Article

 

A REVISIT ON THE ROLE OF MACRO IMBALANCES IN THE US RECESSION OF 2007-2009: A FREQUENCY DOMAIN APPROACH (p.13-29)

by

Mihai Mutascu, ESCE International Business School Paris

Aviral Kumar Tiwari, Montpellier Business School

Keywords : Macro imbalance, Recession, Causality, Frequency domain, USA

JEL classification : H62, P33, E43, O16, G01, C53

Abstract

This paper revisits Paul’s (2010) and Tiwari and Pandey’s (2013) results and finds new evidence regarding the role of macro imbalances in the US recession of 2007-2009, starting from mentioned authors’ works. Using Paul’s (2010) dataset, our results are obtained based on Breitung and Candelon’s (2006) approach of Granger-causality in the frequency domain. The main findings reveal that growth in the fiscal deficit and the trade deficit influences each other, thus increasing the twin deficits. This pair generates a low interest rate and private saving. At the same time, the low level of interest rate reduces the level of private saving, having great contribution to the housing bubble. Neither fiscal deficit nor trade deficit has a direct impact on GDP.

 

 

DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN THE EU: THE CASE OF THE CZECH REPUBLIC AND GREECE  (p.31-63)

by

Dimitris Groumpos, University of Patras

George Economakis, University of Patras

Keywords : Foreign direct investment, EU, Czech Republic, Greece, economic complexity

JEL classification : F14, F15, F21, F23

Abstract

This paper attempts to explain divergences in inward foreign direct investment (FDI) in the sphere of production among members of the European Union (EU). Specifically, it investigates the determinants of FDI in the case of the Czech Republic and Greece and provides insights into the reasons for their different performance in attracting FDI. The empirical part includes an autoregressive distributed lag (ARDL) approach in order to determine long-run and/or short-run relationships between the examined variables. The main findings of the study show that market size and international trade competitiveness seem to play an important role in attracting FDI in both countries. In the case of Greece, FDI attractiveness seems to be strongly related to the level of its economic complexity. Labour costs seem to play a small role in the Greek economy while their role in the Czech economy seems to be insignificant. Another interesting finding is that FDI in the case of the Czech Republic seems to serve as a substitute to foreign intra-industry trade, a finding which does not hold for FDI attracted to Greece.

 

 

THE IMPACT OF INVESTORS’ PRESS READING TIME ON HETEROSCEDASTICITY OF STOCK RETURNS: THE CASE OF INTERCONTINENTAL EXCHANGE  (p.65-80)

by

Chamil W. Senarathne, Wuhan University of Technology

Keywords : Press reading time, News consumption, Efficient Market Hypothesis, Information flow, EGARCH, Trading volume

JEL classification : C58, D53, E51, G12, G14, G17, Z19

Abstract

This paper examines the impact of ICE press reading time on the information flow interpretation of conditional volatility using the framework of Lamoureux and Lastrapes (1990). The intraday press reading time aggregated over a monthly time horizon is shown to provide a significant explanatory power of heteroscedasticity in Intercontinental Exchange return data. The ARCH and GARCH effects vanish when the aggregate press reading time is included in the conditional variance equation of EGARCH model. This finding suggests that the residual heteroscedasticity of ICE returns reflects the time lag between press reading and the equilibrium price determination of ICE stock. Further, the aggregate press reading time is positively and significantly related to the conditional volatility, which indicates that the amount of textual contents of news is positively related to the equilibrium price change variance. The economic importance of these findings for policymaking and government initiatives are discussed.

 

 

INDUSTRIAL RELATIONS IN GREECE: BEFORE, DURING AND BEYOND THE ECONOMIC CRISIS  (p.81-107)

by

Ioannis Zisimopoulos, University of Patras

Keywords : Collective Bargaining, Decentralization, Trade Unions, Economic Crisis, Comparative Industrial Relations

JEL classification : J51, J52, J53

Abstract

In this paper we examine the transformation of industrial relations in Greece during the memoranda and after their official expiry. We argue that during the memoranda period, a process of “disorganized decentralization” of the collective bargaining system took place. This process was consolidated after the official expiry of the memoranda, through the legislation of the use of “opening clauses”. The consequences of the decentralization are the drastic reduction of collective agreements at the sectoral/occupational level, the reduction of the collective bargaining coverage rate, the increase of the individual contracts and the deterioration of the terms and working conditions of employees. These changes occurred in a conjuncture of the trade union movement’s weakening, and of the barriers for the development of collective action that have been legislated by the state. We argue that at this set of circumstances, the political and organizational reconstruction of the trade union movement is urgent.

 

 

RESEARCH NOTE: A NOTE ON STOPPING STRATEGY OF AUCTION: MAXIMIZATION SELLER GAIN PERSPECTIVE  (p.109-119)

by

Reza Habibi, Central Bank of Iran

Keywords : Auction, Binomial tree, Bond, Call option, Stopping strategy

JEL classification : D44, G11, G12

Abstract

In the current paper, the binomial tree is used to derive the optimal stopping time for seller of a commodity in a specified auction. It is assumed that the bids signals have valuable information to make decision about the best time for selling the commodity while using the derived optimal strategy the seller gain is maximized. It is seen that it is the time point at which a portfolio containing a bond and a call option gets its maximum. Some examples are given to show the value of theoretical results.