Thanasis Stengos

Thanasis Stengos
University of Guelph | UOGuelph · Department of Economics and Finance

PhD

About

255
Publications
35,137
Reads
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6,568
Citations
Citations since 2016
71 Research Items
2296 Citations
20162017201820192020202120220100200300400
20162017201820192020202120220100200300400
20162017201820192020202120220100200300400
20162017201820192020202120220100200300400
Additional affiliations
September 2015 - August 2016
University of Cyprus
Position
  • visiting professor
January 1984 - present
Education
September 1980 - July 1984
Queen's University
Field of study
  • Economics

Publications

Publications (255)
Article
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The well-known Human Development Index (HDI) goes beyond a single measure of well-being as it is constructed as a composite index of achievements in education, income, and health dimensions. However, it is argued that the above dimensions do not reflect the overall well-being, and new indicators should be included in its construction. This paper us...
Article
We perform a large-scale analysis to evaluate the performance of traditional and Markov-switching GARCH models for the volatility of 292 cryptocurrencies. For each cryptocurrency, we estimate a total of 27 alternative GARCH specifications. We consider models that allow up to three different regimes. First, the models are compared in terms of goodne...
Article
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This paper conducts an empirical study on the determinants of trade data discrepancies from a perspective of international capital flows as a part of trade data discrepancies can be caused by trade data mis-reporting as a form of illicit financial flows. Specifically, we study the determinants of import over-reporting from the U.S. for 71 countries...
Article
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In this paper, we are examining the environmental Kuznets curve (EKC) in the context of a circular economy recycling model. Our model assumes that there are only two factors of production in the production of the final good, a recyclable and a polluting input. We also present two extensions of this basic model by adding technological progress in th...
Article
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In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of nonstationary regressors and to obtain its limiting distribution theory. In particular, our proposed model generali...
Article
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Plain English Summary Can bribery be an obstacle for the firm’s investment in on-the-job training and, therefore, its performance? When firms are exposed to higher costs due to bribery, they may be forced to shift their resources from efficient uses. For instance, training is one way of using the resources efficiently as it will increase labor prod...
Article
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The increased concerns over climate change led to a large body of literature that examined the impact of energy and economic growth on carbon dioxide (CO2) emissions per capita. The majority of the existing studies employed various linear panel estimation techniques ignoring the potential nonlinear effects of energy and income on CO2 emissions per...
Article
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This study investigates empirically how air pollution in earlier periods as measured by three air pollutants, namely N O 2, P M 10, and P M 2.5 may have affected the spread and fatality of COVID-19 in 31 European countries. Using panel data with fixed effects to examine the relationship between previous exposure to air pollution and COVID-19 new ca...
Article
The scope of this study is to investigate the convergence pattern of market power in two retail natural gas markets, namely residential and commercial across the US states over the period Jan 1997-Dec 2020. Our analysis identifies one non-convergence and several spatial sub-convergence clubs within the US territory for both market segments. Several...
Article
The scope of this study is to shed light on the determinants of the time gap between the publication of a Nobel discovery and the bestowment of the prize across three science fields (Physics, Chemistry, and Medicine). The econometric evidence supports that the delay gap is inversely related to the age of the Laureate when the Nobel-worthy contribut...
Article
This paper sets up and tests a horizontal R&D-based growth model with endogenous labor supply where leisure time may enhance inventors’ productivity and therefore have (under specific conditions) positive long run effects on the accumulation of new disembodied knowledge. The solution of our theoretical model suggests that leisure time can be benefi...
Article
A strong positive correlation between the educational attainment of parents and their children is well documented. Determining whether this relationship is due to nature (selection) or nurture (causal factors) is both a challenge and an important policy issue. We use the Vietnam era draft lottery and educational exemptions as a “natural experiment”...
Article
The empirical analysis employs a static threshold model using a daily dataset over the six months from the first confirmed European COVID-19 case (25 January 2020). The results indicate that the investigated relationship is non-monotonic (‘U-shaped’) depending on the intensity of the lockdown measures proxied by the Coronavirus Government Response...
Article
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This paper explores the link between output growth and volatility using several macroeconomic variables for a panel of countries for the period of 1971–2014. Using an augmented panel GARCH-M model, we allow for the first time in the literature for independent variables to be part of the conditional equations. The paper is also novel in terms of enc...
Article
There has been an increase in the use of renewable energy sources over recent years, which has led to a strand of literature examining the determinants of renewable energy consumption. However, most of the research used linear estimation models while reviewing the determinants of renewable energy consumption and ignored the indirect effect of democ...
Article
This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we prop...
Article
This study develops a novel quantile eco-efficiency nonparametric estimator to test for the existence of possible convergence patterns across 29 OECD countries over the period 1953–2019. Our framework provides robust eco-efficiency estimators and allows us to test the convergence of countries’ estimated eco-efficiency levels at different quantiles....
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The emergence of Bitcoin and other cryptocurrencies has led to an explosion of trading and speculation in once nontraditional markets [...]
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The existing literature identifies different indicators to construct organized crime indices and places equal importance to different concepts of organized crime. This paper examines the sensitivity of organized crime across Italian provinces when different set of indicators and weights are used to combine crime indicators. Our findings suggest tha...
Article
This paper proposes that country-pairs sharing homogeneity in domestic institutions tend to sign preferential trade agreements (PTAs) interdependently, and such an interdependence effect decreases with institutional differential. Using spatial econometrics, we take democracy and economic freedom as fundamental components of the spatial weight matri...
Article
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The section “Economics and Finance” brings together a collection of papers that cover a variety of topics both in the areas of economics and finance [...]
Article
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This paper is the first to study a comparatively new Environmental Kuznets Curve which traces empirically the relationship between environmental abatement and real GDP. Our model is a partial linear semi parametric model that allows for two way fixed effects to eliminate the bias arising from two sources. We use data for recycling and real GDP, for...
Article
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The determinants of foreign direct investment (FDI) have been extensively studied. Even though there is extensive research in the area, most of it is based on analyzing the effects of host country characteristics on FDI flows, and yet there is little research on how neighboring country characteristics play a role in facilitating FDI flows to host c...
Article
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The study applies the probabilistic framework of nonparametric frontier estimation to model the effect of competitive conditions on sectors’ production efficiency levels. We utilize conditional order-m robust frontiers to model the dynamic effects of competition on a sample of U.S. manufacturing sectors over the period 1958–2009. Contrary to the ex...
Article
We provide a mathematical framework to spot the non-resilient periods of an economy and understand the reason why an economy becomes non-resilient. Our non-resilience indicator spots the distressful periods of sixteen European economies successfully over the course of almost thirty years. To understand why these economies became non-resilient, we s...
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This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and post periods. Besides the neighbourhood of the break t...
Article
We investigate the impact of advertising on hotel management companies’ (HMC) operational efficiencies on a sample of 90 international HMCs over the period 2010–2019. We employ time-dependent conditional frontier estimators to investigate the effect on HMCs’ technological change and technological catch-up levels. Our findings support the existence...
Article
We study the effects of regulatory quality on entrepreneurial activity in 30 OECD countries through the lens of a partially linear panel data model. We argue that there is a nonmonotonic “inverted-U shaped” curve between regulatory quality and total early-stage entrepreneurship activity lending support to the theory of pubic choice. Moreover, the e...
Article
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We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables for bitcoin. We also tra...
Article
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The existing literature on renewable energy consumption and economic growth nexus produces mixed results as the effect of renewable energy consumption on economic growth can be either positive, negative or not significant. This paper examines the causal link between renewable energy use and economic growth by employing a threshold model using a 103...
Article
This paper studies the effect on the industrialization process of developing countries of foreign aid given to agriculture to expand its productive capacity. According to our theoretical analysis, this effect is conditional on the openness of receiving countries. Our empirical results based on panel data for developing countries confirm this analys...
Article
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An area of very active research in econometrics over the last 30 years has been that of non- and semi-parametric methods. These methods have provided ways to complement more-traditional parametric approaches in terms of robust alternatives, as well as preliminary data analysis.The present Special Issue collects a number of new contributions, both t...
Chapter
This chapter empirically explores how institutions, human capital and gender interact and together influence growth. Our contribution is based on the threshold regression model by Hansen (Econometrica, 68, 575–603, 2000) in the version by Kourtellos et al. (2016), which allows for endogeneity in the threshold variable. Through all our regressions t...
Article
We investigate the impact of financial depth on economic growth by using a flexible semi parametric model allowing for fixed effects along the lines of Baltagi and Li (2002). The results are robust under the two finance measures (domestic credit to private sector and broad money) and shed new light on the finance-growth nexus. We argue that this re...
Article
There are infinitely many alternative benchmark weights that decision makers could choose to measure multidimensional poverty. To overcome the resulting uncertainty, we derive a feasible range of multidimensional poverty that considers all admissible weights within the chosen lower and upper bounds of weights. We use Kenyan and Canadian data to ill...
Article
We employ a pooled panel threshold model within an error correction framework to re-investigate the ‘rockets and feathers’ hypothesis. The empirical results confirm the superiority of the threshold model compared to the baseline linear specifications, while attributing the asymmetric gasoline adjustment mechanism to Exchange Rate Pass Through (ERPT...
Article
Using U.S. state-level data for the period 1973–1994, this study models the relationship between emissions, output and pollution abatement by defining an emissions function, in a manner that is consistent with the residual (emissions) generation mechanism and firms' optimizing behavior. It thus accounts for factors that were previously unaccounted...
Article
We review the literature and examine the effects of shocks on bitcoin returns. We assess the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED's and ECB's rates and internet trends on bitcoin returns. Alternative VAR and FAVAR models are employed and generalized as well as local impulse response functions ar...
Article
This study contributes to the literature since it tries to link the Exchange Rate Pass-Through (ERPT) with the “rockets and feathers” hypothesis using a panel of EU-28 countries. Allowing for the existence of an endogenous threshold variable our empirical findings indicate that the threshold model is better suited to this analysis than the baseline...
Article
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This paper studies the spatial dependence of residential resale housing returns in ten major Canadian Census Metropolitan areas (or CMAs) from 1992Q4 to 2012Q4 and makes the following methodological contributions. Firstly, in the context of a spatial dynamic panel data model we use grid search to derive the appropriate spatial weight matrix W among...
Preprint
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In many applications common in testing for convergence the number of cross-sectional units is large and the number of time periods are few. In these situations asymptotic tests based on an omnibus null hypothesis are characterised by a number of problems. In this paper we propose a multiple pairwise comparisons method based on an a recursive bootst...
Article
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This paper derives optimal forecast combinations based on stochastic dominance efficiency (SDE) analysis with differential forecast weights for different quantiles of forecast error distribution. For the optimal forecast combination, SDE will minimize the cumulative density functions of the levels of loss at different quantiles of the forecast erro...
Article
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To create their rankings, university-ranking agencies usually combine multiple performance measures into a composite index. However, both rankings and index scores are sensitive to the weights assigned to performance measures. This paper uses a stochastic dominance efficiency methodology to obtain two extreme, case-weighting vectors using the Acade...
Article
The objective of this paper is to assess the impact of competition on industrial toxic pollution by using, for the first time, a panel threshold model which allows evaluations of the main drivers of toxic releases under two different market regimes. The empirical analysis is based on a micro‐level panel dataset over the five‐year period 1987–2012....
Article
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The convergence hypothesis, which is developed in the context of growth economics, asserts that the income differences across countries are transitory, and developing countries will eventually attain the level of income of developed ones. On the other hand, convergence clubs hypothesis claim that the convergence can only be realized across groups o...
Article
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In this paper, we examine the effect of emissions, as measured by carbon dioxide (CO2), on economic growth among a set of OECD countries during the period 1981–1998. We examine the relationship between total factor productivity (TFP) growth and emissions using a semiparametric smooth coefficient model that allow us to directly estimate the output e...
Article
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We construct a Seemingly Unrelated Regression (SUR) model to investigate the link between local environmental pollution (sulfur dioxide-SO2 and nitrogen oxides-NOx emissions) and economic growth on a panel data set framework for the US over the period 1990–2012. The presence of different polynomials of GDP for each equation of SO2 and NOx respectiv...
Article
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Cross sectional dependence may lead to inconsistent and inefficient estimators and as such misleading inferences when standard panel data techniques such as fixed/random effects are employed. Pesaran (2006) suggests incorporating cross sectional averages in panel data models as approximates of unobserved common factor(s) to deal with cross sectiona...
Article
We examine the significance of twenty-one potential drivers of bitcoin returns for the period 2010–2017 (2533 daily observations). Within a LASSO framework, we examine the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED’s and ECB’s rates and internet trends on bitcoin returns for alternate time periods. Se...
Article
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In this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and does not rely on a benchmark country using both univariate and multivariate estimates of the long memory parameter d. Using per capita GDP gaps, we confirm the findings of non-stationarity and long memory behavior that have been...
Article
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In this paper, we examine empirically GDP per capita convergence using an approach that explicitly allows for regime switching in the long memory parameter d within the context of a Markov Switching (MS)–ARFIMA framework. As existing methods used in the estimation of standard MS models, such as the EM algorithm are no longer appropriate, we will ma...
Preprint
Full-text available
This paper studies the effect of foreign aid to agriculture on the industrialization process of developing countries. Our theoretical analysis suggests a dichotomy between closed and open economies as regards the impact of aid given for productive purposes to the primary sector. Our empirical results confirm our analysis, as we find the effect is p...
Article
This paper attempts to investigate the causal link between market structure and industry performance using a micro panel data set of USA manufacturing industries over the period 1958–2007. We employ a novel panel GMM model strongly accounting for endogenous regressors and threshold variable. The empirical findings denote the existence of a non-mono...
Preprint
In this paper, we solve two problems related to growth and survival probability maximization of an economy using techniques of stochastic optimal control theory. From the results, we first construct a model with a dynamic threshold that designates the borrowing potential of an economy and a parameter that is used to see when borrowing more than the...
Article
We estimate a multivariate stochastic volatility model for a panel of stock returns for a number of S&P 500 firms from different industries. To directly compare our results with those from the univariate estimation literature on the same data, we use an efficient importance sampling (EIS) method to estimate the likelihood function of the given mult...
Article
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In 2010, United Nations’ Development Programme changed the indicators used to obtain education and income indices in the Human Development Index (HDI). In this paper, we use the Stochastic Dominance Efficiency methodology to evaluate the implicit weights of the dimensions used in the new measurement of the HDI. We find, contrary to the earlier lite...
Article
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We employ a stochastic dominance (SD) approach to analyze the components that contribute to environmental degradation over time. The variables include countries’ greenhouse gas (GHG) emissions and water pollution. Our approach is based on pair-wise SD tests. First, we study the dynamic progress of each separate variable over time, from 1990 to 2005...
Article
This paper presents an analysis of the seeds of the recent debt crisis that occurred in the Eurozone area using a variant of Fleming and Stein [2004. “Stochastic Optimal Control, International Finance and Debt.” Journal of Banking and Finance, 28: 979–996] model. This model has two risk drivers arising from uncertainties in the return on capital an...
Article
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In this study, we propose a new method to find convergence clubs that combine pairwise method of testing convergence with maximal clique algorithm. Unlike many of those already developed in the literature, this new method aims to find convergence clubs endogenously without depending on priori classifications. We use our method to study convergence...
Article
In this paper, we solve two problems related to growth and survival probability maximization of an economy using techniques of stochastic optimal control theory. From the results, we first construct a model with a dynamic threshold that designates the borrowing potential of an economy and a parameter that is used to see when borrowing more than the...
Article
We propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. Following Tsay and Härdle (2009 Tsay, W.-J. and Härdle, W. K. (2009). A generalized arfima process with markov-switching fractional differencing parameter. Journal of Statistical Computation and Simulation, 79(5):731–7...
Article
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We aim to assess welfare improvements in the Middle East and North Africa (MENA) region using the Human Development Index (HDI). We obtain weighting schemes that yield the best- and worst-case scenarios for measured human development, relying on consistent tests for stochastic dominance efficiency (SDE), with the official equally weighted HDI taken...
Article
This paper investigates the impact of market structure on labour productivity and wages using a panel data set of US manufacturing industries over the period 1958–2007. To account for nonlinear effects, we employ a smooth coefficient semiparametric model (SCSM). We find evidence in support of a nonlinear relationship between market concentration an...
Research
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IZA Working Paper Version, Keyword: Intergenerational mobility, parental education, access to PSE
Article
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In this paper, we exploit a rich longitudinal data set to explore the forces that, during high school, shape the development of aspirations to attend university and achieve academic success. We then investigate how these aspirations, along with grades and other variables, impact educational outcomes such as going to university and graduating. It tu...
Article
The paper involves the analysis of the seeds of the recent debt crisis that occurred in the Eurozone area. For the analysis we use the model of Fleming and Stein (2004). This model has two risk drivers arising from uncertainties in the return on capital and the effective rate of return on net foreign assets. Given the risk drivers, we model the net...
Article
In this paper, we solve two problems related to growth and survival probability maximization of an economy. We assume that the problems are subject to the stochastic net worth model introduced by Fleming and Stein (2004) and apply the techniques of stochastic optimal control theory in order to find our results. Via the results, we first establish t...
Article
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This paper studies hours worked volatility and the cyclicality of human capital investments by embedding a Ben-Porath life-cycle model of human capital accumulation into an RBC setting. Agents differ across two dimensions: age and productivity in learning. Our results show that individuals invest more in human capital during economic downturns. How...