Nikolaos Antonakakis

Nikolaos Antonakakis
Webster University Vienna · Faculty of Business and Management

PhD, MSc, BSc

About

92
Publications
27,575
Reads
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3,991
Citations
Citations since 2016
45 Research Items
3775 Citations
20162017201820192020202120220200400600800
20162017201820192020202120220200400600800
20162017201820192020202120220200400600800
20162017201820192020202120220200400600800
Additional affiliations
August 2013 - August 2015
Wirtschaftsuniversität Wien
Position
  • Research Assistant
September 2012 - present
University of Portsmouth
Position
  • Senior Lecturer in Economics and Finance
September 2008 - January 2012
Johannes Kepler University Linz
Position
  • Lecturer

Publications

Publications (92)
Article
We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions. Highlights: We examine dynamic correlations of stock market returns, implied volatility and policy uncertainty. Dynamic corre...
Article
This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and...
Article
In this study, we examine the dynamic relationship between tourism growth and economic growth, using a newly introduced spillover index approach. Based on monthly data for 10 European countries over the period 1995{2012, our analysis reveals the following empirical regularities. First, the tourism-economic growth relationship is not stable over tim...
Article
Full-text available
In this study we examine the asymmetric propagation of return spillovers between oil prices and Islamic stock prices at the sector level. To achieve that, we extend the work of Antonakakis et al. (2020a), by introducing measures of asymmetric dynamic connectedness based on a time-varying vector autoregressive (TVPVAR) model. Furthermore, in the spi...
Article
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This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autor...
Article
The so-called ‘guns and butter’ phenomenon reflects that Pakistan is experiencing a difficult choice to improve defense and welfare sector to achieve sustainable economic growth. However, results remain controversial. Therefore, this paper attempts to explore the long and short-term associations among military expenditure, human development, and ec...
Article
Existing empirical evidence on the effect of inflation-targeting on inflation volatility is, at best, mixed. However, comparing inflation volatility across alternative monetary policy regimes, i.e., pre- and post-inflation-targeting, begs the question. The question is not whether the volatility of inflation has changed, but instead whether the vola...
Article
Full-text available
In this study, we investigate the lead–lag relationship between housing prices and sales volume across four US regional housing markets, namely Midwest, Northeast, South, and West. To achieve this, we employ a time-varying parameter vector autoregressive framework of analysis that focuses on dynamic connectedness. We not only investigate how either...
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In this study, we examine the role of the Euro in currency co‐movements and contagion considering the USD exchange rates of six major currencies (i.e., EUR[DM], JPY, GBP, CHF, AUD, as well as, CAD). We identify five distinct intervals, each one corresponding to a different exchange rate regime or reflecting diverse economic developments. First, we...
Article
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Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities...
Article
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In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structure. This framework allows to capture possible changes in the underlying structure of the data in a m...
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This study examines the transmission of international monetary policy spillovers across developed economies based on a Bayesian time-varying parameter vector autoregressive (TVP-VAR) connectedness methodology. The analysis is based on daily shadow short rates over the period of January 2, 1995 to December 20, 2018. The empirical findings suggest th...
Article
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This study examines the propagation mechanism of economic policy uncertainty shocks within Greece and between Greece and Europe over the period of January, 1998 and May, 2018. Further insights about the Greek-internal and external dynamics of economic policy uncertainty are provided by employing the recently developed dynamic connectedness decompos...
Article
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In this study, we employ a TVP-FAVAR connectedness approach in order to investigate the transmission mechanism in the cryptocurrency market. To this end, we concentrate on the top 9 cryptocurrencies by virtue of market capitalization and one market factor { based on 45 additional digital currencies { capturing the co-movements in the cryptocurrency...
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We revisit the twin deficits hypothesis by examining the long-run cointegrating relationship between the US budget and trade deficits across various quantiles using a unique dataset for the period 1791–2013. The main results suggest the existence of nonlinearities and structural breaks in the relationship between the trade and budget deficits, indi...
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Unlike the extant literature on safe-havens, where one aims to relate the movements in an asset considered with extreme episodes in equity markets, we test this property for fine wine, by relating it to global uncertainty. Using a nonparametric k-th order causality-in-quantiles test, we show that, while uncertainty does affect returns and/or varian...
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Suicide rates from a global sample of 73 countries over the period 1990-2010 are empirically explored. We find evidence of an 'N-shaped' suicidal Kuznets curve between per capita income and suicide rates in the male population of 25-34, 34-54 and 55-74 age groups and the female population of the 55-74 age group. These results remain firm to several...
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Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between developed economies, examining potential spillover effects between the U.S., the E.U., the U.K, Japan and Canada. Within a time-va...
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Predicting stock returns has significant implications for asset allocation, investment performance, and testing market efficiency. To this end, we examine whether U.S. stock returns and volatility can be predicted from a comprehensive set of financial and economic uncertainty indicators as well as migration-related uncertainty measures. We employ t...
Article
The relationship between stock prices and the trade balance can be either negative or positive, depending on the signs of the wealth effect channel and the exchange rate channel. While previous studies examined this relationship in a time-invariant framework, we employ a time-varying approach so as to examine the dynamic correlations of trade balan...
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This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002...
Article
In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations....
Article
This paper revisits the ambiguous relationship between tourism and economic growth, providing a comprehensive study of destinations across the globe which takes into account the key dynamics that influence tourism and economic performance. We focus on 113 countries over the period 1995-2014, clustered, for the first time, around six criteria that r...
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While it has long been recognised that periods of economic uncertainty, characterised by increased unemployment and lower economic activity, are associated with increased suicide rates, no study has examined the impact of policy-related economic uncertainty on suicide mortality. The aim of this study is to examine the relationship between economic...
Article
This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, econo...
Article
Markets are invariably influenced and affected not only by the usual array of economic and financial factors, but also by uncertainty inducing shocks. Using monthly stock and oil data that spans over a century, this study takes a long historical perspective on whether the time-varying stock–oil covariance, their returns and their variances are affe...
Preprint
Full-text available
This article investigates asymmetry in nominal and real housing price series from 11 emerging and 20 advanced economies using the nonparametric Triples test (Randles et al., 1980), which allows identifying different types of asymmetries in economic cycles. The data sample starts in the 1970s for most of the advanced economies but is generally short...
Preprint
Full-text available
In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yılmaz (2009, 2012, 2014). We illustrate the advantages of the TVP-VAR-based connectedness approach with an empirical analysis on exchange rate volati...
Article
This paper examines the causal relationship between commodities funds and returns using monthly data for the period May 1997 to August 2015. Given the strong evidence of nonlinearity and structural breaks, we use wavelets to analyse causality between the two variables at both time and frequency domains. Wavelet coherency reveals that these two vari...
Article
The relationship between stock prices and the inflation can be either negative or positive, depending on the strengths of various theoretical channels at work. In this study, we examine the dynamic conditional correlations of stock prices and inflation in the United States over the period of 1791-2015 under a time-varying framework. The results of...
Article
This study examines the convergence patterns of Euro Area (EA) 17 countries' sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed by Phillips and Sul (2007). The empirical findings suggest rejection of full convergence across the EA17 countries' bond...
Article
In this study we examine the dynamic interrelationship in the output--energy--environment nexus by applying panel vector autoregression (PVAR) and impulse response function analyses to data on energy consumption (and its subcomponents), carbon dioxide emissions and real GDP in 106 countries classified by different income groups over the period 1971...
Article
In this study we examine the dynamic structural relationship between oil price shocks and stock market returns or volatility for a sample of both net oil–exporting and net oil–importing countries between 1995:09 and 2013:07. We accomplish that, by extending the Diebold and Yilmaz (2014) dynamic connectedness measure using structural forecast error...
Article
In this article, we investigate asymmetry in nominal and real housing price series from eleven emerging and twenty advanced economies using the nonparametric Triples test (Randles et al., 1980), which allows identification of different types of asymmetries in economic cycles. We find asymmetry in fewer emerging than advanced economies. In more than...
Article
In this study, we examine the time-varying correlations between output and prices, while controlling for the impact of monetary policy stance, and output and inflation uncertainties over the period of 1800-2014. The results of the empirical analysis reveal that dynamic correlations of output and prices were typically negative, suggesting a counterc...
Article
Tourism studies have shown a growing interest in the relationship between tourism and the economy, with relevant work exploring the causal direction of effects between a country's international tourism presence and its overall economic performance (Schubert et al., 2011; Ivanov and Webster, 2013; Antonakakis et al., 2015). The product of this enqui...
Article
This study examines the inflation persistence using both online and official price indexes in Argentina, Brazil, China, Japan, Germany, South Africa, the UK and the US, using fractional integration technique. The main results suggest that the degree of persistence, estimated by the long-memory parameter, is smaller when using online price indexes (...
Article
Full-text available
In this study we examine the dynamic comovements between housing and oil market returns in the United States (US) over the period 1859-2013, while controlling for real gross domestic product (GDP) growth, inflation, interest rates, and real stock, gold and silver returns that are known to affect both these markets. As such, we provide a bird's-eye...
Article
In this study, we examine dynamic spillovers among the housing market, stock market, and economic policy uncertainty (EPU) in the United States in a unified empirical framework. Applying the Diebold and Yilmaz (2012) methodology on monthly data over the period 1987M1–2014M11, our findings reveal the following features. First, the transmission of va...
Article
In this article, we examine sustainable investments returns predictability based on the U.S. Dow Jones Sustainability Index (DJSI) and a wide set of uncertainty and financial distress indicators for the period 2002:01–2014:12. To this end, we employ a novel non-parametric causality-in-quantile approach that captures non-linearities in returns distr...
Article
In this study we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1-2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to econo...
Article
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In this study, we examine the issue of business cycle synchronization from a historical perspective in 27 developed and developing countries. Based on a novel complex network approach, the Threshold{Minimum Dominating Set (T-MDS), our results reveal heterogeneous patterns of international business cycle synchronization during fundamental globalizat...
Article
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In this paper we examine the determinants of outward FDI from four major OECD investors, namely, US, Germany, France and the Netherlands, to 129 developing countries classified under 5 regions over the period 1995--2008. Our goal is to distinguish whether the motivation for FDI differs among these investors in developing countries. Rather than rely...
Article
This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2-2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial c...
Article
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The financial crisis which followed the meltdown of the US subprime mortgage market and the subsequent Great Recession were characterized by exceptionally large falls in house prices, as well as unprecedented levels of economic uncertainty. Against this background, we examine dynamic correlations between housing market returns and the economic poli...
Research
Full-text available
We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions
Article
In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: (i) spillovers between credit growth and GDP growth evolve rather heteroge...
Article
Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 2...
Article
In this study, we examine business cycle spillovers in the European Union based on the spillover index of Diebold and Yilmaz (2009, 2012) over the period 1977-2014. The results of our analysis reveal that: (i) The total spillover indices are of high magnitude and very responsive to extreme economic events. (ii) The direction and magnitude of spillo...
Article
In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD excha...
Article
•We examine the time-varying tourism-economic growth relationship.•This relationship is not stable in terms of both its magnitude and direction.•The study reveals changing patterns during major economic events.
Article
Full-text available
In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: i) spillovers between credit growth and GDP growth evolve rather heterogen...
Article
Full-text available
While linkages between some macroeconomic phenomena (e.g. unemployment, GDP growth) and suicide rates in some countries have been explored, only one study, hitherto, has established a causal relationship between fiscal consolidation and suicide, albeit in a single country. This study examines the impact of budget consolidation on suicide mortality...
Article
Full-text available
Previous studies have discounted important factors and indirect channels that might contribute to business cycle synchronization (BSC) in the EU. We estimate the effects of market integration and economic policy coordination on bilateral business cycle correlations over the period 1995-2012 using a simultaneous equations model that takes into accou...
Article
Full-text available
This paper considers the evolution of international business cycle interdependencies among 27 developed and developing countries since the beginning of 1870s, utilising the generalised VAR-based spillover index of Diebold and Yilmaz (2012), which allows the construction of a time-varying measure of business cycle spillovers. We �find that, on avera...
Article
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is...
Article
Full-text available
Suicide rates in Greece (and other European countries) have been on a remarkable upward trend following the global recession of 2008 and the European sovereign debt crisis of 2009. However, recent investigations of the impact on Greek suicide rates from the 2008 financial crisis have restricted themselves to simple descriptive or correlation analys...
Article
Full-text available
Previous studies on spillover e�ects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25...
Article
Full-text available
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The result...
Article
Full-text available
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The result...
Article
In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. In particular, based on weekly data on gold, silver, platinum, palladum, oil and the USD/EUR exchange rate over the period January 6, 1987 to July 22, 2014 we find the following empirical regularities. First, the static spillover analysis...