Stephanos T. Papadamou

Based on the growing interest in understanding the impact of uncertainty on various aspects of the economy, this study investigates the long‐run relationship between economic policy uncertainty (EPU), its components, unemployment, capital adequacy, liquidity risk, and non‐performing loans (NPLs) in Greece. Our findings indicate several key results:...

This study examines the impact of stringent regulatory and supervisory frameworks, as well as enhanced risk disclosure practices, on banks’ risk-taking behavior. We analyze a sample of banks from twelve European countries (Austria, Belgium, Denmark, France, Germany, Ireland, Italy, Netherlands, Poland, Spain, Sweden, and the United Kingdom) over th...

Purpose Our purpose is the examination of the effects of fiscal policy on private lending for the Eurozone countries. The emphasis is on the identification of the time path of government spending and bank lending. Design/methodology/approach Fiscal policy is a main factor of macroeconomic stability for the euro area economy. This paper, investigat...

This study utilizes a probabilistic production analysis framework to explore the relationship between advertising expenditure and operational efficiency in major U.S. banks (2001–2020). Findings reveal a non‐linear, positive correlation between advertising spending and banks' technological innovation capacity. Higher advertising investments enhance...

This study aims to examine the impact of enhanced corporate governance procedures on the level of risk-taking exhibited by banks. Between the years 2002 and 2019, a comprehensive selection of banks was gathered from a total of eight countries and categorized into two legal systems: common-law (Canada, the United States, the United Kingdom, and Aust...

Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank credibility on stock market returns’ volatility. A panel regression using financial and macroeconomi...

We explore the links between credit expansion, inflation, and inflation expectations, and show that active public debt management can trigger a non-interest rate channel of credit expansion. This creates incentives for the government to use debt management for promoting non-debt management goals, thus, choosing debt maturity structure that differs...

This paper investigates the relationship between investors' attention, as measured by Google search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies show that search investors' behavior data is an extremely abundant repository of predictive data, and investor-limited attention increases when the uncertainty level...

The corruption-economic growth nexus and the relationship between innovation and corruption have long been extensively studied. While individual issues have been empirically analysed, two effects have not yet been sufficiently researched: 1) the overall effect of innovation on the corruption-growth relationship and 2) the direction of causality bet...

The purpose of this research study is to investigate, with the use of panel cointegration methodology, the existence of a stationary long-run relationship between private capital formation and total government spending in Eurozone countries since the introduction of the euro as currency. Our findings indicate a positive but not complete (one to one...

This paper investigates the non-linear causal nexus at lower, medium, and upper quantiles that cryptocurrencies can generate as a hedging mechanism for international benchmark indices, as represented by the MSCI World index and its sectoral sub-indices. Significant causality-in-mean between each of the assets examined is detected at lower quantiles...

This research investigates the effects of several measures of Twitter-based sentiment on cryptocurrencies during the COVID-19 pandemic. Innovative economic, as well as market uncertainty measures based on Tweets, along the lines of Baker et al. (2021), are employed in an attempt to measure how investor sentiment influences the returns and volatilit...

This study investigates returns and popularity interactions for Bitcoin, Ethereum, Stellar and Monero using weekly data covering 208 weeks in the period ranging from January 3, 2016 to January 4, 2020. Google search volume data is used as a real-time proxy for popularity while vector autoregressive methodology and orthogonalized impulse response fu...

Aim and background—As research on the energy and electricity consumption determinants yields mixed results and a multifactorial model has not yet been developed, our study aims to investigate the growth dynamics of the factors that affect energy consumption in developed and developing countries. Motivation—The current global energy crisis has led u...

In this study, we use a panel vector autoregression approach to investigate how financial stability, measured by nonperforming loans (NPLs), interacts with profitability, leverage, loan growth, and economic growth in an improving or worsening corruption framework. The results underline the effects of changes in corruption on banks’ management quali...

Sur la base de l’expérience récente des programmes d’assouplissement quantitatif (QE) avec des taux d’intérêt négatifs adoptés par la BCE après la crise de la dette publique dans la zone euro (2010-2011) et face à la pandémie en 2020, nous étudions les effets de sa récente politique monétaire non conventionnelle sur la poussée de l’inflation dans l...

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity...

This paper is motivated by the ongoing debate about the Basel III impact on the efficient functioning of the banking sector. We empirically examine the effect that the implementation of the net stable funding ratio has on real economy. Using data from the EU banking sector, we conduct a retrospective analysis by simulating and investigating histori...

Data and Matlab code to replicate

We analyse a sample of significant European financial intermediaries that fall under the Single Supervisory Mechanism, which is part of the existing institutional supervisory architecture of the Eurozone. Theory suggests that herding among financial intermediaries raises cross-sectional correlations and has negative implications for systemic risk....

The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase “quantitative easing” in the US. The exponential generalized autoregressive conditional heteroscedasticity model (EGARCH) was applied based on weekly data of...

In this paper, we examine the effect of central bank transparency on inflation persistence, using panel data analysis. The existing literature has shown a significant impact of central bank transparency on macroeconomic variables, such as inflation, but not many efforts have been made about its effect on inflation persistence. We use yearly data fo...

This paper examines the prudential role and the effectiveness of banking regulation in EU. Using a unique sample of banks’ balance and off‐balance sheet data we focus on the capital requirements (Tier 1) and the liquidity characteristics of the banking sector. The latter factor is accounted for by the Basel III Net Stable Funding Ratio (NSFR) which...

This paper sets out to explore whether convergence and herding phenomena exist for digital currencies. Daily data cover a large spectrum of cryptocurrencies in separate bull and bear periods. Empirical estimations for detecting club convergence and clustering are performed by the methodology proposed by Phillips and Shu (2007, 2009). Econometric ou...

Purpose This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design. Design/methodology/approach This work employs two methodologies, namely a panel specification, with the cross-section being the forecast horizon (from 1-...

This paper sets out to explore whether the innovative Economic Policy Uncertainty (EPU) index and the safe haven asset of gold influence returns of high-capitalization cryptocurrencies in a non-linear manner. Estimations take place both concerning flourishing and stressed periods in the digital currency markets. Econometric outcomes reveal that the...

We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specifi...

This paper employs a medium scale Bayesian VAR model to provide a rich picture of the transmission of unconventional monetary policy (UMP) shocks in various dimensions of the economy, and to shed light on the appropriate policy mix that the central bank could adopt to fulfil its price stability mandate. We show that UMP shocks have a significant po...

This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditi...

This paper studies the effects of U.S. unconventional monetary policy announcements on the implied volatility of three major currency pairs, Dollar/Euro, Dollar/British Pound and Dollar/Yen by using panel data analysis along with several model specifications and robustness tests. Monetary policy announcements not only have an effect on the realized...

This paper examines global spillover Quantitative Easing (QE) impacts of US on stock market indices by employing apart from a classical Granger causality, also a non-linear quantile regression approach for detecting causality on the tails of the stock indices’ distributions. Before US unconventional monetary policies, the non-linear causal relation...

This paper surveys the academic literature concerning the formation of pricing bubbles in digital currency markets. Studies indicate that several bubble phases have taken place in Bitcoin prices, mostly during the years 2013 and 2017. Other digital currencies of primary importance, such as Ethereum and Litecoin, also exhibit several bubble phases....

Purpose This paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets. Design/methodology/approach This survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels. Findings Th...

This study quantifies the effects of the Fed’s quantitative easing (QE) and tapering programs’ announcements on professionals’ consensus forecasts of U.S. macroeconomic and financial variables at different forecast horizons. The results of a vector autoregression (VAR) analysis show that the first QE (QE1) program is more effective in terms of sign...

Following the recent negative interest rate policy adopted by the ECB, we investigate the transmission mechanism of unconventional monetary policy through the banking sector. By using Panel Vector Autoregressive methodology on eight member states of Euro Area, this paper identifies a positive although weak effect of ECB balance sheet enlargement on...

This paper studies the contribution of the newly launched future contracts to the bitcoin price discovery process. Using well-established methodologies in the literature of the evaluation of price discovery in financial markets, we find evidence that, although the volume of bitcoins traded in the decentralized spot market overwhelms that of the fut...

Purpose The purpose of this paper is to examine the spillover effects in international financial markets related to investors’ risk aversion as proxied by the variance premium, and how these relationships were affected by the quantitative easing (QE) announcements by the Federal Reserve. Design/methodology/approach The empirical analysis employs a...

This study contributes to current research on quantitative easing. We provide a novel analysis of the quantitative easing effectiveness as an unconventional monetary policy tool in Japan over the last two decades. The paper advances current research on quantitative easing by exploring quantitative easing through the prism of the monetary transmissi...

Purpose The purpose of this paper is to investigate, both theoretically and empirically, the relationship between optimism (pessimism) – as reflected by animal spirits – and money demand by taking into account transaction costs. Design/methodology/approach Inspired by the theoretical model of money demand by Teles et al. (2016) the authors incorpo...

The paper analyses the implications arising from the impulses and responses of the banking sector in the UK, through the banks’ portfolio balance sheet information, when determined by the quantitative easing implementation. In a panel vector autoregressive framework, we examine the effects of Bank of England's asset purchases on disaggregated lever...

Purpose-Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents' behavior and response to market conditions. The purpose of this paper is to investigate the stock-bond nexus in the case of two emerging markets, India, South Africa, and two mature markets, the UK and the USA, using long-term histo...

In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). Weekly data covering the pre-quantitative easing (pre-QE) period, the three phases of QE, and the QE-...

This paper sets out to test the hypothesis whether volatility spillovers and hedging abilities exist between Bitcoin and Ethereum by a multivariate BEKK-GARCH methodology and impulse response analysis applied within a VAR model since the launch of Ethereum up to June 2018. The findings reveal significant swaps in the time-varying correlation and a...

Purpose This paper aims to examine the relationship between abnormal loan growth and risk in Swedish financial institutions by type and borrower using three indicators as proxies for risks related to loan losses, the ratio of interest income to total loans and solvency perspectives. Design/methodology/approach Using a large sample of different typ...

The outburst of the Global Financial Crisis in 2008 has brought to the surface increasing interest for unconventional monetary policies at the Zero Lower Bound (ZLB). In this paper, we employ techniques of meta-analysis in order to capture the impacts of such policies on the main macroeconomic indicators. We collect sixteen published studies and ex...

Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock–bond covariance, their returns and their variances. The time varying association between the two markets has attracted consid...

Forecasting economic activity has attracted a great deal of econometric work, while mixed evidence has been found concerning the ability of the yield spread to forecast gross domestic product (GDP). This paper uses a meta-analysis framework to deal with the heterogeneity in the results seen in the literature. Our findings suggest that nonlinearitie...

This paper examines the role of unconventional monetary policy announcements on risk aversion – as proxied by the variance premium – by using panel data analysis. The objective of this empirical analysis is to investigate the risk-taking channel of monetary policy for the major European and U.S. equity markets by studying the impact that the announ...

This study contributes to the age-old question of whether stock market returns are predictable by investigating the relationship of variance risk premium and equity returns. The volatilities derived from options prices typically exceed the corresponding subsequent realized volatilities of the underlying asset, suggesting that investors require addi...

During the recent financial crisis, the Bank of England has taken quantitative easing (QE) measures by buying public as well as private assets in order to strengthen the economy via liquidity injections. This paper investigates the dynamic relationship between unconventional policy measures reflected in central bank’s assets, and government versus...

The current market environment presents a host of challenges to investors that require using a new approach to portfolio construction, particularly when it comes to diversification. The correlation structure across assets is a key feature of the portfolio choice problem because it determines the riskiness of the investment position. The present pap...

In this paper, we investigate the relationship between Euro Overnight Index Average interest rate (EONIA) and retail Greek bank interest rates in a Markov-switching Vector Autoregression model. Monthly data is used for household and corporate deposit and credit rates since 1999. Two regimes are defined based on high and low interest rate volatility...

Purpose The purpose of this paper is to investigate the response of investors to the announcements on the inclusion and exclusion of companies from the FTSE-ASE 20 index. Design/methodology/approach Data on the inclusion and exclusion of companies from the FTSE-ASE 20 index in the period 2000-2012 were used. The authors performed an event study...

The paper empirically examines the nexus between tourism and peace. To do so, it uses in the analysis the recently developed composite Global Peace Index. The sample employed consists of 113 countries and covers the period 2008–2014. The methodology adopted includes PVAR Granger causality tests and impulse response functions. The sample was split i...

Purpose In this paper, we investigate both theoretically and empirically the institutional setting of monetary policymaking that mitigates the effects of productive public investment on inflation persistence. Design/methodology/approach In our theoretical approach, we consider a simple monetary game model à la Barro-Gordon introducing, apart fro...

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...

This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for t...

In this paper we investigate the relationship between EONIA and retail Geek bank interest rates in a Markov-switching Vector Autoregression model. Monthly data are used for household and corporate deposit and credit rates since 1999. Two regimes are defined based on high and low interest rate volatility. A separate set of impulse responses for each...

Purpose This paper aims to investigate the effects of contractionary fiscal policy shocks on major Greek macroeconomic variables within a structural vector autoregression framework while accounting for debt dynamics. Design/methodology/approach The sign restriction approach is applied to identify a linear combination of government spending and gov...

This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affecte...

This paper investigates the informational content of unconventional monetary policies and its effect on commodity markets, adopting a nonlinear approach for modeling volatility. The main question addressed is how the Bank of England, Bank of Japan, and European Central Bank's (ECB's) announcements concerning monetary easing affect two major commodi...

This study investigates whether any non-linear relationship exists between central bank transparency and stock market variability in a non-parametric framework for a large number of countries. Our findings imply that a high level of transparency can significantly reduce historical as well as conditional stock market volatility in a non-linear manne...

This paper addresses the issue of impacts of the banking market structure on debt dynamics. Using a simple theoretical model, we analytically find a positive link between number of banks and growth rate of debt. By applying panel data analysis on a set of Eurozone countries, sufficient evidence for this positive relationship is provided. In case of...

While the tendency towards more transparent central banks is irrefutable, the effects of more transparent monetary policies mainly on output volatility are not clear-cut. In this note, we estimate our panel for 36 countries over the period 1998-2005 which is characterized by significant changes in central bank transparency levels, using the Prais-W...

Interest rate dynamic effect on stock returns is examined under different levels of central bank transparency under an asset pricing context. Using a large set of emerging countries in a panel data framework, we provide evidence for a negative link between stock returns and interest rate differences. However, this negative effect is reduced signifi...

By analyzing the causes and consequences of Greek debt crisis, we identify early warning fiscal and financial signals. The existence of twin deficits for a number of years can be characterized as the key fiscal indicator concerning the debt problems faces Greece. Moreover, indicators from the banking sector also reveal significant information for t...

Monetary policy is unlikely to have a uniform impact on the real economic activity across regions with different industrial structures. This study measures the heterogeneous effects of monetary policy on regional and sectoral output of the 13 regions in Greece over the period 1980 to 2009. By using an unrestricted vector autoregressive model and th...

The nexus between stock markets and exchange rates is examined in the case of eight European countries. The sample consists of four economies with national currencies and four that have adopted the euro. Thus, if differences between the two groups in the relationship governing the two markets exist, they will be unveiled. To this effect, a threshol...

This paper highlights the essential role of central bank transparency in the transmission mechanism of monetary policy through the interest rate channel for emerging economies. It has been shown that when the central bank's monetary policy is more transparent, the transmission mechanism of that monetary policy is more effective. Highly transparent...

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcem...

It is widely claimed that climate change has increased the magnitude and the frequency of natural phenomena such as storms, droughts, and floods with the concomitant costs in terms of damages and victims. This paper using weekly data from global stock market indices in a Fama-French model, examines how and to what extent market agents and investors...

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD), we apply a univariate APARCH(1,1) model and include QE dummies to empirically investigate how exch...

This paper examines empirically the effectiveness of the Federal Reserve’s policy under different levels of transparency by using a dynamic and continuous market-based index proposed by Kia (201152. Kia, A. 2011. “Developing a Market-based Monetary Policy Transparency Index: Evidence from the United States.” Economic Issues 16 (2): 53–79.View all r...

Conflict and development are invariably considered as incompatible and even mutually exclusive as contemporaneously occurring phenomena. The former, through a cohort of mechanisms and channels, siphons valuable and scarce resources to less productive and in fact, destructive uses with a very high welfare cost to societies. Hence it adversely affect...

The paper investigates the implications arising from the responses of the financial sector in the United Kingdom to the incentives determined by quantitative easing decisions. In a panel vector autoregressive modeling framework, we examine the effects of Bank of England asset purchases on the main accounting variables for different types of financi...

This paper, tests the bank lending channel of monetary policy transmission mechanism in a series of European countries since the Euro currency circulation. By disaggregating bank loans to households for consumer, housing and other purposes over the period 2003:Q1 to 2012:Q4, we try to shed light to any hidden dynamics by aggregate data. An unrestri...

In this study, the interrelationship between major exchange rate returns (namely EUR/USD, GBP/USD, JPY/USD) and precious metal returns (gold and silver) is examined using a vector autoregressive model in a multivariate asymmetric GARCH framework on the intraday frequency. Our findings indicate a unidirectional volatility transmission from the major...

This paper examines whether the political colour of an incumbent government affects the speed at which fiscal imbalances are corrected in the case of the UK. Using quarterly data, we examine whether Conservative or Labour governments are more prone to operate under a soft budget constraint and vice-versa i.e. to adhere to a hard budget strategy. Th...

This paper addresses the issue of impacts of central banks’ transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and central bank transparency. By applying panel data analysis on a set of 40 countries from 1998 to 2005, sufficient evidence for t...

In this paper, by using a vector autoregressive approach on panel data (PVAR) and decomposing the central bank credibility index into several important aspects highlighted in the literature, we emphasize the effects of these aspects of credibility on macroeconomic performance, and vice versa, for six emerging economies. A higher level of credibilit...

This paper investigates the effect that the creation of the Monetary Policy Committee (MPC) has had on the interest rate risk which banks and life insurance companies face in the UK. By means of GARCH-M methodology, the stock returns are modelled on the CAPM and the Fama-French asset-pricing models, augmented with interest rate risk factors and ref...