Christina Christou

Dynamic Adaptation to Resource Scarcity and Backstop Availability: Theory and Application to Groundwater

In this paper we analyse the optimal management of a renewable resource (groundwater) with stock-dependent extraction cost and a backstop substitute, facing two-sector linear demands. Application to the Kiti region in Cyprus demonstrates the model’s performance and is used to test for the difference between optimal and myopic behaviour. It is found that the presence of a backstop resource diminishes the importance of optimal dynamic behaviour, whereas in the absence of backstop the optimal control solution yields a value for social welfare significantly larger than the myopic policy.

Energy productivity convergence: new evidence from club converging

Abstract The goal of this study is to explore the convergence of energy productivity across 31 countries from 1972 to 2012 by using the convergence club algorithm developed by Phillips and Sul (2007). The empirical results lead to the rejection of full convergence and to the presence of a certain number of clubs. The transitional curves, however, indicate that over the long run energy productivity tends to converge, indicating the strong attempts of the countries under investigation to adopt energy policies that eventually contribute to a convergence pattern.

Convergence in public expenditures across EU countries: evidence from club convergence

The goal of the present article is to investigate the degree of convergence in public expenditures for a panel of 17 European Union member countries spanning the period 1990 to 2012. We apply the methodology of Phillips and Sul (2007) to various categories of public expenditures to assess the existence of convergence clubs. Overall, the results do not support the hypothesis that all countries converge to a single equilibrium state in various public expenditures.

Kernel And Bandwidth Selection, Prewhitening, And The Performance Of The Fully Modified Least Squares Estimation Method

This paper examines several practical issues regarding the implementation of the Phillips and Hansen fully modified least squares (FMLS) method for the estimation of a cointegrating vector. Various versions of this method arise by selecting between standard and prewhitened kernel estimation and between parametric and nonparametric automatic bandwidth estimators and also among alternative kernels. A Monte Carlo study is conducted to investigate the finite-sample properties of the alternative versions of the FMLS procedure. The results suggest that the prewhitened kernel estimator of Andrews and Monahan (1992, Econometrica 60, 953-966) in which the bandwidth parameter is selected via the nonparametric procedure of Newey and West (1994, Review of Economic Studies 61, 631-653) minimizes the second-order asymptotic bias effects.

The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in persistence, while under cross-sectional dependence there is only weak evidence of changes in persistence from I(1) to I(0). The evidence of changes in persistence when the direction is considered unknown is even weaker.

Precious metal markets, stock markets and the macroeconomic environment: a FAVAR model approach

This empirical study investigates the nature of spillovers between precious metal prices, i.e. gold and silver, stock markets and a number of macroeconomic variables for the G7 countries over the period 1981 to 2010. Through the methodological approach of the factor-augmented vector autoregressive (FAVAR) model, the empirical findings display that the price transmission across precious metal markets, stock markets and the macroeconomy is substantial. In particular, the results exemplify the role of the macroeconomic environment in explaining the behaviour of both gold and silver returns, while the performance of the stock markets does not appear to contribute as much.

Accounting standards convergence dynamics: International evidence from club convergence and clustering

Purpose - – This paper aims to explore convergence of accounting standards across worldwide adopted measures to investigate whether countries that have not completely adopted International Accounting Standards across the globe have displayed a tendency to act so. Design/methodology/approach - – The new panel convergence methodology, developed by Phillips and Sul (2007), is employed. Findings - – The empirical findings suggest that countries form distinct convergent clubs, albeit on a limited prevalence, yielding support to the notion that on a global basis firms and countries have initiated processes that will eventually lead them to a uniform pattern of employing common accounting standards. Practical implications - – These findings have substantial implications on a firm level, mainly for differences in accounting quality as well as for differences in their cost of capital, thus leading the regulatory authorities to opt for further improvements in financial reporting. Originality/value - – The novelties of this paper first, stem from the fact that it is the first time in the relevant literature that an empirical study attempts to formally measure whether the accounting world exhibits a tendency for accounting standards convergence or whether tactics and policies remain stagnant, acquiring drastic policy measures to speed up the convergence process. In addition, this study employs the implementation of the new methodology of panel convergence testing. This methodology has several appealing characteristics.

Forward versus reverse regression and cointegration

Abstract In this paper we investigate the conditions under which the ‘forward’ dynamic regression of y on x is equivalent to the ‘reverse’ dynamic regression of x on y in the sense that the long-run coefficient obtained from the forward regression is equal to the reciprocal of the long-run coefficient from the reverse regression. We show that this equivalence holds if and only if the two series are cointegrated.

Convergence Patterns in Equity Markets: International Evidence from the Club Convergence and Clustering Procedure

The main purpose of this study is to examine the convergence of international equity markets and attempt to explain the contribution of macroeconomic factors with respect to convergent behavior. To serve both objectives, the methodology of Phillips and Sul (2007) is employed. The empirical results suggest that international equity markets form two distinct convergence clubs, exhibiting considerable heterogeneity in the underlying growth factors.

Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach

ABSTRACT This study investigates how Taiwan, India, China, and Korea (TICKs) set interest rates in the context of policy reaction functions using a quantile-based approach. Our results indicate the tendency of a milder response to inflation at low interest rates and greater response at higher quantiles of interest rates, where inflation is presumably higher than desired for China and South Korea. While the response to inflation over the quantiles is significant for India, yet the Taylor principle is less likely to hold. For Taiwan, the results imply that another instrument is employed to deal with its official managed floating currency.