George Hondroyiannis

Energy consumption and economic growth: assessing the evidence from Greece

Abstract This paper attempts to shed light into the empirical relationship between energy consumption and economic growth, for Greece (1960–1996) employing the vector error-correction model estimation. The vector specification includes energy consumption, real GDP and price developments, the latter taken to represent a measure of economic efficiency. The empirical evidence suggests that there is a long-run relationship between the three variables, supporting the endogeneity of energy consumption and real output. These findings have important policy implications, since the adoption of suitable structural policies aiming at improving economic efficiency can induce energy conservation without impeding economic growth.

Assessing competitive conditions in the Greek banking system

Abstract This paper uses the Rosse-Panzar statistic to assess empirically competitive conditions in the Greek banking system over the period 1993–1995. The competitiveness of the banking system is evaluated using a non-structural estimation technique. The results indicate that bank revenues were earned as if under conditions of monopolistic competition. The gradual elimination of exchange controls, the capital movement liberalisation, the enactment of the Second Banking Directive of the European Union and the supervisory arrangements have been related to the competitive conditions of the Greek banking system.

Macroeconomic influences on the stock market

The paper studies the dynamic interactions among indicators of economic activity, such as industrial production, interest rate and exchange rate, the performance of the foreign stock market, oil prices, and stock returns to examine whether economic activity movements affect the performance of the stock market for Greece. The empirical evidence suggests that stock returns do not lead changes in real economic activity while the macroeconomic activity and foreign stock market changes explain only partially stock market movements. Oil price changes explain stock price movements and have a negative impact on macroeconomic activity.

An examination of the causal relationship between government spending and revenue: A cointegration analysis

This paper tests the validity of the proposition that there is a causal relationship between government expenditure and government revenue for Greece over the period 1957–1993. The empirical analysis employs tests of cointegration as pre-tests for Granger tests of causality. The empirical evidence suggests that there is a long-run relationship between government spending and government revenue and expenditures cause revenues.

Private saving determinants in European countries: A panel cointegration approach

Abstract This paper investigates the determinants of aggregate private saving in European countries employing panel data. The long-run saving function is estimated based on an extended lifecycle hypothesis taking into account the economic and demographic developments during this period. A long-run saving function sensitive to dependency ratio, old dependency ratio, liquidity, public finances, real disposable income growth, real interest rate and inflation is found to exist. The empirical evidence suggests the existence of a long-run saving function in Europe. The policy implications of such a relationship are presented.

Estimation of Parameters in the Presence of Model Misspecification and Measurement Error

Misspecifications of econometric models can lead to biased coefficients and incorrect interpretations of error terms, which in turn can lead to incorrectly estimated models and incorrect inference. There are specific techniques such as instrumental variables, which are used in the economics literature to deal with some individual forms of model misspecification, only addressing one problem at a time. The joint and separate solutions to the problems of unknown functional forms, omitted variables and measurement errors, discussed in this paper, prove that instrumental variables do not exist. Therefore, the specific techniques used in the literature are not feasible. This paper proposes a general method for estimating underlying parameters in the presence of a range of model misspecifications. It is argued that this method can consistently estimate the direct effect of an independent variable on a dependent variable with all of its other determinants held constant even in the presence of an unknown functional form, measurement error and omitted variables.

BRETTON-WOODS SYSTEMS, OLD AND NEW, AND THE ROTATION OF EXCHANGE-RATE REGIMES*

A recent contribution to the literature argues that the present international monetary system operates like the Bretton-Woods system. Asia is the new periphery of the system and pursues an export-led development strategy based on undervalued exchange rates and accumulated foreign reserves. The USA remains the centre country, pursuing a monetary-policy strategy that does not take external factors into account in conducting monetary policy. We test this hypothesis and also present a new method for decomposition of a time series using a time-varying business coefficient technique that allows us to test the relationship between the cycle and macroeconomic policies under both regimes.

Is the Japanese economy in a liquidity trap

Abstract A random coefficient estimation procedure is used to estimate the time profile of the interest rate elasticity of Japanese money demand. Contrary to the prediction of the liquidity trap hypothesis, the absolute value of the elasticity is found to decline at lower levels of interest rates.

THE NEW KEYNESIAN PHILLIPS CURVE IN A TIME-VARYING COEFFICIENT ENVIRONMENT: SOME EUROPEAN EVIDENCE

We examine whether the importance of lagged inflation in the New Keynesian Phillips Curve (NKPC) may be a result of specification biases. NKPCs are estimated for four countries: France, Germany, Italy, and the United Kingdom. Using time-varying coefficient (TVC) estimation, a procedure that can deal with possible specification biases, we find support for the NKPC model that excludes lagged inflation. Our results indicate a Phillips-curve relationship for the countries considered that does not contain an inertial element.

Are budget deficits inflationary? A cointegration approach

This paper investigates the direct and indirect effects of budget deficit on inflation in Greece for the period 1957-93. The empirical analysis employs tests of cointegration, as suggested by Johansen and Juselius, as pretests for Granger tests of causality. The empirical evidence suggests that the indirect effects of budget deficits on inflation exist while the direct effects are not present.