Browsing by Author "Vogiazas, Sofoklis"

Now showing 1 - 15 of 15
  • Thumbnail Image
    ItemOpen Access
    Bitcoin: The road to hell is paved with good promises
    (Wiley, 2018-04-17) Vogiazas, Sofoklis; Alexiou, Constantinos
    In this paper, by using econometric techniques we provide evidence that bitcoin exhibited the formation of speculative bubble in 2017. To conceptually rationalize the results, we delve into the extant theoretical approaches developed by Kindleberger's (1978) speculative bubbles and Minsky's (1992) financial instability hypothesis. Certainly, bitcoin has spurred a revolution in payment technology that, if treated cautiously can facilitate financial intermediation and inclusion. Ultimately, whether or not bitcoin constitutes a bubble is a decision for investors as the road to hell is paved with good promises.
  • Thumbnail Image
    ItemOpen Access
    Determinants of housing prices and bubble detection: evidence from seven advanced economies
    (Springer , 2017-03-06) Vogiazas, Sofoklis; Alexiou, Constantinos
    This paper provides empirical evidence on the relationship between residential property prices and the business cycle for seven advanced Organisation for Economic Co-operation and Development economies over the period 2002–2015 using quarterly data. To this end, panel data and time series methodologies are adopted as a means of providing a contextual framework on the extant relationship. The panel methodological framework explores the interaction between economic fundamentals and financial variables while the use of time series methodologies developed by Phillips et al. (2011(external) and 2015(external)) provide novel evidence on the detection of property price bubbles that have been manifested in each individual country of the sample. In particular, the short-run dynamic panel framework provides a robust exploratory platform thus, shedding light on the determinants of property prices (i.e. real gross domestic product, bank credit growth, long-term bond yields and real effective exchange rate) whilst the bubble detection methodologies provide evidence of the impact of credit-driven economies on the propagation of housing booms which can serve as warning signals of the potential formation of housing bubbles.
  • Thumbnail Image
    ItemOpen Access
    Drivers of the real effective exchange rates in high and upper-middle income countries
    (Wiley, 2018-10-07) Vogiazas, Sofoklis; Alexiou, Constantinos; Ogan, Orafiri C.
    This paper revisits the nexus between real effective exchange rate (REER) and total factor productivity (TFP) by controlling for trade openness, financial development and natural resources rents. We use a sample of 60 high‐income and upper‐middle income countries over the period 1995–2015 and employ the GMM estimation framework. Our results advance the empirical knowledge on the drivers of REER by providing robust evidence that the impact of TFP is not uniform across different country clusters. We find that in high‐income countries, increasing productivity causes the REER to depreciate hence becoming more trade competitive while the opposite is true for upper‐middle income countries. Furthermore, financial development and natural resources rents have no meaningful impact in the case of upper‐middle income countries but retain a significant effect in high‐income countries. Trade openness plays a key role in explaining the variation in REER in both country clusters.
  • Thumbnail Image
    ItemOpen Access
    Economic growth and quality of institutions in 27 postsocialist economies
    (Emerald, 2020-03-06) Alexiou, Constantinos; Vogiazas, Sofoklis; Solovev, Nikita
    Purpose – The relationship between institutional quality and economic growth is revisited. Design/methodology/approach – A panel cointegration methodology and causality analysis are applied to 27 postsocialist economies over the period from 1996 to 2016. Findings – Utilizing the Worldwide Governance Indicators as a means of assessing the quality of institutions, it is found that in the long run, economic growth is positively associated with the rule of law and voice and accountability. In the short run, regulatory quality retains a positive effect, but voice and accountability demonstrate a puzzling negative effect on economic growth that merits further analysis. In exploring the causal dimension of our variables, supporting evidence of the strong links between the quality of institutions and economic growth is provided, hence rendering robust results. Originality/value – To the best of the authors’ knowledge, it is the first time that an ARDL methodological framework, which addresses potential endogeneity issues, is used to investigate the relationship between institutional quality and growth in the context of postsocialist economies.
  • Thumbnail Image
    ItemOpen Access
    European intellectual property institutions and Chinese foreign direct investment
    (Emerald, 2020-05-20) Alexiou, Constantinos; Vogiazas, Sofoklis
    Purpose We investigate the impact of the strength of intellectual property (IP) institutions on Chinese outward foreign direct investment (OFDI). Design/methodology/approach We use two different measures of IP on a sample of 21 European countries in the period 2003–2015. Panel quantile methodology is applied to assess the relationship at several points of the conditional distribution of OFDI. Findings We provide novel and robust evidence revealing a highly negative relationship between OFDI and the strength of IP institutions in Europe. This relationship which is more pronounced in the median and upper-quantiles, bolsters the conventional theoretical expectation that high institutional distance between home and host countries is inversely related to OFDI. Equally important is the preliminary evidence of the non-linear impact of IP at the median and upper-quantiles as well as the impact of other controlling variables such as GDP, population, trade openness and unit labour costs on Chinese OFDI. Originality/value The ensuing theoretical implications are of great significance for future studies on the institutional distance and drivers of OFDI by emerging economies as well as for European policymakers in so far as the strengthening of IP institutions constitutes a gravitational point for inward investment flows from China.
  • Thumbnail Image
    ItemOpen Access
    Exchange rate regimes in India: Central Bank interventions and purchasing power parity in the context of ASEAN currencies
    (MDPI, 2024-04-19) Siddharth, Angad; Alexiou, Constantinos; Vogiazas, Sofoklis
    In this study spanning four decades, we explored the relationship between the Reserve Bank of India’s (RBI) interventions and the validity of Purchasing Power Parity (PPP) across two distinct exchange rate regimes: the fixed exchange rate regime (1975–1993) and the managed floating regime (1994–2015). Applying an error correction model (VECM), our analysis reveals that under the fixed exchange rate regime, the environment is conducive to PPP due to frequent interventions by the RBI. However, in the managed floating regime, selective interventions weaken the applicability of PPP. These findings align with prior research but also hint at the limitations of linear models in capturing the intricate dynamics of PPP when central banks are involved. Nonlinear models may hold the key to unraveling the relationship more effectively.
  • Thumbnail Image
    ItemOpen Access
    Exploring the dynamic nexus between cross-border dollar claims and global economic growth
    (MDPI, 2024-03-15) Alexiou, Constantinos; Vogiazas, Sofoklis; Benbow, Alex
    This paper addresses the role of the U.S. dollar in fostering global economic growth during the post-war period. The existing literature lacks a comprehensive understanding of the true implications of the U.S. dollar’s status as a reserve currency and a dearth of studies examining its impact. In this study, we explore the dynamic long-run and short-run relationships between cross-border U.S. dollar claims, global GDP, and global trade while gauging the impact of the Global Financial Crisis (GFC) and the COVID-19 pandemic. In doing so, we use ARDL methodology for a data set that spans the period of 1980 to 2022. The estimation results reveal a robust long-run relationship between U.S. dollar claims, global GDP and global trade and no clear evidence of asymmetric effects. Our findings are of great significance for monetary authorities, emphasising the need for a nuanced understanding of the implications of the U.S. dollar’s conducive role in shaping global economic dynamics and fostering growth.
  • Thumbnail Image
    ItemOpen Access
    Homeownership motivation, rationality, and housing prices: Evidence from gloom, boom, and bust‐and‐boom economies
    (Wiley, 2018-10-10) Alexiou, Constantinos; Chan, Aaron‐Samuel; Vogiazas, Sofoklis
    By focusing on three types of homebuyers, we address three questions: (a) Do households drive housing prices? (b) Do households and landlords act rationally in their buying decisions? (c) Is the market conducive to promoting homeownership or is it a speculators' territory? We use system Generalized Method of Moments (GMM) estimations based on 1970–2016 data, for 34 economies clustered as gloom, boom, or bust‐and‐boom, and we provide novel evidence that all three types of homebuyers contribute significantly to the determination of housing prices. Households and landlords seem to act irrationally as their decisions are not greatly affected by housing affordability or shrinking yields.
  • Thumbnail Image
    ItemOpen Access
    The impact of us elections on the dollar’s exchange rate
    (University of Belgrade, 2023-05-22) Alexiou, Constantinos; Vogiazas, Sofoklis; Kane, Colston
    This paper explores the effect of U.S. domestic politics on the behaviour of international currency markets. Specifically, for the first time in the literature, we gauge the impact of a divided government on the exchange rate volatility of five currencies: the Japanese Yen, the Canadian Dollar, the British Pound, the Mexican Peso, and Euro. At the same time, we control for the impact of political and macroeconomic factors. A GARCH methodology has been adopted for this objective, using weekly data from 2000 to 2021. The evidence suggests that the partisan and divided government variables significantly impact the conditional variance equation, whilst the observed reduced levels of exchange rate volatility during a Democrat presidency run counter to prior studies on Partisanship. In addition, exchange rate volatility seems to increase one month before an election and during periods of divided government. Given the nascent evidence, we argue that U.S. politics are instrumental in affecting global financial markets, in line with the postulates of the Global Hegemonic Theory.
  • Thumbnail Image
    ItemOpen Access
    Income inequality and financialization: a not so straightforward relationship
    (Emerald, 2021-01-01) Alexiou, Constantinos; Trachana, Emmanouil; Vogiazas, Sofoklis
    Purpose The authors explore the impact of financialization on income inequality for a panel of 19 OECD countries over the period 2000–2017. The authors control for the effect of banking crises, credit market regulation and globalization, among other factors. Design/methodology/approach The authors use three proxies for income inequality and four proxies for financialization. The authors employ a panel fixed effects approach using Driscoll and Kraay’s (1998) nonparametric covariance matrix estimator, which produces standard errors that are robust to general forms of cross-sectional dependence. Findings The authors provide evidence which to a great extent supports the view that the process of financialization has increased income inequality. In the disposable Gini specifications, two out of the four financialization measures are found to significantly contribute to rising inequality whilst in the specification with the market income Gini coefficient, three out of the four financialization proxies appear to adversely affect inequality. In the specification with the Gini coefficient based on manufacturing pay, the evidence is weak. Furthermore, trade unions appear to play a significant role in reducing inequality in two out of the three Gini specifications while the effect of credit market regulation is rather ambiguous. Originality/value The authors’ findings suggest a positive relationship between financialization and income inequality; however, the results depend on the proxies used to measure financialization and income inequality. The authors conclude that the process of financialization in triggering income inequality is complex and merits additional research.
  • Thumbnail Image
    ItemOpen Access
    Investigating the relationship between high‐yield bonds and equities and its implications for strategic asset allocation during the Great Recession
    (Wiley, 2018-10-12) Menounos, Georgios; Alexiou, Constantinos; Vogiazas, Sofoklis
    In this paper, we focus on investing in U.S. high‐yield bonds during the period 2007–2013, a period that covers the Great Recession in the aftermath of the global financial crisis of 2007–2008. First, we use the Fama and French three‐factor model to delve into the relationship between the risk‐adjusted returns of high‐yield bonds and equity market risk factors. Second, we gauge the extent to which the risk‐adjusted returns of high‐yield bonds are significantly higher than equity and investment‐grade bonds' risk‐adjusted returns. Third, by using a modified version of the Black–Litterman model, we explore the asset allocation to high‐yield bonds, accounting for investors' risk tolerance. Our findings suggest that equity market risk factors have significant explanatory power for high‐yield bonds' risk‐adjusted returns, whereas the hypothesis of superior returns on high‐yield bonds over investment‐grade corporate bonds and equities cannot be supported. Our key contribution relates to the strategic asset allocation to high‐yield bonds. Our results suggest that the share of high‐yield bonds does not exceed 4.1% of total assets in a global market portfolio over the period 2007–2013. Notably, the share of high‐yield bonds in a simulated portfolio remains relatively small and stable on a risk‐adjusted basis, irrespective of an investor's risk profile or the phase of the business cycle.
  • Thumbnail Image
    ItemOpen Access
    Macroeconomic announcements and stock returns in US portfolios formed on operating profitability and investment
    (LLC “Consulting Publishing Company “Business Perspectives”, 2018-01-25) Alexiou, Constantinos; Vogiazas, Sofoklis; Taqvi, Abid
    The authors explore the reaction of US stock portfolio returns to macroeconomic announcements spanning the period from April 1998 to May 2017. Using daily returns of 25 portfolios formed on operating profitability and investment, the authors investigate the extent to which potential asymmetries permeate the stock portfolios following macroeconomic announcements. The three methodological approaches utilized in this study suggest that the ISM non-manufacturing index, employees on non-farm payrolls, retail sales, personal consumption expenditure and initial jobless claims have a significant impact on portfolio returns. Also, portfolios consisting of companies with higher operating profitability and investment level are found to be less responsive to announcements. As the particular area has received little currency over the years, this contribution is of great significance, because it provides insights into the reaction of returns in value-weighted portfolios to announcements on certain macro-indicators. At the same time, the study informs portfolio managers of the implications of macroeconomic news, which drive economic expectations and can reverberate through the expected returns in US stock portfolios.
  • Thumbnail Image
    ItemOpen Access
    Reassessing the relationship between the financial sector and economic growth: Dynamic panel evidence
    (Wiley, 2018-01-25) Alexiou, Constantinos; Vogiazas, Sofoklis; Nellis, Joseph G.
    Historically, the development of the financial sector has been an indispensable driver of economic growth. In the aftermath of the Great Recession, there is a pressing need to reassess the role of the financial sector in the determination of economic growth. Using a dynamic panel framework, our analysis covers 34 European and Commonwealth of Independent States economies for the period 1998–2014 and controls for the role of macroeconomic and institutional variables. Our evidence suggests that the potential benefits of the financial sector finance may have dramatically reversed in recent years, resulting in “un-creative destruction.” The results suggest, tentatively, that there has been a severance of the link between the financial sector and the real economy. The results, however, vary according to the level of economic development across the European and Commonwealth of Independent States economies. In the case of developing market economies, the financial intermediation proxies are not significant in explaining economic growth. The effect of changes in investment expenditure, the money supply, wages, unit labour costs, and trade openness is found to be strong and in line with a priori expectations across all country samples. Notably, government consumption is also found to be a significant driver of economic growth, except in the developing market economies in the period following the Great Recession. In line with the growing consensus in other research areas, we provide evidence of a robust role for the institutional framework proxied by the quality of governance in determining economic development.
  • Thumbnail Image
    ItemOpen Access
    The role of high-yield bonds in strategic asset allocation over the Great Recession
    (LLC “Consulting Publishing Company “Business Perspectives”, 2017-11-13) Menounos, Georgios; Alexiou, Constantinos; Vogiazas, Sofoklis
    By utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio.
  • Thumbnail Image
    ItemOpen Access
    Untangling the nonlinear ‘knots’ of UK’s housing prices
    (Emerald, 2019-08-29) Alexiou, Constantinos; Vogiazas, Sofoklis
    Purpose Housing prices in the UK offer an inspiring, yet a complex and under-explored research area. The purpose of this paper is to investigate the critical factors that affect UK’s housing prices. Design/methodology/approach The authors utilize the recently developed nonlinear ARDL approach of Shin et al. (2014) over the period 1969–2016. Findings The authors find that both the long-run and short-run impact of the price-to-rent (PTR) ratio and credit-to-GDP ratio on house prices (HP) is asymmetric whilst ambiguous results are established for mortgage rates, industrial production and equities. Apart from the novel framework of analysis, this study also establishes a positive association between HP and the PTR ratio which suggests a speculative behaviour and could imply the formation of a housing bubble. Originality/value It is the first study for the UK housing market that explores the underlying fundamental relationships by looking at nonlinearities hence, allowing HP to be tied by asymmetric relationships in the long as well as in the short run. Modelling the inherent nonlinearities enhances significantly the understanding of UK housing market which can prove useful for policymaking and forecasting purposes.