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.interest rate pass-through, monetary policy, transmission dynamics, Greece.

The Foreign Exchange Risk Premium A Disaggregate Approach

This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign exchange markets. By using the theoretical framework developed by Domowitz and Hakkio it relates the risk premium in the foreign exchange market with the heterogeneity across the market participants. The empirical research using a disaggregate survey data base support the importance is supportive of the existence 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 because of the importance of heterogenous expectations

Trading volume and volatility : intraday evidence from the Athens stock exchange

With the present paper we document some standard statistical properties and 'stylized' facts of volume and volatility of nine common shares traded in the Athens Stock Exchange (ASE) * * *. Using econometrical tools we investigate the relationship between volume and volatility attempting to find support for the Mixture of Distribution Hypothesis (MDH). Although the Granger-causality results can support a trading volume equation the well documented property of volatility clustering cannot be supported by the data. Furthermore, the trading volume seems to convey no information for the stock exchange participants. So we could cast doubt in the hypothesis proposed by Lamoureux and Lastrapes (1990).peer-reviewe

Towards a Deep Unified Framework for Nuclear Reactor Perturbation Analysis

In this paper, we take the first steps towards a novel unified framework for the analysis of perturbations in both the Time and Frequency domains. The identification of type and source of such perturbations is fundamental for monitoring reactor cores and guarantee safety while running at nominal conditions. A 3D Convolutional Neural Network (3D-CNN) was employed to analyse perturbations happening in the frequency domain, such as an absorber of variable strength or propagating perturbation. Recurrent neural networks (RNN), specifically Long Short-Term Memory (LSTM) networks were used to study signal sequences related to perturbations induced in the time domain, including the vibrations of fuel assemblies and the fluctuations of thermal-hydraulic parameters at the inlet of the reactor coolant loops. 512 dimensional representations were extracted from the 3D-CNN and LSTM architectures, and used as input to a fused multi-sigmoid classification layer to recognise the perturbation type. If the perturbation is in the frequency domain, a separate fully-connected layer utilises said representations to regress the coordinates of its source. The results showed that the perturbation type can be recognised with high accuracy in all cases, and frequency domain scenario sources can be localised with high precision

Policy Misalignments of the Currency Board Arrangements: Issues and Experiences from the Caribbean Economies

Although a Currency Board is a simple monetary arrangement, there is a range of important policy issues that must be addressed by the domestic monetary authorities. If one defines policy misalignment as deviation from such policy rule then such mistakes have been associated with either external deficit or contradictory effects on GDP. This paper seeks to evaluate the exchange rate and interest rate misalignment in six Caribbean economies that have adopted Currency Board Arrangements.

The Hysteretic Effects on the Real Exchange Rates

In this paper we investigate the dynamics developed from the exchange rate relative price relationship using a hysteresis framework. The rationale for such hysteretic effects is in terms of firms' unresponsiveness to the exchange rate changes due to pricing to market-type arguments.The empirical support of these ideas is derived by applying a linear approximation of the hysteretic effects.We conclude that the hysteretic effects are a source of non-linearity, strongly affecting the long-run relationship of exchange rate and prices.

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.

Some tests of market microstructure hypotheses in the foreign exchange market

In this paper we examine a number of hypotheses stemming from the market microstructure literature. In particular, we use a disaggregate survey data base, consisting of the foreign exchange expectations of over 150 forecasters, to construct both aggregate and disaggregate measures of dispersion. These measures are then used to examine the relationship between volatility, volume and heterogeneity. GARCH modelling techniques are also employed to test a set of hypotheses relating to the conditional volatility of exchange rate returns. The tenor of the results contained in this paper may be interpreted as supportive of the usefulness of market microstructure concepts in analysing foreign exchange markets

An Empirical Investigation of Greek-Balkan Bilateral Trade

This article examines the role that Greece has played in the reorientation of the foreign trade of the transition Balkan countries toward the European Union (EU).Greece's imports from and especially its exports to the other Balkan countries have grown much more rapidly than that of the other EU countries. While proximity plays a role in explaining this, there are important schemes for regional integration in the Balkans that may also play a role. Nevertheless, a gravity model of trade in the region suggests that there is considerable unexploited potential for greater intra-regional trade.