Dionysios Chionis

Aggregate and disaggregate measures of the foreign exchange risk premium

Using a disaggregate survey data base, this paper re-examines the issue of the existence of a time-varying risk premia in three foreign exchange markets. Previous research on this topic has utilized a consensus measure of the risk premium, based on the rational expectations assumption, and is not supportive of the existence of such a premium. In contrast, this paper reports compelling evidence in favour of time-varying risk premia for the British pound, German mark and Japanese yen exchange rates. In particular, we demonstrate that consensus measures of the risk premium mask the existence of risk because of the importance of heterogeneous expectations.

Are There Any Contagion Effects from Greek Bonds

Since the onset of the global financial crisis, the sovereign risk premium differential and associated government bond yields have been widening so much as to cause the Eurozone crisis. The stylized facts of the 10-year Greek government bond yield attract much interest since there are deepened fears of this spreading to the government bonds of other European countries. Moreover, the impact of the Greek bond market on other European countries during the crisis period has not been examined adequately in the international literature. By employing a set of wellestablished econometric methods, in which we take into account the presence of heteroskedasticity, we do not find any evidence for the existence of contagious effects stemming from the Greek 10-year government bonds to the government bond markets of other European countries.

Currency Crises in Transition Economies; Some Recent Evidence

This paper studies the causes of turbulence in foreign exchange markets looking closely on the experience of five transition economies. In more details, we consider the influence of macroeconomic variables in the case of currency crises occurrence by using logit models. In an environment of deteriorating fundamentals, the examined issue is whether some fundamentals maximize the likelihood of currency crisis occurrence.

The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis

In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre and post crisis period that caused the unprecedented event, in the recent history, a country, member of the Euro area, not to able to tap the market. In doing so, we employ two major set of variables, market driven and macroeconomic variables, following the recent literature. We find two classes of results. First, debt to GDP ratio, deficit, inflation and unemployment among others, play a more significant role as determinants of the 10-year Greek bond yield during the crisis than had before and second, during the crisis 10years yield is above the price that fundamentals would imply. Moreover, we explicitly test for the impact of speculation on the yield. These results are in line with other empirical studies and shed line to the motion of bond yield in an unprecedented in terms of fiscal consolidation era as it is in Greece.

Modeling Interest Rate Transmission Dynamics in Greece - Is There Any Structural Break After EMU?

We examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates become much more responsive to the policy rate in terms of impact multipliers and speed of convergence to the equilibrium, a consequence of the common monetary policy. However, the process is still not complete even after the accession into the EMU.

Aggregate and Disaggregate Measures of the Foreign Exchange Risk Premium

Using a disaggregate survey data base, this paper re-examines the issue of the existence of a time-varying risk premia in three foreign exchange markets. Previous research on this topic has utilized a consensus measure of the risk premium, based on the rational expectations assumption, and is not supportive of the existence of such a premium. In contrast, this paper reports compelling evidence in favour of time-varying risk premia for the British pound, German mark and Japanese yen exchange rates. In particular, we demonstrate that consensus measures of the risk premium mask the existence of risk because of the importance of heterogeneous expectations.

Conditional Volatility Measures of Inflation Uncertainty: Evidence from the Greek Experience

This paper investigates the dynamics developed in the relationship between output and prices. It examines the case of Greece which is of particular interest since the Greek economy is currently characterized by surrounding inelasicities and rigidities in labour and goods markets. By using a model of conditional volatility the CPI-inflation is decomposed in two components, one expected and one unexpected. It is argued that there is a strong long-run relationship between the unpredicted inflation and total output for the period examined.