The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps

This note provides the first empirical assessment of the dynamic interrelation between government bond spreads and their associated credit default swaps (CDS). We use data for the Southern European countries (Greece, Italy, Portugal and Spain) that found themselves with a problematic public sector in the dawn of the recent financial distress. We find that CDS prices Granger-cause government bond spreads after the eruption of the 2007 sub-prime crisis. Feedback causality is detected during periods of financial and economic turmoil, thereby indicating that high risk aversion tends to perplex the transmission mechanism between CDS prices and government bond spreads. © 2010 Elsevier Inc

Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade

The introduction of the euro epitomizes European economic integration. This paper assesses the dynamic process of convergence among four major European stock markets in the first euro-decade. Using tests that allow for endogenously determined breaks in cointegrating relationships and rolling cointegration analysis, we show that although some convergence has been taking place over time, it is very much an ongoing process. There is also evidence that the German and French markets appear to be the ones with a higher degree of convergence while the dominant position of Germany within the eurozone seems to be (re)affirmed by tests conducted herein. (C) 2010 Elsevier B.V. All rights reserved

Relative effective taxation and income inequality: Evidence from OECD countries

Using a panel data set of effective tax rates that are directly comparable across OECD countries and over time, we investigate the redistributive effect of labour, consumption and capital tax rates. We show that what matters from the point of view of redistribution is the tax mix rather than the tax rates in isolation of the rest. We also find that as countries become more economically developed, and thus institutionally stronger, the adverse effects of relative tax rates on income equality diminish

The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps

This note provides the first empirical assessment of the dynamic interrelation between government bond spreads and their associated credit default swaps (CDS). We use data for the Southern European countries (Greece, Italy, Portugal and Spain) that found themselves with a problematic public sector in the dawn of the recent financial distress. We find that CDS prices Granger-cause government bond spreads after the eruption of the 2007 sub-prime crisis. Feedback causality is detected during periods of financial and economic turmoil, thereby indicating that high risk aversion tends to perplex the transmission mechanism between CDS prices and government bond spreads. © 2010 Elsevier Inc

Relative effective taxation and income inequality: Evidence from OECD countries

Using a panel data set of effective tax rates that are directly comparable across OECD countries and over time, we investigate the redistributive effect of labour, consumption and capital tax rates. We show that what matters from the point of view of redistribution is the tax mix rather than the tax rates in isolation of the rest. We also find that as countries become more economically developed, and thus institutionally stronger, the adverse effects of relative tax rates on income equality diminish

The Feldstein-Horioka puzzle across EU members: Evidence from the ARDL bounds approach and panel data

This paper addresses the saving-investment (SI) correlation for the EU 15 member countries, using the ARDL approach and panel regressions. If we accept the Feldstein-Horioka [Feldstein, M. and C. Horioka, 1980, Domestic saving and international capital flows, Economic Journal 90, 314-329.] interpretation of the SI correlation, the evidence from the ARDL approach does not point to any particular direction in terms of country size, or level of development, or economic and capital market structure. Panel regressions yield an S1 coefficient in the range of 0.148-0.157. This finding is attributed to higher capital mobility, lower transaction costs in the international capital markets, and the declining status of long-run current account targeting as a primary government objective. (C) 2006 Elsevier Inc. All rights reserved

Crime and the effectiveness of public order spending in Greece: Policy implications of some persistent findings

Increasing crime rates invariably result in calls for more police protection which requires the allocation of additional scarce resources to policing and public order. In an environment of fiscal pressures, the effectiveness of such public spending in deterring crime emerges as an important issue. This paper evaluates the effectiveness of public order spending on recorded crime in Greece. Results reported herein show that public order outlays do not have any crime reducing impact. The findings may tentatively be interpreted as either reflecting inefficient use of resources and/or that crime is driven by a cohort of other factors and hence it is unaffected by the allocation of resources to policing. Both interpretations have important policy implications both in terms of crime prevention policies as well as in terms of the operational efficiency and effectiveness of the agencies assigned with the task to thwart criminal activity. (C) 2012 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved

Terrorism and the effectiveness of security spending in Greece: Policy implications of some empirical findings

Greece has over the years faced serious security challenges from domestic as well as transnational terrorist activity. This paper examines empirically the effectiveness of counter-terrorism policy and particularly it focuses on current and investment expenditure on domestic security and public order. Using annual budget data for the 1974-2004 period, it investigates whether current and investment spending by the Ministry of Public Order has been an effective policy measure to counter terrorism. The results seem to suggest that such investment has at best a weak negative impact on internal terrorist actions. The main policy implication of this finding is that investing in counter-terrorist infrastructure and equipment can potentially prove to be an effective policy measure in the fight against terrorism. This, however, may be conditional upon a number of other factors including other anti-terrorist measures such as legislation or how efficiently such expenditure is used. (C) 2009 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved

The interest rate term structure in the UK Ecu Treasury bill market

SIGLEAvailable from British Library Document Supply Centre-DSC:9349.7139(9903) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

European interest rate linkages at the inception of the euro-denominated government bond market Evidence from eight countries

SIGLEAvailable from British Library Document Supply Centre-DSC:9349.7139(9907) / BLDSC - British Library Document Supply CentreGBUnited Kingdo