constantinos katrakilidis | Aristotle University of Thessaloniki (original) (raw)

Papers by constantinos katrakilidis

Research paper thumbnail of A Review of stock price volatility on Cash and Futures markets

Research paper thumbnail of The Relationship Between Stock Market Returns and Rates of Inflation

The Journal of Finance, 1979

... The percentage monthly stock market returns were obtained from the London Business School sha... more ... The percentage monthly stock market returns were obtained from the London Business School share price databank. Inflation was measured by the monthly Index of Retail Prices (IRP) although as a check on the results the Wholesale Price Index was also used in replications ...

Research paper thumbnail of An Empirical Investigation of the Dynamic Relationships of Debt Level and Business Risk

Research paper thumbnail of Testing for Market Integration and the Law of One Price in World Shrimp Markets

Aquaculture Economics & Management, 2007

Research paper thumbnail of The Greek economy in a Kaldorian developmental framework: A comment

Research paper thumbnail of Do tourism, economic complexity and globalization affect economic growth? New empirical evidence in the context of TALC theory and accounting for cross sectional dependence

Economics and Business Letters

This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of econo... more This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of economic returns and the Tourism Area Life Cycle (TALC) theory, along with economic complexity and globalization. To measure tourism accurately, principal components analysis is employed, integrating five tourism-specific variables for 127 countries spanning the period from 1995 to 2020. The empirical analysis utilizes advanced panel dynamic models that account for cross-sectional dependence, yielding robust evidence of a nonlinear TLG relationship. Our findings reveal an inverted U-shaped curve characterizing the TLG relationship in both the short and long run, highlighting distinct impacts of tourism specialization in each time frame. Specifically, higher levels of tourism specialization in the short run can lead to diminishing returns to scale in the long run. Furthermore, our analysis demonstrates that cultural globalization positively facilitates the TLG relationship, while economic comp...

Research paper thumbnail of An eclectic causality model for Income Growth: Evidence from Greece

European Research Studies Journal, 2008

We present time series evidence theoretically consistent with the New Keynesian view for income g... more We present time series evidence theoretically consistent with the New Keynesian view for income growth, using Greek annual data over the period 1970-2004. The empirical analysis employs a hybrid model for income growth using the ARDL approach to cointegration. Evidently, growth financing, under changing fiscal and monetary regimes, and interest rates' management are inextricably linked. These links still remain challenging and further research needs.

Research paper thumbnail of Greek Budget Deficits, Structural Breaks and the Concept of Sustainability: New Econometric Evidence

Social Science Research Network, 2006

Abstract: This paper attempts to investigate the concept of the sustainability of Greek fiscal po... more Abstract: This paper attempts to investigate the concept of the sustainability of Greek fiscal policy. Several procedures to test such sustainability have been proposed in the relevant literature, which focuses on the univariate properties of the public deficit and on the presence of a long-run relationship between government spending and revenues. Our empirical analysis uses an approach proposed by Martin (2000) and is based on a cointegration model allowing for multiple endogenous breaks in both the intercept and ...

Research paper thumbnail of Macroeconomic Uncertainty and Sectoral Output Performance: Empirical Evidence from Greece

Agricultural Economics Review, 2004

Research paper thumbnail of A Dynamic Panel, Empirical Investigation on the Link between Inflation and Fiscal Imbalances. Does Heterogeneity Matter?

Prague Economic Papers, 2013

This study empirically attempts to unveil the contradictive fi ndings regarding the relationship ... more This study empirically attempts to unveil the contradictive fi ndings regarding the relationship between fi scal imbalances and infl ation in the context of the latest theoretical indications. The empirical analysis covers the period of 1970 to 2009 and applies dynamic panel techniques in a pool of 52 countries that comprises 19 developed and 33 developing ones. This segmentation is applied to illustrate the groups' specifi c features and the implications of heterogeneity. The fi ndings provide supportive evidence for developing countries. We also fi nd a signifi cant degree of heterogeneity between the groups and the statistical signifi cance of the relationship between fi scal imbalances and infl ation in the case of developed countries cannot be ratifi ed.

Research paper thumbnail of Has the Accession of Greece in the EU Influenced the Dynamics of the Country’s “Twin Deficits”? An Empirical Investigation

European Research Studies Journal, Nov 1, 2011

This paper investigates the existence of possible causal linkages between the internal and extern... more This paper investigates the existence of possible causal linkages between the internal and external imbalances of the Greek economy, over the period 1960-2007, as well as the directions of the detected causal effects. Actually, it tests empirically the validity and rationale of the "twin deficits" hypothesis, taking into consideration the impact of the accession of Greece in the European Economic Community in 1981, which constitutes a great institutional change. By means of the ARDL cointegration methodology, errorcorrection modeling and Granger causality, we find evidence in favor of the "twin deficits hypothesis" for the Greek case over the pre-accession period (1960-1980), with causality running from the budget deficit to the trade deficit. However, over the post-accession period (1981-2007) the causal relationship is reversed, indicating changes in the linking mechanism of the two deficits and providing useful inferences for the national economic policy.

Research paper thumbnail of The dynamic role of institutional quality, renewable and non-renewable energy on the ecological footprint of OECD countries: do institutions and renewables function as leverage points for environmental sustainability?

Environmental Science and Pollution Research, May 26, 2021

This article examines for the first time the impact of disaggregated energy sources and instituti... more This article examines for the first time the impact of disaggregated energy sources and institutional quality on the ecological footprint (EF) of 29 OECD countries, by explaining how the diversification in countries’ energy mix and their institutional performance are associated with sustainable environmental performance. We use panel data from 1984 to 2016 and we apply second-generation techniques to arrange the critical issues of cross-sectional dependence and heterogeneity. The applied cointegration tests expose a long-run equilibrium relationship that associates renewable/non-renewable energy consumption, economic growth, institutional quality, and the EF of OECD countries. The robust cross-sectional augmented distributed lag (CS-DL) estimator shows that economic growth and the adoption of non-renewable energies are detrimental to the environment, while the operational quality of institutions adds to ecological sustainability. Concurrently, the negative effect of renewables on EF does not seem to cause a significant beneficial impact on the environment. Moreover, there is evidence that non-renewable energy and institutional quality have a bidirectional causal association with EF. Also, a weak unidirectional causal effect is running from the EF to renewables consumption. The study further demonstrates the inefficient integration of renewable energy forms in OECD countries and the concomitant essential role of institutions on environmental sustainability by providing relevant policy orientations.

Research paper thumbnail of Finance, institutions and human development: Evidence from developing countries

Ekonomska Istrazivanja-economic Research, 2015

The paper aims to examine the role of institutions and human development in financial development... more The paper aims to examine the role of institutions and human development in financial development at early and developing stages of economic development, using data from 52 developing economies during 1985-2008. In order to provide a more comprehensive assessment, especially of the finance-institutions link, we decompose institutions into economic, political and social; and economic institutions into quality of government, intervention of government, and quality of the legal system. The results demonstrate that: (i) institutional quality can explain international differences in the level of banking sector development; (ii) economic institutions and human development are extremely significant for banking sector development; (iii) the legal system is the dominant dimension of economic institutions; and (iv) the combined reforms of economic institutions matter more than separate institutional reforms.

Research paper thumbnail of Is the Greek budget deficit sustainable after all? Empirical evidence accounting for regime shifts

Applied Economics, Apr 1, 2014

ABSTRACT This article re-examines the sustainability of the Greek budget deficit by using a forma... more ABSTRACT This article re-examines the sustainability of the Greek budget deficit by using a formal framework based on the government’s intertemporal budget constraint. The empirical analysis uses annual data from 1960 to 2011 and employs traditional as well as more recent unit root and cointegration techniques that account for linear and nonlinear effects in fiscal policy actions. Unlike previous studies, the evidence suggests that, allowing for structural breaks, the Greek budget deficit is unsustainable. The parameter after the second detected break reflects the structural deficiencies of the Greek economy.

Research paper thumbnail of The dynamic linkages between food prices and oil prices. Does asymmetry matter?

The journal of economic asymmetries, Jun 1, 2021

Abstract Crude oil prices are thought to be causally related to global food prices. The present p... more Abstract Crude oil prices are thought to be causally related to global food prices. The present paper examines the short and long-run dynamic linkages between crude oil prices and world food prices, using monthly data for the period January 2000–December 2015. The relationship between the two series is investigated in both the linear and asymmetric framework accounting for the presence of structural breaks as well as for possible asymmetries. In the linear framework, the findings support a unidirectional causal relationship running from oil to food prices. However, in the asymmetric framework, there is evidence of long-run feedback effects. This study extends the literature on the global relationship between food and oil prices, accounting for possible asymmetric causal effects. The obtained evidence could be valuable to policy designation for both the food and energy industry.

Research paper thumbnail of An empirical analysis of the dynamic interactions among ethanol, crude oil and corn prices in the US market

Annals of Operations Research, Apr 3, 2018

This paper studies the dynamic interactions of the ethanol, crude oil and corn market prices in t... more This paper studies the dynamic interactions of the ethanol, crude oil and corn market prices in the United States from January 2005 up to December 2014. The empirical analysis, for the shake of robustness, employs alternative time series methodologies based on single equation and system estimation approaches to cointegration and more specifically, the autoregressive distributed lags and the Johansen ML cointegration methodologies were applied complementary. The findings reveal a statistically significant long-run causal effect running from crude oil and corn prices to ethanol price as well as from ethanol and corn prices to crude oil price. Additionally, a positive relationship between crude oil price and ethanol price was revealed.

Research paper thumbnail of The dynamic links between nuclear energy and sustainable economic growth. Do institutions matter?

Progress in Nuclear Energy, Sep 1, 2021

Abstract This study investigates the relationship between nuclear energy consumption and economic... more Abstract This study investigates the relationship between nuclear energy consumption and economic growth and the role of institutional quality in explaining this relationship using panel data of 18 top nuclear power-consuming countries for the period 1995–2017. It is the first research effort that incorporates the impact of institutional arrangements into the nexus between nuclear energy and economic growth. For this reason, we employ an institutional quality index which constitutes a composite measure of core institutional dimensions such as the rule of law and regulatory efficiency. The results of first and second-generation panel unit root and cointegration tests reveal a long-run relationship between economic growth, nuclear energy consumption, institutional quality, real gross fixed capital formation, and labor force. The pooled mean group estimation shows that nuclear energy consumption and institutional quality exercise significant positive effects on economic growth in the long run. In contrast, higher institutional quality has a negative long-run impact on the use of nuclear power. Furthermore, it is only observed a unidirectional causal effect from economic growth to nuclear energy consumption in the short run. Given the global controversies over the role of nuclear power in promoting sustainable economic growth, our findings imply that the institutional framework of the countries that consider nuclear energy as a long-term clean energy option has to be reassessed.

Research paper thumbnail of The dynamic linkages of fiscal and current account deficits: New evidence from five highly indebted European countries accounting for regime shifts and asymmetries

Economic Modelling, Mar 1, 2013

Research paper thumbnail of What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration

Economic Modelling, Jul 1, 2012

In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals... more In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long-and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.

Research paper thumbnail of Investigating the “Complementarity Hypothesis” in Greek Agriculture: An Empirical Analysis

Journal of Agricultural and Applied Economics, Apr 1, 2001

Research paper thumbnail of A Review of stock price volatility on Cash and Futures markets

Research paper thumbnail of The Relationship Between Stock Market Returns and Rates of Inflation

The Journal of Finance, 1979

... The percentage monthly stock market returns were obtained from the London Business School sha... more ... The percentage monthly stock market returns were obtained from the London Business School share price databank. Inflation was measured by the monthly Index of Retail Prices (IRP) although as a check on the results the Wholesale Price Index was also used in replications ...

Research paper thumbnail of An Empirical Investigation of the Dynamic Relationships of Debt Level and Business Risk

Research paper thumbnail of Testing for Market Integration and the Law of One Price in World Shrimp Markets

Aquaculture Economics & Management, 2007

Research paper thumbnail of The Greek economy in a Kaldorian developmental framework: A comment

Research paper thumbnail of Do tourism, economic complexity and globalization affect economic growth? New empirical evidence in the context of TALC theory and accounting for cross sectional dependence

Economics and Business Letters

This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of econo... more This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of economic returns and the Tourism Area Life Cycle (TALC) theory, along with economic complexity and globalization. To measure tourism accurately, principal components analysis is employed, integrating five tourism-specific variables for 127 countries spanning the period from 1995 to 2020. The empirical analysis utilizes advanced panel dynamic models that account for cross-sectional dependence, yielding robust evidence of a nonlinear TLG relationship. Our findings reveal an inverted U-shaped curve characterizing the TLG relationship in both the short and long run, highlighting distinct impacts of tourism specialization in each time frame. Specifically, higher levels of tourism specialization in the short run can lead to diminishing returns to scale in the long run. Furthermore, our analysis demonstrates that cultural globalization positively facilitates the TLG relationship, while economic comp...

Research paper thumbnail of An eclectic causality model for Income Growth: Evidence from Greece

European Research Studies Journal, 2008

We present time series evidence theoretically consistent with the New Keynesian view for income g... more We present time series evidence theoretically consistent with the New Keynesian view for income growth, using Greek annual data over the period 1970-2004. The empirical analysis employs a hybrid model for income growth using the ARDL approach to cointegration. Evidently, growth financing, under changing fiscal and monetary regimes, and interest rates' management are inextricably linked. These links still remain challenging and further research needs.

Research paper thumbnail of Greek Budget Deficits, Structural Breaks and the Concept of Sustainability: New Econometric Evidence

Social Science Research Network, 2006

Abstract: This paper attempts to investigate the concept of the sustainability of Greek fiscal po... more Abstract: This paper attempts to investigate the concept of the sustainability of Greek fiscal policy. Several procedures to test such sustainability have been proposed in the relevant literature, which focuses on the univariate properties of the public deficit and on the presence of a long-run relationship between government spending and revenues. Our empirical analysis uses an approach proposed by Martin (2000) and is based on a cointegration model allowing for multiple endogenous breaks in both the intercept and ...

Research paper thumbnail of Macroeconomic Uncertainty and Sectoral Output Performance: Empirical Evidence from Greece

Agricultural Economics Review, 2004

Research paper thumbnail of A Dynamic Panel, Empirical Investigation on the Link between Inflation and Fiscal Imbalances. Does Heterogeneity Matter?

Prague Economic Papers, 2013

This study empirically attempts to unveil the contradictive fi ndings regarding the relationship ... more This study empirically attempts to unveil the contradictive fi ndings regarding the relationship between fi scal imbalances and infl ation in the context of the latest theoretical indications. The empirical analysis covers the period of 1970 to 2009 and applies dynamic panel techniques in a pool of 52 countries that comprises 19 developed and 33 developing ones. This segmentation is applied to illustrate the groups' specifi c features and the implications of heterogeneity. The fi ndings provide supportive evidence for developing countries. We also fi nd a signifi cant degree of heterogeneity between the groups and the statistical signifi cance of the relationship between fi scal imbalances and infl ation in the case of developed countries cannot be ratifi ed.

Research paper thumbnail of Has the Accession of Greece in the EU Influenced the Dynamics of the Country’s “Twin Deficits”? An Empirical Investigation

European Research Studies Journal, Nov 1, 2011

This paper investigates the existence of possible causal linkages between the internal and extern... more This paper investigates the existence of possible causal linkages between the internal and external imbalances of the Greek economy, over the period 1960-2007, as well as the directions of the detected causal effects. Actually, it tests empirically the validity and rationale of the "twin deficits" hypothesis, taking into consideration the impact of the accession of Greece in the European Economic Community in 1981, which constitutes a great institutional change. By means of the ARDL cointegration methodology, errorcorrection modeling and Granger causality, we find evidence in favor of the "twin deficits hypothesis" for the Greek case over the pre-accession period (1960-1980), with causality running from the budget deficit to the trade deficit. However, over the post-accession period (1981-2007) the causal relationship is reversed, indicating changes in the linking mechanism of the two deficits and providing useful inferences for the national economic policy.

Research paper thumbnail of The dynamic role of institutional quality, renewable and non-renewable energy on the ecological footprint of OECD countries: do institutions and renewables function as leverage points for environmental sustainability?

Environmental Science and Pollution Research, May 26, 2021

This article examines for the first time the impact of disaggregated energy sources and instituti... more This article examines for the first time the impact of disaggregated energy sources and institutional quality on the ecological footprint (EF) of 29 OECD countries, by explaining how the diversification in countries’ energy mix and their institutional performance are associated with sustainable environmental performance. We use panel data from 1984 to 2016 and we apply second-generation techniques to arrange the critical issues of cross-sectional dependence and heterogeneity. The applied cointegration tests expose a long-run equilibrium relationship that associates renewable/non-renewable energy consumption, economic growth, institutional quality, and the EF of OECD countries. The robust cross-sectional augmented distributed lag (CS-DL) estimator shows that economic growth and the adoption of non-renewable energies are detrimental to the environment, while the operational quality of institutions adds to ecological sustainability. Concurrently, the negative effect of renewables on EF does not seem to cause a significant beneficial impact on the environment. Moreover, there is evidence that non-renewable energy and institutional quality have a bidirectional causal association with EF. Also, a weak unidirectional causal effect is running from the EF to renewables consumption. The study further demonstrates the inefficient integration of renewable energy forms in OECD countries and the concomitant essential role of institutions on environmental sustainability by providing relevant policy orientations.

Research paper thumbnail of Finance, institutions and human development: Evidence from developing countries

Ekonomska Istrazivanja-economic Research, 2015

The paper aims to examine the role of institutions and human development in financial development... more The paper aims to examine the role of institutions and human development in financial development at early and developing stages of economic development, using data from 52 developing economies during 1985-2008. In order to provide a more comprehensive assessment, especially of the finance-institutions link, we decompose institutions into economic, political and social; and economic institutions into quality of government, intervention of government, and quality of the legal system. The results demonstrate that: (i) institutional quality can explain international differences in the level of banking sector development; (ii) economic institutions and human development are extremely significant for banking sector development; (iii) the legal system is the dominant dimension of economic institutions; and (iv) the combined reforms of economic institutions matter more than separate institutional reforms.

Research paper thumbnail of Is the Greek budget deficit sustainable after all? Empirical evidence accounting for regime shifts

Applied Economics, Apr 1, 2014

ABSTRACT This article re-examines the sustainability of the Greek budget deficit by using a forma... more ABSTRACT This article re-examines the sustainability of the Greek budget deficit by using a formal framework based on the government’s intertemporal budget constraint. The empirical analysis uses annual data from 1960 to 2011 and employs traditional as well as more recent unit root and cointegration techniques that account for linear and nonlinear effects in fiscal policy actions. Unlike previous studies, the evidence suggests that, allowing for structural breaks, the Greek budget deficit is unsustainable. The parameter after the second detected break reflects the structural deficiencies of the Greek economy.

Research paper thumbnail of The dynamic linkages between food prices and oil prices. Does asymmetry matter?

The journal of economic asymmetries, Jun 1, 2021

Abstract Crude oil prices are thought to be causally related to global food prices. The present p... more Abstract Crude oil prices are thought to be causally related to global food prices. The present paper examines the short and long-run dynamic linkages between crude oil prices and world food prices, using monthly data for the period January 2000–December 2015. The relationship between the two series is investigated in both the linear and asymmetric framework accounting for the presence of structural breaks as well as for possible asymmetries. In the linear framework, the findings support a unidirectional causal relationship running from oil to food prices. However, in the asymmetric framework, there is evidence of long-run feedback effects. This study extends the literature on the global relationship between food and oil prices, accounting for possible asymmetric causal effects. The obtained evidence could be valuable to policy designation for both the food and energy industry.

Research paper thumbnail of An empirical analysis of the dynamic interactions among ethanol, crude oil and corn prices in the US market

Annals of Operations Research, Apr 3, 2018

This paper studies the dynamic interactions of the ethanol, crude oil and corn market prices in t... more This paper studies the dynamic interactions of the ethanol, crude oil and corn market prices in the United States from January 2005 up to December 2014. The empirical analysis, for the shake of robustness, employs alternative time series methodologies based on single equation and system estimation approaches to cointegration and more specifically, the autoregressive distributed lags and the Johansen ML cointegration methodologies were applied complementary. The findings reveal a statistically significant long-run causal effect running from crude oil and corn prices to ethanol price as well as from ethanol and corn prices to crude oil price. Additionally, a positive relationship between crude oil price and ethanol price was revealed.

Research paper thumbnail of The dynamic links between nuclear energy and sustainable economic growth. Do institutions matter?

Progress in Nuclear Energy, Sep 1, 2021

Abstract This study investigates the relationship between nuclear energy consumption and economic... more Abstract This study investigates the relationship between nuclear energy consumption and economic growth and the role of institutional quality in explaining this relationship using panel data of 18 top nuclear power-consuming countries for the period 1995–2017. It is the first research effort that incorporates the impact of institutional arrangements into the nexus between nuclear energy and economic growth. For this reason, we employ an institutional quality index which constitutes a composite measure of core institutional dimensions such as the rule of law and regulatory efficiency. The results of first and second-generation panel unit root and cointegration tests reveal a long-run relationship between economic growth, nuclear energy consumption, institutional quality, real gross fixed capital formation, and labor force. The pooled mean group estimation shows that nuclear energy consumption and institutional quality exercise significant positive effects on economic growth in the long run. In contrast, higher institutional quality has a negative long-run impact on the use of nuclear power. Furthermore, it is only observed a unidirectional causal effect from economic growth to nuclear energy consumption in the short run. Given the global controversies over the role of nuclear power in promoting sustainable economic growth, our findings imply that the institutional framework of the countries that consider nuclear energy as a long-term clean energy option has to be reassessed.

Research paper thumbnail of The dynamic linkages of fiscal and current account deficits: New evidence from five highly indebted European countries accounting for regime shifts and asymmetries

Economic Modelling, Mar 1, 2013

Research paper thumbnail of What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration

Economic Modelling, Jul 1, 2012

In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals... more In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long-and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.

Research paper thumbnail of Investigating the “Complementarity Hypothesis” in Greek Agriculture: An Empirical Analysis

Journal of Agricultural and Applied Economics, Apr 1, 2001