Dimitris K. Christopoulos

European common stochastic long-run trends

The paper examines convergence on the European level by using production functions which include capital and labor as factors of production. The methodology is based on principal-components analysis of common trends appropriate for heterogeneous panels. Using data for the 1960–1997 period and alternative specifications, it is found that convergence can be decisively rejected, although the number of common trends is relatively low (about four or five).

The relationship between output and unemployment: Evidence from Greek regions

Abstract.This research note investigates the relationship between output and unemployment in Greece at a regional level through the implementation of Okuns’s law. Current practice is primarily restricted to the national level, and thus ignores the regional dimension of this relationship. To this end, we apply modern unit root test and cointegration techniques based on panel data settings. Using panel data is necessary because typical spans of economic time series are short, so the entire panel must be exploited in order to draw sharper inferences. The empirical results reveal that Okun’s law can be confirmed for six out of the 13 regions we examine.

The performance of the Greek banking system in view of the EMU: results from a non-parametric approach

Abstract This paper estimates economic efficiency, TFP change, and technical change of the Greek banking system over the period 1993–1998. The beginning of the examination period coincides with the acceleration of liberalization and deregulation of the Greek financial system, in view of the country joining the EMU. The study uses Data Envelopment Analysis to measure technical and allocative efficiency. Also, productivity change is computed using the Malmquist Total Factor Productivity approach and is composed of technical and efficiency changes. The results show that the majority of the Greek banks operate close to best market practices, while allocative inefficiency costs seem to be more important than technical inefficiency costs. Also, the positive but not substantial TFP change of the Greek banking system is associated to efficiency improvement for the medium-sized banks and to technical change improvement for larger institutions.

Efficiency of the Greek banking system in view of the EMU: a heteroscedastic stochastic frontier approach

Abstract The paper estimates empirically cost efficiency of the Greek banking system for the period 1993–1998. The beginning of the examination period coincides with the acceleration of liberalization and deregulation of the Greek financial system, in view of the country joining the EMU. The study uses a multi-input, multi-output technology and adopts a heteroscedastic frontier model instead of a commonly used homoscedastic one to measure cost efficiency in the banking system. The empirical results show that larger banks are less efficient than smaller ones. Also, it is found that economic performance, bank loans and investments are positive related to the cost efficiency of the Greek commercial banking sector.

Current account sustainability in the US: What did we really know about it?

We analyze the sustainability of the US current account (CA) deficit by means of unit-root tests. First, we argue that there are several reasons to believe that the CA may follow a non-linear mean-reversion behavior under the null of stationarity. Using a non-linear ESTAR model we can reject the null of non-stationarity favoring the sustainability hypothesis. Second, we ask whether unit-root tests are a useful indicator of sustainability by comparing in-sample results for the 1960-2004 period to the developments observed up to the end of 2008. We find that the non-linear model outperforms the linear and random walk models in terms of forecast performance. The large shocks to the CA observed in the last five years induced a faster speed of mean reversion, ensuring the necessary adjustment to meet the inter-temporal budget constraint.

The demand for energy in Greek manufacturing

Abstract This paper considers an econometric approach to measuring substitutability of three types of energy, i.e. crude oil, electricity and diesel with capital and labour in the manufacturing sector of Greek industry during the period 1970–1990. A general dynamic framework is developed under the assumption that the structure of the production process is weakly separable in capital, labour and energy aggregates. The translog total cost function is used to represent the production technology. The main advantages of the proposed dynamic structure are that it is both disaggregated in energy components and consistent with the neo-classical theory of production.

Banking Economic Efficiency In The Deregulation Period: Results From Heteroscedastic Stochastic Frontier Models

The paper provides quantitative estimates of technical and allocative inefficiency measures of the Greek banking sector in the deregulation period. Such estimates are useful tools for bank managers and policymakers in view of the extensive restructuring of the Greek financial system in recent years, and participation of Greece in the Euro-zone. The paper generalizes recent approaches based on heteroscedastic stochastic frontier models, and shows how to measure both technical and allocative efficiency in such models. The method is applied to cost function estimation for the banking sector. It is found that technical inefficiency is close to 20 per cent, allocative inefficiency is also a substantial part of costs, averaging 14 per cent, and both components have improved drastically in the deregulation period. This suggests that there is plenty of room for improvement in Greek bank profitability and competitiveness in the new European financial environment. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester

Currency devaluation and output growth: new evidence from panel data analysis

Using panel data unit root tests and panel cointegration tests including Johansen maximum likelihood cointegration tests, as well as estimation techniques appropriate for heterogeneous panels such as fully modified OLS, this study examines the effect of currency devaluation on output expansion in a sample of eleven Asian countries over the period 1968–1999. The results suggest that, in the long run, output growth is affected by currency devaluation in the majority of countries under examination and in the panel as a whole. This finding stands at variance with other recent studies, which concluded that devaluation does not exert any important influence on aggregate output.

Allocative inefficiency and the capital-energy controversy

Abstract The purpose of the paper is to estimate a system of input demands for Greek manufacturing deviating from the standard practice of assuming strict cost minimization. The study allows for the presence of price distortions and allocative inefficiency in the decision process. This assumption affects parameter estimates and estimated elasticities materially, and throws new light on the capital-energy controversy in Greek manufacturing.

Unemployment hysteresis in EU countries: what do we really know about it?

Purpose - The paper aims to re-examine the stationarity properties of unemployment rates in 12 European Union (EU) countries over the period 1988: I-1999: IV. Design/methodology/approach - This paper applies a battery of second-generation panel unit root tests that allow for cross-sectional correlation. Findings - The study shows that, contrary to previous empirical literature, hysteresis does not characterise EU unemployment. Originality/value - This paper uses recent advances in the econometrics of panel unit root tests. The new tests have more power than the traditional ones in detecting the null hypothesis of a unit root.