in tota...

This study investigated the volatility linkages between energy and agricultural futures, including possible causes for these comovements, such as external macroeconomic and financial shocks during low and high volatility regimes. A combination of Markov‐switching regressions and quadrivariate VAR–DCC–GARCH and VAR–BEKK–GARCH modeling revealed that...

Markov Chain Monte Carlo (MCMC) techniques, in the context of Bayesian inference, constitute a practical and effective tool to produce samples from an arbitrary distribution. These algorithms are applied to calculate parameter values of predictive models of the phenomenon of varying volatility in data time series. For this purpose, 3 such research...

Against the background of the agricultural tax reform and the disintegration of China’s rural collective agriculture system, participatory irrigation management (PIM) is the key to improving irrigation management performance. Based on the survey data of 712 peasant households in the Yellow River basin of China, this study employs multi-group struct...

Purpose The study's purpose is to investigate the price volatility of four dairy commodities (skim milk powder [SMP], whole milk powder [WMP], butter and cheddar cheese) in the three most significant regional markets (EU, Oceania and US) in the international dairy market. Design/methodology/approach The study uses a panel-Generalized Autoregressiv...

The present study investigates the price (co)volatility of four dairy commodities-skim milk powder, whole milk powder, butter and cheddar cheese-in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time-varying covariance and correlation matrices by imposing a low-dimensional latent dynamic fact...

The present study investigates the price (co)volatility of four dairy commodities -- skim milk powder, whole milk powder, butter and cheddar cheese -- in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time-varying covariance and correlation matrices by imposing a low-dimensional latent dynami...

The present paper investigates price dependence in the international skim milk powder markets. Time-varying and dynamic stochastic copulas are applied on bi-weekly prices from Europe, Oceania, and the United States, covering the period from September 1998 to May 2017. The copulas' empirical results support that price correlations increase over time...

Purpose This paper attempts to model the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece. Design/methodology/approach The transmission mechanism of the price volatility is modeled using the most popular multivariate GARCH models while taking into consideration possible asy...

Africa’s disadvantaged children are often rural, malnourished, out of school, child brides or child labourers. Moreover, they tend to have illiterate mothers who have been denied access to productive resources. Our objective is to analyse the factors affecting child poverty. To this end, we studied the endogenous variables of under-five mortality r...

Africa’s disadvantaged children are often rural, malnourished, out of school, child brides or child labourers. Moreover, they tend to have illiterate mothers who have been denied access to productive resources. Our objective is to analyse the factors affecting child poverty. To this end, we studied the endogenous variables of under-five mortality r...

In this article, we apply Hu and Tsay’s (2014) principal component volatility (PVC) analysis to the weekly log returns of nine agricultural commodity futures from May 2005 to March 2019. The empirical results yield nine estimated PVC processes, one of which has no ARCH effects according to the statistical tests.

The nonlinear ARDL model is applied to monthly price data to analyse vertical price transmission among farm and retail markets for a variety of dairy products in Finland. The results support the presence of long-run asymmetry for non-fat and low-fat milk as well as for blue and Emmental cheese; of short-run asymmetry for Edam cheese; and of short-...

Contract farming (CF) has been offered as a solution to missing markets in developing economies. However, little is known as to how the presence of CF affects production risk, technical efficiency and risk attitudes of the smallholder. This study investigates production risk, technical efficiency, output price uncertainty and risk attitudes of cont...

This study investigates the impact of trade liberalisation on the spatial price co‐movements between the dairy markets of the EU, Oceania, and the United States. We consider two main dairy products, namely butter and whole milk powder (WMP), and employ R‐Vines to assess the development of the tail dependence between the price series. We split the t...

Understanding the factors affecting irrigation management performance is crucial for sustainable resource use, especially with the decentralized management mode of irrigation systems being implemented in rural China. This paper contributes to the research field by incorporating different categories of social trust and perceived organization support...

We investigate production risk, technical efficiency and risk attitudes amongst contract and independent farmers. We use a Bayesian parametric approach and stochastic dominance quantile regression methods to compare technical efficiency and risk attitude of smallholders in Nepal. Using farm‐level data, we find that contract farmers appear to show l...

In this study, we employ a multivariate panel error correction model (PVECM) to investigate asymmetric price transmission among the farm, processor, and retail segments of the European food supply chain for the 2005–2016 period. The results indicate that, in both the long- and short-run, retail prices respond more strongly to processor price increa...

The present study investigates the impact of major Free Trade Agreements and liberalization policies, initiated in 2008 or shortly before, on the spatial price co-movements between the dairy markets of the EU, Oceania and the US. We consider two main dairy products, that is, butter and whole milk powder (WMP) and employ the statistical tool of R-Vi...

The 2003 CAP Reform commenced a liberal shift on the policies designed to protect farmers across Europe. The CAP Health Check of 2008 and the 2013 CAP Reform confirmed this change, adopting measures including the further decoupling of production, the abolishment of set-aside and the phasing-out of milk quotas. It is therefore expected that price tr...

This study investigates the price transmission mechanism between the producer and the consumer of the Greek food market while taking into consideration the decoupling policy scheme of the Common Agricultural Policy of the European Union. The empirical analysis uses the panel vector error correction model for the empirical investigation of the price...

This study uses a panel cointegration and Error Correction Vector Autoregressive (EC-VAR) approach to examine the long- and short-run dynamics as well as the direction of causality between agricultural product prices, producer prices and consumer prices along the Finnish meat (i.e., beef, pork, and poultry), dairy (i.e., fresh milk, other milk prod...

The current paper compared the productivity and efficiency of smallholder irrigated and rain-fed rice farms in Northern Ghana using farm household survey data for the 2013/2014 farming season. The authors accounted for self-selection into irrigation using propensity score matching and conducted a formal test of the homogeneous production technology...

The study assessed the technical and scale efficiency of small-scale rice producers in northern Ghana as well as the effect of farm size on efficiency. Using survey data from 300 farm households, the study employed data envelopment analysis (DEA) to measure efficiency and a bootstrapped truncated regression in the second stage to assess the determi...

The present study investigates the price relations as well as the direction of causality between the actors in selected European food supply chains, based on the methods of Panel Cointegration and Panel Vector Error Correction. In this framework, the “cost-push” and “demand-pull” theories are considered together with Granger causality tests, to fur...

This study intends to estimate the different characteristics of price transmission and aims to test the hypothesis of price transmission asymmetry based on agricultural, processor and consumer monthly series of price indexes from 2005 to 2012 in 8 European countries from both Southern and Northern Europe and via the use of time series as well as ec...

This paper investigates the dynamics of agricultural production volatility spillovers between Bangladesh, India, and Pakistan. These countries were selected because of their agricultural economic importance to the South Asian region. This study uses per capita agricultural production data for the period 1961–2012, obtained from the Food and Agricul...

This paper investigates the international quarterly prices of wheat and rice from 1983(1) to 2012(4). The empirical analysis takes place with the structural time series methodology which decomposes the price series into their trend, cycle, seasonal and irregular components. The empirical results indicate that wheat prices present cyclical behavior...

This study examines the dynamic relationship between energy consumption and economic growth in nine South and Southeast Asian countries (i.e. Bangladesh, Brunei Darussalam, India, Indonesia, Malaysia, Pakistan, the Philippines, Sri Lanka and Thailand) in a panel data framework. The time period for the study is 1990-2012, and the World Bank Developm...

This paper extends the Hall–Roeger methodology in order to investigate the market structure and to measure the degree of market power in the Greek manufacturing sector over the period 1984–2007 as a whole and by subsector at the two-digit SIC level. The present paper also estimates the net and the total welfare losses in these market power scenario...

This study examines the long-run relationship between crude oil prices, US dollar exchange rates (EXCR) and the prices of 30 selected international agricultural prices and five international fertilizer prices using panel econometric methods with and without unobserved heterogeneous effects on data sets of the period from June 1983 to June 2013. The...

This study investigates the dynamic relationship between energy consumption and economic growth in nine South and Southeast Asian countries (i.e., Bangladesh, Brunei Darussalam, India, Indonesia, Malaysia, Pakistan, the Philippines, Sri Lanka, and Thailand) using a panel data framework. The period for the study is 1990-2012, and the World Bank Deve...

In this paper, a two-step procedure is applied in order to investigate technical efficiency and its determinants in the Greek food and beverages manufacturing industry for the period 1984–2007. Technical efficiency scores for the industry are estimated using the data envelopment analysis approach. Moreover, bootstrapped truncated regressions and OL...

This study examines the relationship between crude oil prices, US dollar exchange rates and 30 selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of agricultural commodity prices (as well as specific agricultural co...

This study investigates the price transmission mechanisms between the producer and the consumer for three major Greek agricultural products: fresh potatoes, tomatoes and cucumbers. The empirical analysis uses a Markov Switching Vector Error Correction model which accounts for asymmetric responses of the producer and the consumer to price increases...

This paper has investigated the short- and long-term relationships as well as regime switching behaviour across the per-capita agricultural production of Bangladesh, India and Pakistan using vector error correction model (VECM) and Markov-switching VECM model (MS-VECM). These countries were selected due to their high agricultural economic importanc...

This chapter examines the issue of trends, cycles, and irregular components in the per capita agricultural production of three countries—Bangladesh, India and Pakistan—which are members of the South Asian Association for Regional Cooperation (SAARC). SAARC countries constitute about 23 % of the world population, and have 15 % of the world’s arable...

The present study investigates the price transmission mechanism between producer and consumer prices in the Greek fresh tomato market, using monthly price data from January 1995 to May 2011. The estimation is carried out by applying a Markov Switching Vector Error Correction model. The results indicate that there are causality and leadership relati...

The present paper provides a literature review of studies examining the potential causes and consequences of recent surges in food and agricultural commodity prices. Furthermore, this paper uses the structural trend methodology proposed by Koopman et al. (2009) to analyze movements in the IMF monthly commodity food price index for the period 1992(1...

This paper investigates producer-consumer price volatility in four meat markets in Greece: beef, lamb, pork and poultry. The methodology followed in this paper to measure price volatility is that of the diagonal VEC (DVEC) model of Bollerslev et al. (1988) while that of decomposing the estimated price volatility series into components is that of Ko...

This paper extends the Hall-Roeger methodology in order to investigate the market structure and to measure the degree of market power in the Greek food and beverages manufacturing industry over the period 1984–2007 at the three-digit SIC level. The present paper also estimates the net and the total welfare losses due to the possible existence of...

The present study explores the price transmission mechanism between producer and consumer prices in the Greek tomato market, using monthly price data of the period 1995-2011. The estimation is carried out applying, a vector error correction model (VECM) and a Markov-Switching vector autoregressive approach (MS-VAR). The results indicate the existen...

This paper adopts a Markov regime-switching heteroskedasticity approach to analyze the inflation of BRIC countries, i.e. Brazil, Russia, India and China. In particular, this paper examines the relation between inflation and its uncertainty over the short- and long-run for the period 1993-2011. The approach used in the present paper decomposes infla...

This article tests for the degree of market power in the Greek food and beverages manufacturing industry over the period 1983-2007 based on the Bresnahan's conjectural variation model of competition. It also adopts the methodology of Dickson and Yu to estimate the net and the total welfare losses due to the possible existence of market power. The b...

This paper investigates the market structure of the Greek food and beverages manufacturing industry over the period 1984-2007 at the three-digit SIC level. Based on the Hall-Roeger approach (1995), three models are used to investigate the competitive conditions in the industry. The first model (Hall-Roeger model) assesses the markup in the whole in...

This paper investigates the relative efficiency of a sample of 19 bank branches of the Agricultural Bank of Greece for the years 2002 and 2003 by using data envelopment analysis. The present study uses the intermediation approach to define bank inputs and outputs. The empirical results indicate that 36.8% of the bank branches operated fully efficie...

This article investigates the non-linear adjustment between consumer and producer prices in the Greek milk sector, using a threshold error correction autoregressive model. The results reject the null hypothesis of linear cointegration in favor of a two-regime threshold cointegration model. A cointegrating relationship is expected only when equilibr...

This article explores supply response models in a rational expectations framework with endogenous risk by using a multivariate generalized autoregressive conditional heteroskedasticity model with Cholesky decomposition. This approach allows the incorporation of price volatility as a risk factor into the supply response of a primary commodity sector...

This paper examines consumer price volatility relationships between the four major meat markets in Greece: beef, pork, lamb and broiler. The presence of high price volatility in a specific market implies high uncertainty, while the presence of spillover effects means that price volatility in one market can affect price volatility in the other marke...

This paper investigates the market structure of the Greek manufacturing industry over the period 1984-2007 at the two-digit SIC level. Three models are used to investigate the competitive conditions of the manufacturing industry. The paper investigates factors affecting the markup of the Greek manufacturing industry by estimating two additional mod...

This article examines food price volatility in Greece and how it is affected by short-run deviations between food prices and macroeconomic factors. The methodology follows the GARCH and GARCH-X models. The results show that there exists a positive effect between the deviations and food price volatility. The results are highly important for producer...

This article investigates the non-linear adjustment and price volatility between consumer and producer prices in the Greek broiler sector, using a threshold error correction autoregressive model and two multivariate GARCH models, i.e. DVEC(1,1) and BEKK(1,1). The results reject the null hypothesis of linear cointegration in favor of a three-regime...

The authors examine the supply response of the Greek broiler market. A generalized autoregressive conditional heteroskedasticity (GARCH) process is used to estimate expected price and price volatility; price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GA...

This paper investigates producer-consumer price volatility in four meat markets in Greece: beef, pork, lamb and poultry. The methodology followed in this paper to measure price volatility is that of the diagonal VEC (DVEC) model of Bollerslev et al. (1988) while that of decomposing the estimated price volatility series into components is that of Ko...

This paper measures the degree of market power of the Greek manufacturing industry over the period 1983-2007 at two-digit SIC level. Based on Bresnahan’s (1989) conjectural variation model, three different specifications are used to investigate competitive conditions of the Greek manufacturing industry. The first specification assesses the extent o...

This study examines the supply response of the Greek beef market and the possible effect of the European Union's Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993-2005. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process is used to estimate expected price, and price volatility, while several di...

This article investigates the non-linear adjustment between producer and consumer prices in the milk sector in Greece, using a two-regime threshold error correction autoregressive model. Threshold models take into account transaction costs in price transmission without directly relying in information about these costs, which are often unavailable....

This article applies the Window Malmquist Index (WMI) approach to measure changes in agricultural Total Factor Productivity (TFP) for the United States and a sample of nine European countries for the period 1973 to 1993. The dataset used in this article is obtained from Ball et al. (20012. Ball , VE , Bureau , JC , Butault , JP and Nehring , R...

The present paper uses three different New Empirical Industrial Organization (NEIO) approaches (Panzar-Rosse, Bresnahan-Lau and Hall-Roeger models) to investigate competitive conditions in the Greek banking sector over the period 1995-2004. One important event which has taken place in the Greek banking industry, especially after 1998, is a wave of...

This paper examines the long-run price relationships and regime shifts that govern the price transmission mechanisms between the farm, domestic wholesale, imported, and retail levels of the Greek lamb market. The examination is carried out using the vector error correction model (VECM), structural moving average model (SMAM), and Markov-switching v...

This study examines technical efficiency and productivity growth of Greek livestock farms participating in the 1994 European Union Farm Credit Program (1994-EU-FCP), i.e. regulation 2328/91. The farm-level economic data set used in this paper consists of two different groups of livestock farms, i.e. one group contains farms participating in the 199...

This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate...

This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate generalised autoregressive conditional heteroskedasticity model with Cholesky decomposition is used to incorporate price volatility into the rational expectations supply...

This paper investigates the supply response of the Greek sheepmeat market and examines the effects of the Common Agricultural Policy (CAP) reforms in the Greek sheepmeat industry during the period 1993-2005. The nonlinear asymmetric GARCH (NAGARCH) process is used to estimate expected price and price volatility, while supply and price equations are...

This paper uses time series data for the period 1961-1995 and a flexible model to analyze the progress of factor-biased technological change in Greek agriculture. The model employs a third-order transcendental logarithmic cost function which allows the second-order coefficients to change over time. The empirical results show that the hypothesis of...

This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric and nonlinear GARCH models are estimated. The empirical results indicate t...

The goal of this paper is to examine the impact of exchnage rate uncertainty on foreign direct investment (FDI) flows from European Union (EU) countries (the source countries) into Greece (the host country). Measuring exchange rate uncertainty through the ARCH methodology, the empirical results show that exchange rate uncertainty exerts a negative...

The objective of this paper is to investigate the relative contribution of input use, technological change and technical efficiency to the production growth of the Greek agricultural sector, using a stochastic production frontier method (Battese and Coelli, 1999) to a panel of 608 farms over the 1992/97 period. A translog functional form is used to...

This article investigates the behavior of agricultural input prices, agricultural output prices, and retail food prices using the cointegration|error-correction methodology. The findings support “cost push” and “demand pull” theories, because disequilibrium at the input level is transmitted to the retail level, and vice versa, through the output le...

This paper investigates volatility spillover effects between relative food prices and explicit macroeconomic fundamentals, i.e. exchange rates, money balances, inflation, and the deficit to income ratio, through the methodology of GARCH models. The findings showed that significant and positive macroeconomic volatility effects influence the volatili...

The main purpose of this study is to investigate the effect of acquisition activity on the efficiency and total factor productivity of Greek banks. A stochastic output distance function is used to construct a generalized output Malmquist productivity index based on the methodological framework of Orea [Orea, L., 2002. Parametric decomposition of a...

This study examines the supply response of the Greek beef market and the possible effect of the European Union’s Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993-2005. A GARCH process is used to estimate expected price and price volatility while several different symmetric, asymmetric and nonlinear GARCH models are e...

This paper investigates productivity growth and technical efficiency in the Greek banking industry for the period 1982-1997. It also compares the 1982-92 and 1993-97 sub-periods, since after 1992 the Greek banking sector experienced substantial changes. The Malmquist productivity index and the DEA method are used to measure and decompose productivi...

This paper applies time series techniques to test for convergence in agricultural total factor productivity among the USA and a sample of nine European countries for the period 1973-1993. The data set used in this paper obtained from Ball et al. (2001). The wide spectrum of unit root test results obtained in the present study support the presence o...

This paper first empirically investigates the cost structure of the Greek banking sector. Secondly, it provides measures of economies (diseconomies) of scale and quantifies technical change and its sources. Finally, this paper measures total factor productivity growth and identifies its sources. Bank production is presented with two different appro...

This study analyses the dynamic effects of specific macroeconomic variables, i.e. housing loan rates, inflation, employment, and money supply, on the price of new houses sold in Greece. An error correction vector autoregressive (ECVAR) model is used in modelling the impact of the above macroeconomic variables on housing price. The results obtained...

This paper investigates the behavior of input, output, and consumer food prices under two different policy regime periods, before and after the reformulation of the Common Agricultural Policy (CAP) occurred in May 1992. The findings, through Granger causality tests, support a different behavior in terms of the transmission from the input level to t...

This paper investigates volatility spillover effects, i.e. 'meteor showers' and 'heat waves', across consumer meat prices for lamb, beef, pork, and poultry. The empirical analysis used the methodology of the Generalized Autoregressive Conditional Heteroskedastic (GARCH) approach. The empirical results support the presence of significant 'meteor sho...

This study investigates a number of factors influencing technical efficiency of Greek farms participating in the 1994 European Union (EU) farm credit program. Technical efficiency measures are obtained within the framework of a parametric stochastic frontier. Factors showing a positive effect on technical efficiency are value of liabilities, number...

This paper investigates volatility spillover effects between relative food prices and explicit macroeconomic fundamentals, i.e. exchange rates, money balances, inflation, and the deficit to income ratio, through the methodology of GARCH models. The findings showed that significant and positive macroeconomic volatility effects influence the volatili...

This study investigates causality, price transmission and volatility spillover effects between producer and consumer prices in lamb, beef, pork and poultry markets in Greece, using the methodology of the Generalized Autoregressive Conditional Heteroscedastic (GARCH) approach. The empirical findings indicate significant price effects in the markets...

This paper estimates Okun's coefficient for certain regional areas in Greece over the period 1960-1997. Through the Hodrick-Prescott filtering and the band-pass filtering the empirical analysis shows that that the coefficients do not exhibit substantial interregional differences, except for the cases of Epirus and North Aegean Islands. In these two...

This paper investigates volatility spillover effects across agricultural input prices, agricultural output prices and retail food prices using the technique of Generalised Autoregressive Conditional Heteroscedastic (GARCH) models. The empirical findings show that the volatility of both agricultural input and retail food prices exerts significant, p...

The goal of this study is to measure X-efficiency of the banking industry in Greece, through the methodology of a stochastic frontier. The empirical results show that Greek banks are characterized by a significant inefficiency measure, running up to virtually 29%, even following substantial deregulation activities in the monetary sector. In additio...

This paper measures the degree of technical efficiency of Greek farms at discrete points in time. Stochastic frontier production functions are estimated from four annual Farm Accountancy Data Network (FADN) surveys of the 1992-95 period. From the results, a measure of technical efficiency is calculated for each farm for each year. The four distribu...

Data from a survey of North Carolina independent garden center customers in Fall 1996 were used to determine the price responsiveness of mums and pansies. A survey was conducted of four garden centers in the Raleigh, N.C., area and four garden centers operating in the Triad marketing area (Greensboro, Winston-Salem, and High Point, N.C.). Informati...

The rational expectations approach to adjustment cost models for factor demand is used to develop a dynamic model for US cigarette manufacturing. In the present study dynamic production modelling is extended to the case of multiple outputs. This analysis is the first to address cigarette manufacturing allowing for the possible influence of quasi-fi...

We investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower...

Analysis of demand for pansies and mums sold in independent garden centers indicates that price and age are important factors influencing demand. In the fall of 1996, data were collected from a survey of independent garden centers in North Carolina. Statistical analysis was conducted by estimating the relationship between consumer expenditure share...

The paper examines the extent to which exchange rate and unit tariff changes are passed‐through in US import prices ot unmanufactured Greek oriental tobacco. The results indicate partial pass‐through of exchange rates and tariffs. Exchange rate pass‐through is about 0.272 and tariff pass‐through about 0.185. One possible reason for the partial pass...