- A key conclusion of the CAPM, as well as of most economic equilibrium models, is that orthogonal risks do not entail a market premium, whereas systematic risks price in an excess return (risk premium) as valued by the market.74 The CAPM generates the following equation about the one-period return of a risk: E(rj) = rf + βSj,m (E(rm) – rf) Economic Bulletin July 2017 81 ! ! ! ! ( ) ) ( , , m Var m S Cov j m s = ! ! ! !
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- A ternary-state early warning system for the European Union Working Paper No. 222 Savas Papadopoulos, Pantelis Stavroulias, Thomas Sager and Etti Baranoff The global financial crisis of 2007-2008 focused the attention of financial authorities on developing methods to forecast and avoid future financial crises of similar magnitude.
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Albani Maria, Zonzilos Nicholas and Bragoudakis Zacharias, “An operational framework for the short-term forecasting of inflationâ€Â, No. 29, October 2007.
- Anastasatos Tasos and Manou Constantina, “Speculative attacks on the drachma and the changeover to the euroâ€Â, No. 31, November 2008.
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Anyfantaki Sofia, “The evolution of Financial Technology (FinTech)â€Â, No. 44, December 2016.
- Applying time-varying coefficient methods on quarterly data during 2002q1-2016q2, we find that the accelerated growth in VAT revenue is explained by improved tax compliance, which has been positively affected by the increased use of card payments following the imposition of restrictions on cash withdrawals in July 2015. The analysis indicates that (i) a 1pp increase in the share of card payments in private consumption results in approximately 1% higher revenue through increased compliance; (ii) lowering the VAT rate can generate revenue gains; and (iii) card transactions may facilitate tax buoyancy. It is argued that stronger incentives for using card payments in tax evading industries can help lock-in the recent strong revenue performance when cash restrictions are lifted.
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- ARTICLES PUBLISHED IN PREVIOUS ISSUES OF THE ECONOMIC BULLETIN Economic Bulletin July 2017 Dellas Harris, “ECB monetary policy strategy and macroeconomic volatility in Greeceâ€Â, No. 13, July 1999.
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- Asimakopoulos Ioannis, Lalountas Dionysis and Siriopoulos Constantinos, “The determinants of firm survival in the Athens Exchangeâ€Â, No. 31, November 2008.
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- Athanasoglou Panayiotis and Brissimis Sophocles, “The effect of mergers and acquisitions on bank efficiency in Greeceâ€Â, No. 22, January 2004.
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Athanasoglou Panayiotis, Asimakopoulos Ioannis and Georgiou Evangelia, “The effect of merger and acquisition announcement on Greek bank stock returnsâ€Â, No. 24, January 2005.
Athanasoglou Panayiotis, Asimakopoulos Ioannis and Siriopoulos Konstantinos, “External financing, growth and capital structure of the firms listed on the Athens Exchangeâ€Â, No. 26, January 2006.
Balfoussia Hiona, “Stock market integration: the Athens Exchange in the European financial marketâ€Â, No. 30, May 2008.
- Bardakas Joanna, “Financial deregulation, liquidity constraints and private consumption in Greeceâ€Â, No. 16, December 2000.
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Belli Styliani and Backinezos Constantina, “The transition to the new methodology for the compilation of balance of payments statistics – BPM6â€Â, No. 43, July 2016.
Bragoudakis G. Zaharias, “An empirical investigation of the relationship between unit labour cost and price developments: The case of Greeceâ€Â, No. 40, December 2014.
Bragoudakis Zacharias and Panagiotou Stelios, “Determinants of the receipts from shipping services: the case of Greeceâ€Â, No. 34, September 2010.
Bragoudakis Zacharias and Sideris Dimitris, “Do retail gasoline prices adjust symmetrically to crude oil price changes? The case of the Greek oil marketâ€Â, No. 37, December 2012.
- Brissimis Sophocles and Gibson Heather, “Monetary policy, capital flows and Greek disinflationâ€Â, No. 9, March 1997.
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- Brissimis Sophocles and Gibson Heather, “What can the yield curve tell us about inflation?â€Â, No. 11, June 1998.
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- Brissimis Sophocles and Kastrisianakis Efstratios, “Is there a credit channel in the Greek economy ?â€Â, No. 10, December 1997.
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- Brissimis Sophocles and Papadopoulou Dafni-Marina, “The physical introduction of euro banknotes and coins in Greeceâ€Â, No. 18, December 2001.
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Brissimis Sophocles and Vlassopoulos Thomas, “Determinants of bank interest rates and comparisons between Greece and the euro areaâ€Â, No. 28, February 2007.
- Brissimis Sophocles, Kamberoglou Nicos and Simigiannis George, “Bank-specific characteristics and their relevance to monetary policy transmissionâ€Â, No. 18, December 2001.
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- Brissimis Sophocles, Sideris Dimitris and Voumvaki Fragiska, “Purchasing power parity as a longrun relationship: an empirical investigation of the Greek caseâ€Â, No. 12, December 1998.
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Chaireti Aikaterini, “The Greek primary sector from 1995 to 2014â€Â, No. 42, December 2015.
- Chaireti Aikaterini, “The housing situation in Greece during the crisis years 2008-2012â€Â, No. 39, July 2014.
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- Chatzivasiloglou Ioannis, “Introduction to Solvency II for (re)insurance undertakingsâ€Â, No. 44, December 2016.
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- Christodoulakis George, “The evolution of credit risk: phenomena, methods and managementâ€Â, No. 28, February 2007.
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- CONTENTS WORKING PAPERS (JANUARY – JUNE 2017) The paper investigates the relationship between non-performing loans (NPLs) and their fundamentals, mainly bank and macroeconomic variables.
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- Data refer to 2011 when the first elements of the economic adjustment programme were being put into place. Most importantly, the EU-SILC 2011 wave is the latest one to include an ad hoc module on the intergenerational transmission of disadvantages. Results show that a wife’s labour force participation decision is related to her husband’s mother’s and mother’s participation, and even more strongly related to her own level of educational achievement along with the number of children in the household. The labour force participation of the mother of the husband is more important than that of the woman’s own mother, indicating a strong transmission of the husband’s cultural model. Concerning educational attainment, parental educational background, and especially maternal, is identified as a key determinant of women’s high level of educational achievement.
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- Demenagas Nicholas and Gibson Heather, “Competition in Greek banking: an empirical study for the period 1993-1999â€Â, No. 19, July 2002.
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- Dimitropoulou Dimitra, Koutsomanoli-Filippaki Anastasia, Charalambakis Evangelos and Aggelis Georgios, “The financing of Greek enterprises before and during the crisisâ€Â, No. 39, July 2014.
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- Economic Bulletin July 2017 ! ! ,- # ./ -12 45 (678 %& ' ()9 *5 : 5;< ' -1=2>/ 0 45%(67?8* %& ' ()9 *5 : 5;< ! ! ! ! !
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- Economic Bulletin July 2017 89 The Solvency Capital Requirement is equal to the economic capital, as defined in Section D.2 above, over a time horizon of 1 year and with a 99.5% confidence interval. 90 In other words, in that year, the insurance undertaking made losses.
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Economic Bulletin July 2017 93 Is there a case for intergenerational transmission of female labour force participation and educational attainment? Evidence from Greece during the crisis Working Paper No. 223 Evangelia Papapetrou and Pinelopi Tsalaporta Fiscal policy effects on non-performing loan formation Working Paper No. 224 Vasilis Siakoulis Using logit regression techniques for binary response models, fit by maximum likelihood with robust standard errors, the analysis investigates the intergenerational transmission of female labour force participation and the intergenerational transmission of educational outcomes in Greece. To conduct this study, we pioneer in the utilisation of a unique dataset, the European Union Statistics on Income and Living Conditions (EU-SILC) for Greece.
- Economic Bulletin July 2017 Asimakopoulos Ioannis, Brissimis Sophocles and Delis Manthos, “The efficiency of the Greek banking system and its determinantsâ€Â, No. 30, May 2008.
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Economic Bulletin July 2017 Kanellopoulos Nikolaos C., Mitrakos Theodoros, Tsakloglou Panos and Cholezas Ioannis, “The impact of the current crisis on private returns to education in Greeceâ€Â, No. 38, November 2013.
- Economic Bulletin July 2017 Papazoglou Christos, Sideris Dimitrios and Tsagklas Orestis, “Europe as an Optimum Currency Area: the experience of the Baltic countriesâ€Â, No. 44, December 2016.
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- Economic Bulletin July 2017 The Japanese banking industry is an interesting one, given chronic problems related to notorious non-performing loans, originated back in the 1990s, but also due to an unprecedented monetary expansion. In this paper, we focus on the impact of quantitative easing on bank-level risk, while controlling for bank competition. We opt for a measure of bank-specific risk-taking, based on a new dataset of bankrupt and restructured loans. Given issues related to endogeneity among the main variables, we adopt dynamic panel threshold and panel vector autoregression analyses that address such criticism.
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- Filippides Anastasios, Kyriakopoulos Panayotis and Moschos Dimitrios, “Bank of Greece monetary policy instrumentsâ€Â, No. 6, November 1995.
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- Garganas Nicholas, “Adjusting to the single monetary policy of the ECBâ€Â, No. 25, August 2005.
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- Gatzonas Efthymios and Nonika Kalliopi, “Eligible assets and management of collateral in the context of central bank monetary policy operationsâ€Â, No. 19, July 2002.
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- Gibson Heather and Balfousia Hiona, “The impact of nominal and real uncertainty on macroeconomic aggregates in Greeceâ€Â, No. 34, September 2010.
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- Gibson Heather and Balfoussia Hiona, “Inflation and nominal uncertainty: the case of Greeceâ€Â, No. 33, May 2010.
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- Gibson Heather and Lazaretou Sophia, “Leading inflation indicators for Greece: an evaluation of their predictive powerâ€Â, No. 14, December 1999.
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- Hondroyiannis George, “Economic and demographic determinants of private savings in Greeceâ€Â, No. 19, July 2002.
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- Hondroyiannis George, “Investigating causality between prices and wages in Greeceâ€Â, No. 15, July 2000.
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- Hondroyiannis George, “The causality between government spending and government revenue in Greeceâ€Â, No. 13, July 1999.
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- If as ΧΤ(r,y) we define the cash flows that are conditional upon market risks, which in such an insurance policy mainly involve interest rate risk and which are expressed as r, as well as upon the level of other risks, which in such an insurance policy mainly involve underwriting risk and which are expressed as y, using an arbitrage pricing model, technical provisions are equal to: (1) Subscripts r, y for the average price Ε are used in order to show that the average price is cal45 Economic Bulletin July 2017 !" # $%&' ( )* +& , - . +/ * ! ! ! ! 8 ! ! 8 ! ! ! !
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- Information Systems and Organisation Department, “Developments in EU Payment Systems: TARGET and the Hellenic system Hermesâ€Â, No. 8, November 1996.
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- Interestingly enough, once the theoretical price has been estimated, it is impossible to check whether the actuary was right in his projections or not. Once this price becomes a fact of the past, every transfer that follows will take a different price, as economic conditions will have changed in the meantime. In the first case ―Solvency I― the actuary attempts to predict a future which becomes gradually known, whereas in the second case ―Solvency II― the actuary tries to foresee an unknown present, exclusively relying on generally available market inputs.88 Economic Bulletin July 2017 89 83 The following equation is laid down in Article 37 of Regulation (EU) 2015/35.
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- Kalfaoglou Faidon, “Alternative NPLs resolution regimes. A case studies approachâ€Â, No. 41, July 2015.
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- Kalfaoglou Faidon, “Bank capital adequacy frameworkâ€Â, No. 36, April 2012.
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Kalfaoglou Faidon, “Bank recapitalisation: a necessary but not sufficient condition for resuming lendingâ€Â, No. 43, July 2016.
- Kalfaoglou Faidon, “Stress testing of the Greek banking systemâ€Â, No. 27, July 2006.
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- Kalfaoglou Faidon, “The usefulness of stress testing exercises for assessing the soundness of the banking systemâ€Â, No. 35, June 2011.
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- Kanellopoulos Costas ÃŽÂ., “Employment and worker flows during the financial crisisâ€Â, No. 36, April 2012.
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- Kanellopoulos Costas ÃŽÂ., “The size and structure of uninsured employmentâ€Â, No. 37, December 2012.
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- Kanellopoulos Costas, “The effects of minimum wages on wages and employmentâ€Â, No. 41, July 2015. Georgiou Evangelia, “The use of cash and electronic payment instruments in the economyâ€Â, No.
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Kanellopoulos Costas, “The Greek private sector labour market during the crisisâ€Â, No. 39, July 2014. Kalfaoglou Faidon, “European Banking Union: “Europeanising†banks’ financial safety netâ€Â, No.
- Kaplanoglou Georgia and Newbery David, “The distributional impact of indirect taxation in Greeceâ€Â, No. 21, July 2003.
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Kapopoulos Panayotis and Lazaretou Sophia, “Foreign bank presence: the experience of SouthEast European countries during the transition processâ€Â, No. 29, October 2007.
- Karabalis Nikos, “Harmonisation of Consumer Price Indices in EU countriesâ€Â, No. 7, March 1996.
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- Karapappas Andreas and Milionis Alexandros, “Estimation and analysis of external debt in the private sectorâ€Â, No. 14, December 1999.
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Kasimati Evangelia and Sideris Dimitrios, “Towards a new growth model for tourism: structural reforms and the tourism product in Greece during the crisis (2008-2014)â€Â, No. 42, December 2015.
Lazaretou Sofia, “The smart economy: cultural and creative industries in Greece. Can they be a way out of the crisis?â€Â, No. 39, July 2014.
- Lazaretou Sophia and Brissimis Sophocles, “Fiscal rules and stabilisation policy in the euro areaâ€Â, No. 17, July 2001.
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Lazaretou Sophia, “How can the use of historical macroeconomic data series support economic analysis and policy making? The new macro history database 1833-1949 as part of the large database of Southeast European Countriesâ€Â, No. 41, July 2015.
- Lazaretou Sophia, “Monetary system and macroeconomic policy in Greece: 1833-2003â€Â, No. 22, January 2004.
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- Lazaretou Sophia, “The drachma on the metallic monetary standards: lessons from the pastâ€Â, No. 13, July 1999.
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Lazaretou Sophia, “The Greek brain drain: the new pattern of Greek emigration during the recent crisisâ€Â, No. 43, July 2016.
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Migiakis Petros M., “Reviewing the proposals for common bond issuances by the euro area sovereign states under a long-term perspectiveâ€Â, No. 37, December 2012.
Migiakis Petros M., “The international financial markets as a source of funding for Greek nonfinancial corporationsâ€Â, No. 40, December 2014. Kalyvitis Sarantis, “Estimating the quality of Greek exports: A non-price based approachâ€Â, No.
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- Mitrakos Theodoros and Zografakis Stavros, “The redistributional impact of inflation in Greeceâ€Â, No. 24, January 2005.
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Mitrakos Theodoros and Zonzilos Nicholas, “The impact of exogenous shocks on the dynamics and persistence of inflation: a macroeconomic model-based approach for Greeceâ€Â, No. 26, January 2006.
- Mitrakos Theodoros, “Child poverty: recent developments and determinantsâ€Â, No. 30, May 2008.
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- Mitrakos Theodoros, “Education and economic inequalitiesâ€Â, No. 23, July 2004.
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Mitrakos Theodoros, Simigiannis Georgios and Tzamourani Panagiota, “Indebtedness of Greek households: evidence from a surveyâ€Â, No. 25, August 2005.
Mitrakos Theodoros, Tsakloglou Panos and Cholezas Ioannis, “Determinants of the wage rates in Greece with an emphasis on the wages of tertiary education graduatesâ€Â, No. 34, September 2010.
- Mitrakos Theodoros, Tsakloglou Panos and Cholezas Ioannis, “Determinants of youth unemployment in Greece with an emphasis on tertiary education graduatesâ€Â, No. 33, May 2010.
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Nicolitsas Daphne, “Female labour force participation in Greece: developments and determining factorsâ€Â, No. 26, January 2006.
Nicolitsas Daphne, “On-the-job training in Greece: a brief overviewâ€Â, No. 35, June 2011. Papaspyrou Theodoros, “EMU sustainability and the prospects of peripheral economiesâ€Â, No.
Nicolitsas Daphne, “Per capita income, productivity and labour market participation: recent developments in Greeceâ€Â, No. 25, August 2005.
Nicolitsas Daphne, “Youth participation in the Greek labour market: developments and obstacles â€Â, No. 29, October 2007.
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Pantelidis Evangelos and Kouvatseas Georgios, “Frontier survey on travel expenditure: methodology, presentation and output assessment (2003-2005)â€Â, No. 27, July 2006.
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Papapetrou Evangelia and Bakas Dimitrios, “The Greek labour market during the crisis: Unemployment, employment and labour force participationâ€Â, No. 38, November 2013.
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Papaspyrou Theodoros, “EMU strategies for new Member States: the role of Exchange Rate Mechanism IIâ€Â, No. 23, July 2004.
Papazoglou Christos, “Is Greece’s export performance really low?â€Â, No. 32, May 2009.
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- Results demonstrate that quantitative easing reduces bankrupt and restructured loan ratios, although we do not observe a similar impact on bank stability. Given the adoption of negative rates in January 2016 by the Bank of Japan, our study comes in timely and provides insightful implications for future research. models in line with the cross sample panel data validating suggestions by Granger and Huang (1997). Our findings imply that, on a global level, when accounting for variables linked to macroeconomic performance such as GDP growth and the unemployment rate, fiscal pressure imposed on the economy, as measured by changes in the cyclically adjusted primary surplus, constitute important determinants of non-performing loan formation. Our analysis could be of great interest to policymakers since the assessment of credit risk in the banking sector is a crucial element of macro-prudential policy.
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Zonzilos Nicholas, Bragoudakis Zacharias and Pavlou Georgia, “An analysis of the revisions of first (flash) quarterly national account data releases for Greeceâ€Â, No. 32, May 2009.