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Papers by Stilianos Fountas

... flows in the EU also depend on market size and the real exchange rate (as a ... years and, es... more ... flows in the EU also depend on market size and the real exchange rate (as a ... years and, especially, during the latter part of the 1980s, foreign direct investment (FDI) in ... This significant increase has been attributed to globalization strategies of US and Japanese corporations, the ...

Discussion Paper Series, Jul 1, 2012

This paper investigates the links between inflation, its uncertainty and economic growth in five ... more This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1-2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman-Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample.

The relationship between in ‡ation and in ‡ation uncertainty is investigated in six European Unio... more The relationship between in ‡ation and in ‡ation uncertainty is investigated in six European Union countries for the period 1960 to 1999. EGARCH models are used to generate a measure of in ‡ation uncertainty and then Granger methods are employed to test for causality between average in ‡ation and in ‡ation uncertainty. In all the European countries, except Germany, in ‡ation signi…cantly raises in ‡ation uncertainty as predicted by Friedman. However, in all countries except the UK, in ‡ation uncertainty does not cause negative output e¤ects, implying that a common European monetary policy applied by the ECB might not lead to asymmetric real e¤ects via the in ‡ation uncertainty channel. Less robust evidence is found regarding the direction of the impact of a change in in ‡ation uncertainty on in ‡ation. In Germany and the Netherlands, increased in ‡ation uncertainty lowers in ‡ation, while in Italy, Spain, and to a lesser extent France, increased in ‡ation uncertainty raises in ‡ation. These results are generally consistent with the existing rankings of Central Bank Independence.

Applied Financial Economics, 2002

We test for seasonal effects in stock returns, the January effect anomaly and the taxloss selling... more We test for seasonal effects in stock returns, the January effect anomaly and the taxloss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995. Even though considerable evidence for seasonal effects applies in several countries, we find very little evidence in favour of the January effect and the tax-loss selling hypothesis. These results provide some support to the informational efficiency aspect of the market efficiency hypothesis.

We argue that the interactions among the current account and budget balances and the real interes... more We argue that the interactions among the current account and budget balances and the real interest rate can provide more information about the effective degree of financial openness of an economy than simple saving-investment correlations. Cointegration tests reveal a variety of linkages between the variables across countries. A number of economies (Canada, Germany, Netherlands, and increasingly the UK) appear to be small and open, while Japan and the USA are effectively closed. The "twin deficits" and "current account targeting" hypotheses receive some support in the short run.

Abstract: - We examine,the relationship between,inflation and inflation uncertainty in the US usi... more Abstract: - We examine,the relationship between,inflation and inflation uncertainty in the US using a GARCH model,that allows for simultaneous,feedback,between,the conditional mean and variance of inflation. We also compare,the properties of the observed,time series with the theoretical properties of GARCH models,to illustrate how theoretical results on the correlation structure can facilitate model,identification. In agreement,with the predictions of economic theory, we find

We investigate the behavior of real exchange rates of six East-Asia countries in relation to thei... more We investigate the behavior of real exchange rates of six East-Asia countries in relation to their two major trading partners – the US and Japan. These countries, Singapore excepted, were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the ARDL cointegration procedure we test for the long-run PPP hypothesis. We

Journal of Economics and Finance, 2015

The day-of-the-week effect for the securitized real estate indices is investigated by employing d... more The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling-regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coefficients per day ranges between 15 % and 24 %. We show that higher average Friday returns evident in previous literature, remain significant in 21 % of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism .

SSRN Electronic Journal, 2000

... 24, No. 1, 1997) No. 6 September 1995 Stilianos Fountas, Breda Lally and Jyh-Lin Wu The Relat... more ... 24, No. 1, 1997) No. 6 September 1995 Stilianos Fountas, Breda Lally and Jyh-Lin Wu The Relationship Between Inflation and Wage Growth in the Irish Economy No. 7 November 1995 Eamon O'Shea and Brendan Kennelly Caring and Theories of Welfare Economics ...

This paper examines the sustainability of the current account imbalance for four ASEAN countries ... more This paper examines the sustainability of the current account imbalance for four ASEAN countries (Indonesia, Malaysia, the Philippines, and Thailand) over the 1961–1999 period. To this end, we utilize the intertemporal budget constraint (IBC) model to explain the behavior of the current account in these countries. The analysis is based on various unit root and cointegration procedures including those allowing for a structural break to deal with the major shortcomings of previous studies. The empirical results indicate clearly that for all ...

We use recently developed cointegration tests that determine endogenously the regime shift to tes... more We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression analysis and standard cointegration tests, our innovative approach provides strong evidence in favour of bilateral real interest rate convergence between the US and several countries in our sample, in particular for short-term real interest rates. Our results highlight the fact that for a number of countries in our sample (Canada and the UK) monetary policy can act as a stabilisation policy tool through its effect on domestic long-term real interest rates while for others (France and Germany) long-term real interest rate changes are significantly influenced by the US monetary policy stance.

ABSTRACT The objective of this paper is to determine whether ERM-participating countries have exp... more ABSTRACT The objective of this paper is to determine whether ERM-participating countries have experienced a change in the effectiveness of monetary and fiscal policies since the establishment of the ERM. Countries which have come to rely more heavily on fiscal policy instruments as the means of output, price and exchange rate stabilization since the establishment of the ERM (and currently exceed the fiscal criteria) are expected to find the Maastricht fiscal criteria restrictive and perhaps destabilizing. We find that Belgium, Italy and Ireland are the countries that are likely to face the most difficulties. Copyright Kluwer Academic Publishers 1997

... flows in the EU also depend on market size and the real exchange rate (as a ... years and, es... more ... flows in the EU also depend on market size and the real exchange rate (as a ... years and, especially, during the latter part of the 1980s, foreign direct investment (FDI) in ... This significant increase has been attributed to globalization strategies of US and Japanese corporations, the ...

Discussion Paper Series, Jul 1, 2012

This paper investigates the links between inflation, its uncertainty and economic growth in five ... more This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1-2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman-Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample.

The relationship between in ‡ation and in ‡ation uncertainty is investigated in six European Unio... more The relationship between in ‡ation and in ‡ation uncertainty is investigated in six European Union countries for the period 1960 to 1999. EGARCH models are used to generate a measure of in ‡ation uncertainty and then Granger methods are employed to test for causality between average in ‡ation and in ‡ation uncertainty. In all the European countries, except Germany, in ‡ation signi…cantly raises in ‡ation uncertainty as predicted by Friedman. However, in all countries except the UK, in ‡ation uncertainty does not cause negative output e¤ects, implying that a common European monetary policy applied by the ECB might not lead to asymmetric real e¤ects via the in ‡ation uncertainty channel. Less robust evidence is found regarding the direction of the impact of a change in in ‡ation uncertainty on in ‡ation. In Germany and the Netherlands, increased in ‡ation uncertainty lowers in ‡ation, while in Italy, Spain, and to a lesser extent France, increased in ‡ation uncertainty raises in ‡ation. These results are generally consistent with the existing rankings of Central Bank Independence.

Applied Financial Economics, 2002

We test for seasonal effects in stock returns, the January effect anomaly and the taxloss selling... more We test for seasonal effects in stock returns, the January effect anomaly and the taxloss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995. Even though considerable evidence for seasonal effects applies in several countries, we find very little evidence in favour of the January effect and the tax-loss selling hypothesis. These results provide some support to the informational efficiency aspect of the market efficiency hypothesis.

We argue that the interactions among the current account and budget balances and the real interes... more We argue that the interactions among the current account and budget balances and the real interest rate can provide more information about the effective degree of financial openness of an economy than simple saving-investment correlations. Cointegration tests reveal a variety of linkages between the variables across countries. A number of economies (Canada, Germany, Netherlands, and increasingly the UK) appear to be small and open, while Japan and the USA are effectively closed. The "twin deficits" and "current account targeting" hypotheses receive some support in the short run.

Abstract: - We examine,the relationship between,inflation and inflation uncertainty in the US usi... more Abstract: - We examine,the relationship between,inflation and inflation uncertainty in the US using a GARCH model,that allows for simultaneous,feedback,between,the conditional mean and variance of inflation. We also compare,the properties of the observed,time series with the theoretical properties of GARCH models,to illustrate how theoretical results on the correlation structure can facilitate model,identification. In agreement,with the predictions of economic theory, we find

We investigate the behavior of real exchange rates of six East-Asia countries in relation to thei... more We investigate the behavior of real exchange rates of six East-Asia countries in relation to their two major trading partners – the US and Japan. These countries, Singapore excepted, were affected by the financial crisis of the fall 1997. Using monthly frequency data from 1976 to 2002 and the ARDL cointegration procedure we test for the long-run PPP hypothesis. We

Journal of Economics and Finance, 2015

The day-of-the-week effect for the securitized real estate indices is investigated by employing d... more The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling-regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coefficients per day ranges between 15 % and 24 %. We show that higher average Friday returns evident in previous literature, remain significant in 21 % of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism .

SSRN Electronic Journal, 2000

... 24, No. 1, 1997) No. 6 September 1995 Stilianos Fountas, Breda Lally and Jyh-Lin Wu The Relat... more ... 24, No. 1, 1997) No. 6 September 1995 Stilianos Fountas, Breda Lally and Jyh-Lin Wu The Relationship Between Inflation and Wage Growth in the Irish Economy No. 7 November 1995 Eamon O'Shea and Brendan Kennelly Caring and Theories of Welfare Economics ...

This paper examines the sustainability of the current account imbalance for four ASEAN countries ... more This paper examines the sustainability of the current account imbalance for four ASEAN countries (Indonesia, Malaysia, the Philippines, and Thailand) over the 1961–1999 period. To this end, we utilize the intertemporal budget constraint (IBC) model to explain the behavior of the current account in these countries. The analysis is based on various unit root and cointegration procedures including those allowing for a structural break to deal with the major shortcomings of previous studies. The empirical results indicate clearly that for all ...

We use recently developed cointegration tests that determine endogenously the regime shift to tes... more We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression analysis and standard cointegration tests, our innovative approach provides strong evidence in favour of bilateral real interest rate convergence between the US and several countries in our sample, in particular for short-term real interest rates. Our results highlight the fact that for a number of countries in our sample (Canada and the UK) monetary policy can act as a stabilisation policy tool through its effect on domestic long-term real interest rates while for others (France and Germany) long-term real interest rate changes are significantly influenced by the US monetary policy stance.

ABSTRACT The objective of this paper is to determine whether ERM-participating countries have exp... more ABSTRACT The objective of this paper is to determine whether ERM-participating countries have experienced a change in the effectiveness of monetary and fiscal policies since the establishment of the ERM. Countries which have come to rely more heavily on fiscal policy instruments as the means of output, price and exchange rate stabilization since the establishment of the ERM (and currently exceed the fiscal criteria) are expected to find the Maastricht fiscal criteria restrictive and perhaps destabilizing. We find that Belgium, Italy and Ireland are the countries that are likely to face the most difficulties. Copyright Kluwer Academic Publishers 1997