Sophocles Brissimis

Sophocles Brissimis
University of Piraeus · Department of Economics

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75
Publications
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Introduction
Skills and Expertise

Publications

Publications (75)
Book
The Working Paper Series disseminates research papers of high quality and often of a more technical nature relevant to the various areas of interest to the Bank. They constitute "work in progress" and are published to stimulate discussion and contribute to the advancement of knowledge of economic matters. They are addressed to experts, so readers s...
Book
The Working Paper Series disseminates research papers of high quality and often of a more technical nature relevant to the various areas of interest to the Bank. They constitute "work in progress" and are published to stimulate discussion and contribute to the advancement of knowledge of economic matters. They are addressed to experts, so readers s...
Article
We study three key aspects of household behavior, i.e. the form of household preferences, the existence of interdependence between consumption and leisure choices, and the Frisch elasticity of labor supply. We find that an appropriate form of household preferences to use in non-recursive utility functions that incorporates the feature of interdepen...
Article
Purpose – The authors examine the optimal consumption decisions of households in a micro-founded framework that introduces endogenous default. They study default in the context of a two-period process, assuming three non-overlapping steps of non-payment: delinquency, non-performing loans and bankruptcy (default). Design/methodology/approach – In th...
Article
We study delinquent and non‐performing loans in consumer credit markets and their implications for consumer behaviour. By introducing endogenously non‐payment of debt in the inter‐temporal optimization problem of a representative borrowing household, we derive analytically an augmented consumption Euler equation featuring a risk factor in terms of...
Article
This paper examines whether the consumption behavior of a borrowing-constrained household is affected by debt non-payment. From the household's intertemporal maximization problem, we derive a two-equation model consisting of augmented forms of the standard consumption Euler equation and the static labor supply equation. We estimate these equations...
Article
Full-text available
The rational expectations hypothesis for survey and model-based inflation forecasts—from the Survey of Professional Forecasters and the Greenbook respectively—is examined by properly taking into account the persistence characteristics of the data. The finding of near-unit-root effects in the inflation and inflation expectations series motivates the...
Article
This paper examines empirically the role of bank market power as an internal factor influencing banks’ reaction in terms of lending and risk taking to monetary policy impulses. The analysis is carried out for the U.S. and euro-area banking sectors over the period 1997–2010. Market power is estimated at the bank-year level, using a method that allow...
Article
This paper develops an international oligopoly model in which domestic and foreign firms simultaneously choose their price and innovation strategies under the assumption of non-zero conjectural variations in relation to their competitors' price changes. The model captures the links between the exchange rate, foreign and domestic firms' prices and i...
Article
In this article, we empirically analyse the factors which determined consumer credit in Greece in the period before and after the financial liberalization, while accounting for significant changes in structure due to the lifting of credit restrictions and the subsequent impressive boom of consumer loans. We use multivariate cointegration techniques...
Article
Effectiveness involves more than simple efficiency, which is limited to the production process assessment of peer operational units. Effectiveness incorporates both endogenous and exogenous variables. It is a fundamental driver for the success of an operational unit within a competitive environment in which either the liquidity of money in the mark...
Article
The three-equation New-Keynesian model advocated by Woodford (2003) as a self-contained system on which to base monetary policy analysis is shown to be inconsistent in the sense that its long-run static equilibrium solution implies that the interest rate is determined from two of the system’s equations, while the price level is left undetermined. T...
Article
Full-text available
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 approach, uses a panel consisting of the twelve EU member states that initially joine...
Article
Full-text available
The aim of this paper is to study the main macroeconomic, financial and structural factors that shaped current account developments in Greece over the period from 1960 to 2007 and discuss these developments in relation to the issue of external sustainability. Concerns over Greece’s external sustainability have emerged since 1999 when the current ac...
Article
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 monetary policy impulses. The ultimate...
Article
This paper specifies an empirical framework for estimating both technical and allocative efficiency using the translog cost-share system, thus providing a solution to the issue known in the literature as the Greene problem. The model is applied to a large panel of European banks and the results are compared with those of a model that does not inclu...
Article
The aim of this study is to provide an empirical methodology for the estimation of market power of individual banks. The new method employs the well-known model of Panzar and Rosse (1987) and proposes its estimation using the local regression technique. Local regression yields coefficient estimates equal to the number of observations and, thus, mar...
Article
Full-text available
The aim of this study is to examine the relationship between banking sector reform and bank performance – measured in terms of efficiency, total factor productivity growth and net interest margin – accounting for the effects through competition and bank risk-taking. To this end, we develop an empirical model of bank performance, which is consistent...
Article
The aim of this study is to examine the effect of bank-specific, industry-specific and macroeconomic determinants of bank profitability, using an empirical framework that incorporates the traditional structure-conduct-performance (SCP) hypothesis. To account for profit persistence, we apply a GMM technique to a panel of Greek banks that covers the...
Article
This paper examines the optimal design of monetary policy in the European monetary union in the presence of structural asymmetries across union member countries. It derives analytically an optimal interest rate rule under commitment and studies the dependence of its coefficients on the parameters of the structural model of each economy, the central...
Article
We examine the ability of the New Keynesian Phillips curve to explain U.S. inflation dynamics when inflation forecasts (from the Federal Reserve’s Greenbook and the Survey of Professional Forecasters) are used as a proxy for inflation expectations. The New Keynesian Phillips curve is estimated against the alternative of the hybrid Phillips curve, w...
Article
Full-text available
This study examines the efficiency of the Greek banking system for the period 1994- 2006 using DEA. The findings suggest that total efficiency improved and this is mainly attributed to allocative efficiency. Large- and small-sized banks appear more efficient compared with medium-sized ones, while the M&As have had a positive impact on efficiency. C...
Article
Full-text available
Although the close empirical relationship between the evolution of mortgage lending and housing prices is well established in the literature, the direction of causation is less clear from a theoretical standpoint. We apply multivariate cointegration techniques in order to address this issue empirically for the Greek economy. Our results, based on a...
Article
In this paper we provide new empirical evidence on the relationship between market power, as measured by market share, and incomplete exchange rate pass-through. The role of market power is examined in the context of a Cournot model, which is estimated with data relating to Japan's presence in the US market. To test for the existence of possible ag...
Article
Using the theoretical predictions of the Bernanke-Blinder (1988) model, we 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, we estimate a loan supply model and test for t...
Article
Full-text available
Despite their significant decline in recent years, bank interest rates in Greece continue to stand above euro area averages and in the case of some banking products the differential is considerable. This paper reviews the literature on the determinants of bank interest rates and spreads internationally, and identifies and discusses the key factors...
Article
This paper develops an international oligopoly model where foreign and domestic firms simultaneously choose their pricing strategies under the assumption of non-zero conjectural variations. The model captures the links between domestic and foreign producers’ prices and establishes a relationship between the price of domestically produced goods and...
Article
Full-text available
This paper specifies an empirical framework for estimating both technical and allocative efficiency, which is applied to a large panel of European banks over the years 1996 to 2003. Our methodology allows for self-consistent measurement of technical and allocative inefficiency, in an effort to address the issue known in the literature as the Greene...
Article
With a view to addressing the major disadvantage of the VAR model, namely the inadequate description of the central bank reaction function, we propose a VAR specification that proves successful in solving the price puzzle featuring in monetary VARs for the US. This specification consists in augmenting a standard VAR with two forward-looking variabl...
Article
This paper calculates indices of central bank autonomy (CBA) for 163 central banks as of end-2003, and comparable indices for a subgroup of 68 central banks as of the end of the 1980s. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political auton...
Article
This paper examines exchange rate pass-through in the euro area by accounting for the impact of exchange rate changes on exporting firms’ market power, cost structure and competitiveness. An international oligopoly model where exporting firms simultaneously decide on their pricing and innovation strategies is used as the basis for the econometric a...
Article
The present paper exploits the idea that empirical estimates of the long-run PPP relationship may compound two distinct influences coming from the behavior of market participants and policy makers when the latter are targeting the exchange rate. This tends to bias tests of long-run PPP against its acceptance. The validity of the theoretical argumen...
Article
In this paper we develop a method for testing the implications of the Bernanke–Blinder model for monetary policy transmission. Multivariate cointegration techniques are used in a sample that includes six major industrial countries with data covering the last 25 years. Moreover, we examine whether changes in financial markets affected the degree of...
Article
This paper calculates indices of central bank autonomy (CBA) for 163 central banks as of end-2003, and comparable indices for a subgroup of 68 central banks as of the end of the 1980s. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political auton...
Article
This paper explores the effects of foreign exchange market intervention by the European Central Bank and the Bank of Japan upon the conditional mean and variance of the euro–dollar and euro–yen exchange rates. To investigate whether the secrecy of intervention matters, we consider GARCH specifications revealing significant differences between publi...
Article
This paper studies the impact of recent mergers and acquisitions (M&As) on the cost and profit efficiency of banks in Greece. To this end, three methods have been applied: (i) analysis of developments in certain cost and profit indicators and their dispersion for bank groups according to their size; (ii) calculation of cost and profit inefficiency...
Article
This paper examines the behaviour of the demand for money in Greece during 1976Q1 to 2000Q4, a period that witnessed 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...
Article
This paper analyses empirically the role of bank lending in monetary policy transmission on the basis of Greek bank level data. Two approaches have been taken. One employing a reduced form equation linking monetary policy and distributional variables to bank loans in the spirit of Kashyap and Stein's work. The other, which in general yields more sa...
Article
This paper provides a unifying framework in which identified offset and sterilization equations can be derived and estimated. The theoretical model suggests that, in the case where the central bank cares about both external and internal goals and capital is less than perfectly mobile, there will be some offsetting capital flows and the central bank...
Article
This paper provides a unifying framework in which identified offset and sterilisation equations can be derived and estimated. The theoretical model suggests that, in the case where the central bank cares about bouth external and internal goals and capital is less than perfectly mobile, there will be some offsetting capital flows and the central ban...
Article
This paper surveys the two major episodes of instability of the U.S. money demand function known respectively as "the mystery of missing money" and "the great velocity decline." It also assesses the recent literature on open economy money demand models and their usefulness in explaining the puzzling behavior of money demand manifested shortly after...
Article
This paper develops a dynamic general equilibrium model that combines elements of the elasticities and monetary approaches to the balance of payments to analyze the effectiveness of devaluation for trade account adjustment. In the context of this model, departures from absolute purchasing power parity and from price homogeneity in the trade equatio...
Article
In this paper a marketing mix model is employed to examine empirically the impact of advertising and distribution on the sales of a Greek firm. The model incorporates also some macroeconomic features of the Greek economy.
Article
This paper addresses empirically the issues of selecting the appropriate opportunity cost and scale variables of the money demand function in the presence of alternative nonnested hypotheses. As part of the process of model specification, the role of currency substitution in the demand for money function in an open economy is examined. The tests ar...
Article
This paper develops a sticky-price version of the monetary model of exchange-rate determination under rational expectations. The reduced-form difference equation for the exchange rate has two roots which lie on either side of unity. In the solution the stable root is solved backwards and the unstable forwards. The model is estimated by the full-inf...
Article
In this paper we develop a short-run disequilibrium model for the interaction of output, prices and exchange-market pressure. In this model we consider the trade-off between movements in exchange rates and movements in international reserves and we also incorporate and test purchasing power parity as a long-run hypothesis. The specification adopted...
Article
A method is suggested for the estimation of autonomous and induced effects of cost factors on the rate of inflation. It involves calculating total effects from a national income accounts identity and estimating autonomous effects from a price equation and induced effects as the difference between total and autonomous effects. The significance of in...
Article
This paper deals with methods to estimate standard errors of dynamic multipliers. These methods can be applied to nonlinear macroeconometric models, thus extending methods available in the literature for linear models.
Article
This note gives explicit expressions for the elements of powers of a companion matrix, i.e. the matrix of transformation of a higher than first order linear dynamic econometric model into a first order one. It can be used as a reference for understanding the derivation of dynamic multipliers in such a model.
Article
This paper studies the impact of recent mergers and acquisitions(M&As)on the cost and profit efficiency of banks in Greece. To this end, three methods have been applied:(i)analysis of developments in certain cost and profit indicators and their dispersion for bank groups according to their size;(ii)calculation of cost and profit inefficiency(relati...

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