Διδακτορικές διατριβές
Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/63
Περιήγηση
Πλοήγηση Διδακτορικές διατριβές ανά Τίτλο
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
Α Β Γ Δ Ε Ζ Η Θ Ι Κ Λ Μ Ν Ξ Ο Π Ρ Σ Τ Υ Φ Χ Ψ Ω
Τώρα δείχνει 1 - 20 από 69
- Αποτελέσματα ανά σελίδα
- Επιλογές ταξινόμησης
Τεκμήριο Aggregate and distributional implications of fiscal consolidation in general equilibrium(2019) Roumpanis, Eleftherios Theodoros; Ρουμπάνης, Ελευθέριος Θεόδωρος; Athens University of Economics and Business, Department of Economics; Σακελλάρης, Πλούταρχος; Βασιλάτος, Ευάγγελος; Τζαβαλής, Ηλίας; Οικονομίδης, Γεώργιος; Κωνσταντίνου, Παναγιώτης; Διοικητόπουλος, Ευάγγελος; Φιλιππόπουλος, ΑπόστολοςThis thesis is about the aggregate and distributional implications of fiscal consolidation in New Keynesian D(S)GE models. The thesis studies how these implications depend on the specific fiscal policy instrument used for debt consolidation. Chapter 2 presents a closed-economy New Keynesian D(S)GE model. Chapter 3 extends the model of Chapter 2 to set up a New Keynesian model of a small open economy within a monetary union facing sovereign interest rate premia. Finally, Chapter 4 builds a New Keynesian D(S)GE model consisting of two heterogeneous countries participating in a monetary union.Τεκμήριο Bank profitability in the euro area: the effects of common supervision(2022-04-13) Avgeri, Ioanna; Αυγέρη, Ιωάννα; Athens University of Economics and Business, Department of Economics; Dendramis, Yiannis; Tzavalis, Elias; Alogoskoufis, Georgios; Pagratis, Spyros; Vettas, Nikolaos; Sakellaris, Plutarchos; Louri, HelenThe current thesis explores the way in which bank profitability was influenced by the introduction of the Single Supervisory Mechanism (SSM), the first pillar of the European Banking Union. On the one hand, increased transparency and credibility were expected to improve profitability, while, on the other, adjusting to a burdensome supervisory regime was thought to hinder it. Focusing on a sample of directly supervised banks by the SSM and a sample of banks still supervised by the National Competent Authorities, over the period 2011-2017, this thesis examines the net effect of the SSM introduction on the evolution of bank profitability indices, and in particular the Return on Assets (ROA) and the Return on Equity (ROE).Chapter 1 briefly describes the emergence of Banking Union within the EU financial sector and its interconnectedness with bank profitability.Chapter 2 examines whether the establishment of the SSM influenced the profitability of the directly supervised banks in a different way, contrasted to the influence on the profitability of the rest of the European banks. The difference-in-differences methodology is employed and the main results indicate a positive effect of the SSM on bank profitability. In Chapter 3 this positive effect is further analyzed, using unconditional quantile regression analysis, in order to test for asymmetrical effects throughout the bank profitability distribution. Chapter 4 examines whether and to what extent the implementation of the SSM led to profitability convergence of the euro area banks, using the Phillips and Sul (2007) panel convergence methodology. In addition, the tests for β- and σ- convergence are conducted as an alternative approach.Τεκμήριο Bundling, Tying and Competition Effects(Οικονομικό Πανεπιστήμιο Αθηνών) Δοντά, Ελπινίκη; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Οικονομικής Επιστήμης; Γκενάκος, ΧρήστοςIncludes abstractΤεκμήριο Credit Rating Agencies: Aspects οf industrial οrganisation, use In financial markets and implications for asset prices(Athens University of Economics and Business, 05-2013) Doundoulaki, Maria; Athens University of Economics and Business, Department of Economics; Pagratis, SpyrosDoctoral thesis - Athens University of Economics and Business, Postgraduate in Applied Economics and FinanceΤεκμήριο Credit rating agencies: Do they affect financial markets?(Athens University of Economics and Business) Smponias, Fotis; Παγκράτης, ΣπυρίδωνDoctoral thesis - Athens University of Economics and Business. Postgraduate, Department of EconomicsΤεκμήριο The determinant factors of momentum strategies in international capital markets(12/01/2021) Slabchenko, Anastasia; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias; Philippopoulos, Apostolis; Pagratis, Spyros; Dendramis, Yiannis; Chalamandaris, George; Galariotis, Emilios; Spyrou, SpyrosThis thesis consists of three studies that investigate momentum trading strategies in European markets. The first study examines the profitability of the momentum strategies for a sample of Eurozone equity markets as well as the UK and Sweden. The main research questions here are (a) whether these strategies are profitable in the sample markets, (b) which specific strategies are most profitable, and (c) whether the results are consistent in all sample markets. More specifically, a large number of strategies with different combinations of ranking and holding periods are empirically evaluated. The results indicate that both the profitability and the optimal combination of ranking and holding periods of momentum strategies vary across markets.The second study investigates the determinant factors of momentum profits in a sample of Core and Peripheral Eurozone equity markets as well as the UK and Sweden. The main research questions here are (a) which factors determine the profitability of these strategies, and (b) whether the results are consistent in all sample markets. I find that the factors that determine momentum portfolio profits exhibit sensitivity in country, portfolio, and time period. However, there are two determinant factors that exhibit country, portfolio, and time period stability: the VIX index and a local market portfolio. The third study examines the momentum crashes that have been documented by Daniel and Moskowitz (2016) in the US market. The main research question here is whether these findings are also present in European markets. My results confirm the findings of Daniel and Moskowitz (2016) only for the core and north European countries, for Sweden and for Italy but not for the peripheral and southern European countries and the UK. Challenging the "optionality" in the peripheral Eurozone markets. In addition, the lower bound of potential losses from momentum crashes is traced in the examined countries.Τεκμήριο Dynamic optimization and revenue management: capacity constraints and market competition(25-09-2023) Βαλάσκας, Κωνσταντίνος; Valaskas, Konstantinos; Athens University of Economics and Business, Department of Economics; Antoniou, Fabio; Gkenakos, Xristos; Zacharias, Eleftherios; Kyriakopoulou, Efthymia; Milliou, Chrysovalantou; Pechlivanos, Lambros; Vettas, NikolaosΗ δυναμική τιμολόγηση προϊόντων ή υπηρεσιών από τις επιχειρήσεις αφορά στην προσαρμογή τους στις συνθήκες της αγοράς σε μια αναζήτηση των τιμών που θα μεγιστοποιήσουν τα διαχρονικά τους κέρδη. Στον πραγματικό κόσμο αυτή είναι μια πρακτική που παρατηρείται αρκετά συχνά. Ήταν πάντα χρήσιμη, όπως σε παζάρια όπου τα επίπεδα των αποθεμάτων και η ώρα της ημέρας έχουν σημαντικό αντίκτυπο στις τιμές. Σήμερα, οι ψηφιακές και άλλες τεχνολογικές εξελίξεις έχουν δώσει τα μέσα σε πολλές εταιρείες σε διαφορετικές αγορές να εφαρμόσουν με επιτυχία τέτοιες μεθόδους με πιο εξελιγμένους τρόπους. Πολλοί οικονομικοί τομείς χρησιμοποιούν σήμερα δυναμική τιμολόγηση, όπως η αεροπορική βιομηχανία, οι δημόσιες μεταφορές, τα τουριστικά καταλύματα, τα εποχιακά αγαθά, αλλά και σε σχέση με την ταχεία ανάπτυξη του ηλεκτρονικού εμπορίου, των διαδικτυακών πωλήσεων λιανικής, των ψυχαγωγικών και αθλητικών εκδηλώσεων, των υπηρεσιών κοινής ωφέλειας, καθώς και τις επώνυμες εταιρίες, την αγορά ηλεκτρικής ενέργειας ή άλλες αγορές ενέργειας. Αυτή η διατριβή μελετά τις αποφάσεις τιμολόγησης των επιχειρήσεων όταν έχουν αποθέματα ή με άλλα λόγια μια σταθερή χωρητικότητα που αποτελείται από έναν δεδομένο αριθμό μονάδων, για να πουλήσουν με την πάροδο του χρόνου.Δείχνουμε ότι η ασυμμετρία στα αποθέματα μπορεί να επηρεάσει σημαντικά τις επιλογές τοποθεσίας, μέχρι και να αναγκάσει την επιχείρηση χαμηλού αποθέματος να τοποθετηθεί στην άκρη της αγοράς με την εταιρεία υψηλού αποθέματος στη μέση της αγοράς. Το μοντέλο μας λαμβάνει υπόψη τις ασυμμετρίες τοποθεσιών και δυναμικότητας, και παράγει μια πλούσια συμπεριφορά τιμολόγησης ισορροπίας για τις επιχειρήσεις. Δεδομένου του χρόνου που απομένει, το επίπεδο ανταγωνισμού αυξάνεται στην τιμή επιφύλαξης και στην ασυμμετρία τοποθεσιών, αλλά μειώνεται στον συντελεστή προεξόφλησης, στην απόσταση των εταιρειών και στην ασυμμετρία των αποθεμάτων.Τεκμήριο Economic policy in DSGE models(31-03-2023) Κανιγαρίδης, Νικόλαος; Kanigaridis, Nikolaos; Athens University of Economics and Business, Department of Economics; Philippopoulos, Apostolos; Varthalitis, Petros; Alogoskoufis, Georgios; Economides, George; Kalyvitis, Sarantis; Economidou, Claire; Vassilatos, EvangelosH διδακτορική αυτη εργασια αφορά τον ρόλο της χρηματοοικονομικων τριβων και των αλληλεπιδράσεων δημοσιονομικής και νομισματικής πολιτικής σε ένα μοντέλο DSGE. Το Κεφάλαιο 2 παρουσιάζει το μοντέλο DSGE, που χαρακτηρίζεται απο χρηματοοικονομικες τριβες τύπου Gertler-Karadi και μη στρεβλωτικής δημοσιονομικής πολιτικής. Το Κεφάλαιο 3 εισάγει το μοντέλο με στρεβλωτική δημοσιονομική πολιτική και παρουσιάζει ορισμένα αποτελέσματα που σχετίζονται με την περιοχή προσδιορισμού του μοντέλου. Το Κεφάλαιο 4 δείχνει πώς η χρηματοοικονομική τριβή επηρεάζει τον μηχανισμό μετάδοσης διαφόρων σοκ στα δύο καθεστώτα δημοσιονομικής-νομισματικής πολιτικής. Στο Κεφάλαιο 5 αναλύεται ο ρόλος των αλληλεπιδράσεων δημοσιονομικής και νομισματικής πολιτικής στη μετάδοση διαφόρων σοκ. Αυτή η ανάλυση περιλαμβάνει τόσο το ρόλο των συντελεστών δημοσιονομικων και νομισματικων κανονων σόσο και συγκρίσεις μεταξύ των δύο διακριτών καθεστώτων νομισματικής-δημοσιονομικής πολιτικής.Τεκμήριο Efficient market hypothesis: the case of the London Stock Exchange(05-2013) Vidali, Maria; Βιδάλη, Μαρία; Athens University of Economics and Business, Department of Economics; Arvanitis, Stylianos; Vrontos, Ioannis; Tzavalis, EliasPlenty of papers have been published for the Efficient Market Hypothesis (EMH) whereas is the foundation of the financial theory. In the core of the Efficient Market Hypothesis (EMH) theory, is the idea that the future prices cannot be predicted based on the current information set i.e. past and current prices, and economic variables. Several statistical models have been developed through the years having this property for the variables. One of the most famous and most used models in the bibliography is the Random Walk Model.The purpose of this thesis is not to be one of a numerous published researches for the market efficiency but, to clarify for the reader the theory and the implications of this hypothesis by collecting the main principles from different sources, so as to comprehend deeply its sense. Besides the theoretical intention, an empirical study is presented in order to set a more solid background to the reader and prove that under appropriate conditions the Efficient Market Hypothesis is not a theoretical assumption but, in practice it may apply.For the implementation of the empirical work, the data from the London Stock Exchange, especially the FTSE 100, are used. The choice of this stock market becomes because it is the most international stock exchange, the largest in Europe and the fourth largest in whole the world. Therefore, it would be interesting if it was proved that this stock market is efficient since it affects the global economy. Applying some tests which are described analytically for easy understanding, it is proved that the London Stock Exchange is a market weak efficiency as it was expected. However, it seems that some short run anomalies such as January Effect occur.Τεκμήριο Essays in applied microeconometrics : I. Discrete deforestation with spatial interactions II. Employment transitions of older persons in Britain III. Sibling post-schooling educational attainmentEmmanouilidi, Elpianna; Athens University of Economics and Business, Department of Economics; Kyriazidou, EkateriniChapter one is an environmental application investigating land use changes of forests and semi-natural areas in the Greek region of Western Attica between 1990 and 2000. Its objective is to estimate the spatial equilibrium distribution of individual deforestation actions and determine the degree of coordination in individual behavior. For this purpose, a virtual economic network of 156 agents has been created by laying an ad hoc square grid over the region. Next, dominant forest land use changes have been determined in each land parcel using CORINE land cover maps for the years 1990 and 2000. The economic model is a discrete choice model with endogenous spatial interactions. Even though spatial interactions produce multiple equilibria, the present research proposes a two-stage fixed point estimator yielding a unique solution. Empirical findings suggest that equilibrium deforestation actions are strategic substitutes for the environment and complements for agriculture, and are characterized by a relative lack of coordination in individual behavior. Chapter two uses a dynamic panel in order to study the employment transitions of older persons in Britain in a discrete-time discrete-choice setting in order to identify both observable and unobservable factors which might influence both their labour market participation and status. For this purpose, a sample of 1097 individuals, drawn from the first five waves of the English Longitudinal Study of Ageing (ELSA), born 1946-1956 and aged 45-65 during the 10-year sampling period 2002-2011, is used. Three mutually exclusive employment states are considered with reference to non-participation, namely: full-time employment, part-time employment and self- employment. There is evidence that the 45-65 ELSA respondents under study exhibit significant mobility as they age. Their employment dynamics are characterized by significant positive first order state dependence in individual preferences for work. The long-run determinants of this unobserved heterogeneity indicate, among others, that self-perceived poor general health causes a negative selection out of the more flexible employment states while other household income has a negative impact for the more flexible employment states as opposed to full-time employment. The long- run effects are lower and asymmetric compared to the initial conditions. Next, the study investigates the determinants of the labour market participation of those sample respondents who appear in the sample along with their partner or spouse as well as the presence of any duration dependence in their choices. There is evidence that good as opposed to poor self-perceived health has a positive influence on participation irrespective of the partner's activity status while the effects are asymmetric and twice as high in case of poor health when the partner is inactive. Moreover, couple duration dependence is negative and increases with the length of the spell. Chapter three uses data regarding the children of the 1979 batch cohort of the National Longitudinal Survey of Youth (NLSY79) mothers, namely the Children and Young Adults (CYA) section, in order to investigate, on the one hand, the determinants of sibling post-schooling educational attainment, as measured by highest grade completion and college enrollment, and, on the other hand, the degree of resemblance therein. Empirical interest in sibling educational attainment and resemblance became systematic in the 1970s in the United States, when both sociologists and economists focused on the family as a collective economic decision unit, allocating resources in a competitive way which reduces inequality. In the present context, post-schooling educational achievement is identified by common family background factors as well as sibling own past and present characteristics. Attainment is examined using panel data with family-specific (mother) effects. Siblings are ordered in reverse birth order with a maximum birth lag of 10 years, hence the sibling index stands for the time dimension in a short panel. Next, first order reciprocal resemblance is examined using simultaneous equations methods for sibling data grouped on the mother, namely: 3SLS and endogenous Poisson estimation. Empirical evidence regarding post-schooling educational attainment indicates that sex and race have a positive effect apart from highest grade completion in case of Hispanics. In line with the empirical evidence, family income below the poverty level has a clear negative effect. Moreover, the childhood predictor of future academic achievement has a positive effect, as opposed to the behavioural problems scores. Similar to having experienced a young marriage, current behavioural risk, as measured by the heavy use of marijuana, has a clear negative effect. As far as first order reciprocal resemblance is concerned, estimates are positive but asymmetric and higher in the direction lag-one older to younger sibling, increasing with sibship size in case of linear system as opposed to endogenous Poisson estimation. In conclusion, there seems to be evidence in favour of resource dilution in poor families and confluence in non-poor families.Τεκμήριο Essays in competition economics and the enforcement of competition policyBageri, Vasiliki; Katsoulakos, Ioannis; Athens University of Economics and Business, Department of EconomicsBriefly the structure of this thesis is as follows. Chapter 1 serves as an introductory note and presents an extensive review of the economic theory of competition law enforcement and antitrust penalties. Initially, we consider the relevant literature and summarize the basic approaches that led to the introduction of economic analysis in criminal law in general, and then we concentrate on competition law in particular. We continue by presenting the antitrust legislation adopted by the United States and the European Union and examine their enforcement regime. We then describe in detail the methodology used for calculating fines by the major competition authorities in the US and EU. Finally, we present a number of alternative approaches that challenge the present methodology of calculating fines and suggest new ways to achieve a more efficient enforcement of competition law while minimizing social welfare loss.Chapter 2 addresses the highly debated issue among antitrust practitioners on how competition authorities (CAs) should set fines and how they actually do so in practice. In most jurisdictions, antitrust fines are based on affected commerce rather than on collusive profits, and in some others, caps on fines are introduced based on total firm sales rather than on affected commerce. We uncover a number of distortions that these policies generate, propose simple models to characterize their comparative static properties, and quantify them with simulations based on market data. We conclude by discussing the obvious need to depart from these distortive rules of thumb that appear to have the potential to substantially reduce social welfare.Chapter 3 proposes a simple new quantitative methodology that can be used to determine optimal fines, taking into account both restitutive and dissuasive elements. The methodology is used to derive simple formulas on the basis of which an Authority can derive optimal fines, or the likely range of such fines, using information on the price overcharge caused by an action, the intensity of competition in the but-for situation, the size of efficiencies and a large number of other considerations that authorities take into account when setting fines. These considerations include the size of the detection rate, decision errors, desistance and various other aggravating and mitigating factors.Chapter 4 studies the role of the size of extant market power as a predictor of the size of the reduction in welfare generated by anticompetitive actions. In particular, we concentrate on monopolization or abuse of dominance cases in which an exclusionary action by the dominant firm eliminates one of the rival firms. We emphasize the point that the source of market power is important in understanding how changes in the size of extant market power affect the size of the reduction in welfare, distinguishing between Consumer Surplus and Total Welfare, generated by anticompetitive actions. We also discuss the relationship between the degree of extant market power and market share and the extent to which market share can be a reliable indicator of the change in welfare induced by anti-competitive conduct.Τεκμήριο Essays in competition policy enforcement and its impact on economic performance(01-07-2020) Μακρή, Γαλάτεια; Makri, Galateia; Athens University of Economics and Business, Department of Economics; Κυριαζίδου, Αικατερίνη; Γκενάκος, Χρήστος; Βέττας, Νικόλαος; Λουρή, Ελένη; Μήλλιου, Χρυσοβαλάντου; Ζαχαριάς, Ελευθέριος; Κατσουλάκος, ΙωάννηςΟ αποτελεσματικός ανταγωνισμός είναι ζωτικής σημασίας για την ανάπτυξη μιας οικονομίας. Ένα βασικό στοιχείο για τον αποτελεσματικό ανταγωνισμό είναι η αποτελεσματική εφαρμογή της πολιτικής ανταγωνισμού από τις Αρχές Ανταγωνισμού (ΑΑ). Σε αυτό το πλαίσιο, ο αντίκτυπος του ανταγωνισμού και της πολιτικής ανταγωνισμού σε διάφορες πτυχές της οικονομίας έχει προσελκύσει το ενδιαφέρον της ακαδημαϊκής κοινότητας. Ωστόσο, η προσοχή δεν έχει στραφεί μόνο στον αντίκτυπο της πολιτικής ανταγωνισμού αλλά και στον βέλτιστο σχεδιασμό και την αξιολόγηση των διαδικασιών εφαρμογής και λήψης αποφάσεων από τις ΑΑ. Η παρούσα διατριβή συμβάλλει σε αυτά τα ζητήματα, πρώτον, εξετάζοντας την επίδραση της πολιτικής ανταγωνισμού στην αύξηση της παραγωγικότητας της εργασίας και, δεύτερον, μελετώντας την εξέλιξη της εφαρμογής της αντιμονοπωλιακής νομοθεσίας στην Ευρώπη εστιάζοντας κυρίως στον ρόλο των οικονομικών. Αναλυτικότερα, στο πρώτο κεφάλαιο προσεγγίζουμε την ποιότητα της πολιτικής ανταγωνισμού μέσω των Δεικτών Πολιτικής Ανταγωνισμού (ΔΠΑ) και μελετάμε την επίδραση των ΔΠΑ στην αύξηση της παραγωγικότητας της εργασίας τόσο για την Ελλάδα μεμονωμένα όσο και για ένα σύνολο δέκα χωρών της ΕΕ. Στο δεύτερο κεφάλαιο, εξετάζουμε όλες τις κύριες μεταρρυθμίσεις και εξελίξεις που επηρέασαν και τελικά άλλαξαν τον τρόπο με τον οποίο η αντιμονοπωλιακή νομοθεσία έχει εφαρμοστεί στην Ευρώπη τα τελευταία 25 χρόνια. Παρέχουμε επίσης μια λεπτομερή ποσοτική περιγραφή και αξιολόγηση της εξέλιξης της εφαρμογής στην Ευρώπη με τη χρήση μιας μοναδικής βάσης δεδομένων: όλες τις αποφάσεις αντιμονοπωλιακής νομοθεσίας που ελήφθησαν από τη DGCOMP την περίοδο 1992-2016. Τέλος, το τρίτο κεφάλαιο συμβάλλει στην εμπειρική διερεύνηση του ρόλου των οικονομικών στην εφαρμογή της αντιμονοπωλιακής νομοθεσίας από τη ΓΔ Ανταγωνισμού της ΕΕ. Εντοπίζουμε τους κανόνες λήψης απόφασης που υιοθετήθηκαν για την αξιολόγηση διαφορετικών συμπεριφορών και την εξέλιξή τους και τους συγκρίνουμε με το θεωρητικά βέλτιστο επίπεδο, καταγράφοντας έτσι την ποιότητα της εφαρμογής. Επιπλέον, εξετάζουμε τη σχέση μεταξύ των κανόνων λήψης απόφασης και της έκβασης της δικαστικής επανεξέτασης των προσβαλλόμενων αποφάσεων.Τεκμήριο Essays in industrial and economic impact analysis(06/25/2021) Moustakas, Alexandros; Μουστάκας, Αλέξανδρος; Athens University of Economics and Business, Department of Economics; Vettas, NikolaosIn this study we discuss the effects of discounts in retailing on inflation measurement, we propose a new method to update Input-Output tables and we introduce a new method to construct Multi-Regional Input-Output tables.In particular, we discuss the mismatch between the price trends implied by the Greek Consumer Price Index in the period 2008-2013, at the outbreak of the economic crisis in Greece, and the actual changes in the cost of living as perceived by consumers, focusing on the impact of discounts and promotional offers in retailing. We present a quantitative example illustrating that the price trends for a group of products in this period accounting for discounts differ significantly from the trends of nominal prices, as tracked by the Consumer Price Index.Furthermore, we present a new method to update Input-Output tables, based on quadratic programming, which allows to exogenously set both output and value added per sector, thus resolving a common problem with existing methods. Carrying out several simulations, we demonstrate that the proposed method has a much lower failure rate and often produces more accurate projections than established alternatives.Moreover, we present a new method to construct Multi-Regional Input-Output tables. We argue that the proposed method, which is based on linear programming, produces more realistic estimations of the regional and sectoral structure of an economy than existing methods and yields higher inter-regional trade flows, thus addressing a common weakness with established methods. In addition, the proposed method maintains the integrity of the technological structure of the economy, as dictated by the underlying national Input-Output table.Τεκμήριο Essays in industrial organization : vertical relations and product differentiation(Athens University of Economics and Business, 07-2010) Kourandi, Frago; Athens University of Economics and Business, Department of Economics; Vettas, NikolaosDoctoral thesis - Athens University of Economics and Business Department of EconomicsΤεκμήριο Essays in modelling and forecasting stock market volatility(2022) Papantonis, Ioannis; Παπαντώνης, Ιωάννης; Athens University of Economics and Business, Department of Economics; Rompolis, Leonidas; Arvanitis, Stylianos; Chalamandaris, George; Dendramis, Yiannis; Panagiotidis, Theodoros; Vrontos, Ioannis; Tzavalis, EliasThis thesis consists of essays on modelling and forecasting asset price volatility. The common motivation behind these essays is twofold: firstly, to exploit the rich informational content of volatility by integrating observable estimators of variance dynamics into parametric GARCH-type models and, secondly, to investigate the ability of these augmented GARCH representations to explain and forecast the observable variance dynamics at multiple horizons ahead. We start by considering a GARCH specification, which we augment to incorporate information from high-frequency data related to measurable characteristics of Realized Variance (RV). The choice of these exogenous features is well-motivated by the recent and ongoing stream of empirical studies on Heterogeneous Auto-Regressive (HAR) models. We find our ``augmented'' Realized-GARCH and Realized-EGARCH specifications to perform significantly better than other already-existing models in fitting the data (in-sample) and forecasting Realized Variance (out-of-sample). The enhanced performance of our models is primarily due to the inclusion of: (i) realized upside/downside semi-variances (indicating prevalent asymmetric effects in intra-day variance), (ii) heterogeneous terms of RV (exogenously approximating long-memory patterns in volatility), and (iii) realized jump or variance-of-variance indicators (capturing discontinuities in the RV process or attenuation biases in RV projections, respectively). Next, we introduce a risk-neutral variance proxy within a flexible parametric framework that is described by affine-GARCH dynamics and a variance-dependent pricing kernel.We find evidence of a sizeable priced volatility risk premium (of approximately -3%), that can be recovered in a robust and parsimonious way from the VIX dynamics through a joint estimation approach. We analyze the transmission mechanism of innovations from physical to risk-neutral dynamics, as well as the impact of volatility risk on the news impact curves and impulse response functions of risk-neutral variance. Our approach reveals that accounting for volatility risk in this GARCH-based framework is of utmost importance for establishing a consistent link between the physical and risk-neutral probability measures. Finally, we provide an extension to the EGARCH and Realized-EGARCH that allows capturing long-run and short-run dynamics of log-variance. We find that decomposing variance into long/short-run dynamics, significantly improves the ability of the model to jointly explain the observable dynamics of returns and RV. Our preliminary results indicate the presence of a long-run component that is highly persistent and not very responsive to past shocks, as well as a short-run component that is less persistent and transmits most of the impact of past shocks on variance. Interestingly, we find shocks to RV to have an equally strong impact on both long- and short-run components (more pronounced for the short-run component), which implies that shocks to returns impact mainly the short-run volatility, whereas shocks to volatility itself may have a more long-run effect. As we discuss, the model extensions that we present in this thesis have direct and important economic implications for asset-pricing, volatility forecasting and risk-management.Τεκμήριο Essays in optimal competition policy enforcement standardsΜπενετάτου, Καλλιόπη; Benetatou, Kalliopi; Athens University of Economics and Business, Department of Economics; Βέττας, Νικόλαος; Γκενάκος, Χρήστος; Λουρή, Ελένη; Κυριαζίδου, Αικατερίνη; Ζαχαριάς, Ελευθέριος; Μήλιου, Χρυσοβαλάντου; Κατσουλάκος, ΙωάννηςThe last 30 years are widely considered as witnessing in many jurisdictions throughout the world a substantial increase in the extent and sophistication of economic analysis and empirical evidence in the assessment of cases under the implementation of competition law. There have been many developments in the theoretical analysis of the choice of legal standards by Competition Authorities (CAs). These theoretical developments have not however been accompanied by an equally significant effort to analyse empirically the choice of legal standards by CAs. International organisations like OECD and others have been recording the rise of economists in CAs throughout the world trying to measure the role of economics from the input side. One of our main objectives in this thesis is to extend the empirical work undertaken by Avdasheva S., Golovaneva S. and Katsoulacos Y. (2019) for Russia in order to map the extent of economic analysis to the legal standard adopted by CAs, for the cases of two European CAs, those of Greece and France. Our main objectives have been to use this dataset to examine to what extent economic analysis and evidence is used in the decisions of the CA and how it evolves over time. For this purposes we collected and analysed a dataset of antitrust infringement decisions reached by the Greek & French CA between, which were appealed to Courts for annulment. Our results are consistent with recent arguments, according to which, the higher disputability of decisions as a result of increasing the extent of economic analysis under effects-based, increases the annulment rates of decisions under appeal. The second objective of this PhD thesis is to examine in depth the validity of one very important legal rule that characterises EU competition law enforcement, the Per Se Illegality rule associated with the restriction of Parallel Imports by dominant firms. Finally the last Chapter of the thesis addresses the highly debated issue of whether the Per Se prohibition of restrictions to parallel trade in EU is the right legal standard to use or whether an economic – Effects Based approach should be adopted. In this chapter we examine the optimal price strategy of the dominant firm when faced with parallel imports and its incentives to take measures that restrict the volume of parallel imports, given the difference in domestic and foreign prices, the fraction of domestic sales that parallel importers can satisfy and the ability of the firm to limit the activity of importers.Τεκμήριο Essays in panel data and network econometrics(13-09-2023) Χούντας, Κωνσταντίνος; Chountas, Konstantinos; Athens University of Economics and Business, Department of Economics; Arvanitis, Stylianos; Palivos, Theodoros; Dendramis, Yiannis; Christopoulos, Dimitrios; Ioannidis, Ioannis; Gkenakos, Xristos; Kyriazidou, EkateriniΜια αυξανόμενη βιβλιογραφία προσπαθεί να διακρίνει μεταξύ των παραγόντων που οδηγούν στην παρατηρούμενη συσχέτιση ανάμεσα στα αποτελέσματα των ατόμων, εστιάζοντας στον ρόλο των κοινωνικών δικτύων. Η παρούσα διατριβή επικεντρώνεται στις αλληλεπιδράσεις των ζευγαριών σχετικά με την απασχόληση και στις αλληλεπιδράσεις των αδελφών στην εκπαίδευση. Οι κύριες συνεισφορές είναι δύο: Πρώτον, προτείνεται ένα οικονομετρικό πλαίσιο μοντελοποίησης για την αναγνώριση των μεσολαβητικών διαύλων μέσω των οποίων αυτές οι αλληλεπιδράσεις λαμβάνουν χώρα· και δεύτερον, αναπτύσσονται κατάλληλα εργαλεία στατιστικής επαγωγής προκειμένου να εξεταστούν εμπειρικά οι ερωτήσεις που τίθενται. Το πρώτο κεφάλαιο στοχεύει στην εξήγηση της απόκλισης στα αποτελέσματα (όπως αποτελέσματα στην αγορά εργασίας ή στην εκπαίδευση) μεταξύ των αδελφών, συνδυάζοντας δύο πτυχές της βιβλιογραφίας: αυτή που χρησιμοποιεί τη σειρά γέννησης για να εξηγήσει αυτήν την απόκλιση και αυτή που μελετά τις αλληλεπιδράσεις μεταξύ των αδελφών. Η προτεινόμενη λύση είναι να υιοθετηθεί ένα ενιαίο οικονομετρικό πλαίσιο που να συμπεριλαμβάνει τόσο τις επιδράσεις της σειράς γέννησης όσο και τις επιδράσεις των αδελφών και να προχωρήσει στην ανάλυση του συνολικού αποτελέσματος της σειράς γέννησης, διακρίνοντας τον άμεσο αντίκτυπο από τον έμμεσο αντίκτυπο που οφείλεται στις αλληλεπιδράσεις των αδελφών. Το δεύτερο κεφάλαιο συμβάλλει στη βιβλιογραφία της οικονομετρίας των δικτύων και παρουσιάζει μία σειρά από αποτελέσματα που μπορούν να χρησιμοποιηθούν για την εκτίμηση του γραμμικού μοντέλου δικτύων, όταν δεν υπάρχουν διαθέσιμα δεδομένα που περιέχουν πληροφορίες για τις συνδέσεις μεταξύ των ατόμων που συμμετέχουν στο δίκτυο. Στο τρίτο κεφάλαιο, χρησιμοποιείται ένα διμεταβλητό μη-γραμμικό μοντέλο για τη μοντελοποίηση των μεταβάσεων των εργασιακών αποτελεσμάτων των ζευγαριών, λαμβάνοντας υπόψη τόσο την αλληλοσυσχέτιση στην εργασιακή κατάσταση του ζευγαριού όσο και την επίδραση των προγενέστερων εργασιακών καταστάσεων των μελών του ζευγαρίου.Τεκμήριο Essays in the Economics of Competition Law EnforcementMetsiou, Eleni Ch.; Athens University of Economics and Business, Department of Economics; Katsoulakos, IoannisIn recent years it is widely recognized that competition is one of the main driving forces of economic development and growth. The direct effect of efficient competition is that it lowers prices and increases the quality of products and services. However, there is also an indirect effect that appears in highly competitive environments when firms, trying to escape from the effects of intense competition on their profits, promote innovation to produce new modernized products and more efficient production plans. This is called the “escape competition effect” and is probably the most important reason why efficient competition is so important for continuing growth.Recognizing the importance of competition for consumers’ wellbeing, businesses, dynamic markets and growth, in the light of worldwide economy changes, economists and policy makers have realized the need of antitrust enforcement modernization and the formation of an optimal antitrust policy.Recent economic literature has shed light on many dimensions of enforcement, such as:(i) Substantive Standards: Consumer Surplus vs. Total Welfare Standards(ii) Assessment procedures or Legal Standards: Per-Se Rules vs. Effects Based (or Rule-of-Reason) procedures(iii) Issues regarding the existence of Legal Uncertainty in antitrust enforcement(iv) Policies on Sanctions(v) Leniency Policies and Settlements. This dissertation contributes to the literature on Competition Policy Enforcement examining a number of the above mentioned dimensions: Firstly – and mainly – the starting point of antitrust enforcement procedures, the substantive standards [dimension (i) above], and secondly the effects of the Legal Uncertainty on penalties and welfare outcomes under different substantive standards [by combining dimensions (i) and (iii) above]. A “substantive standard” is the threshold rule that is used by Competition Authorities in order to appraise firms’ practices and determines the weight that should be given to the (positive and negative) effects of an action on different groups (consumers, producers, rivals, retailers etc)that interact in the market. There are two main substantive standards:I. the Consumer Surplus standard, where the Authorities investigate the changes in the price of a product and the quality and quantity that affect consumers as a result of a potentially anti-competitive action and II. The Total Welfare standard, where the Authorities, apart from the above effects, also consider the effects of the action under investigation on firms’ profits.The substantive standards that are adopted by Competition Authorities and the basic arguments that have been analyzed in the literature in favor of the one standard or the other are extensively presented in Chapter 1 which serves as introductory review note. Large economies,like USA and Europe, have adopted a Consumer Surplus standard, while smaller economies, like Canada and Australia, give great consideration on issues regarding the competitiveness of national firms and have adopted standards that can be considered as at least approaching a Total Welfare standard. Theoretical literature regarding the two standards have evolved around three main sets of arguments including (a) distributional considerations, (b) dynamic issues and (c)issues emerging from the interaction between firms and Competition Authorities. Moreover, in the same chapter, we present a brief literature review on the importance of Legal Uncertainty in Competition Policy enforcement, which is also examined in the context of this thesis. Legal Uncertainty exists, when an agent, while deciding whether or not to take an action, does not know for sure how this action will be treated by the relevant enforcement Authority, should it come under investigation, i.e. whether or not it will be deemed legal (and be allowed) or illegal (and bedis allowed and penalized). The first objective of this dissertation is to build on the literature that has developed,trying to answer the question: If we accept that the ultimate objective of antitrust is economic(total) welfare maximization, which is the proper substantive standard to achieve this goal? This question emerges due to the interaction of firms and Competition Authorities [point (c) above]. The idea was first introduced by Lyons (2002) who argued that it might be optimal in terms of total welfare maximization for the Competition Authorities to adopt a stricter standard, as the Consumer Surplus standard. According to his model firms, choosing between mutually exclusive mergers and knowing that the standard adopted is the Consumer Surplus standard, might be induced to choose the merger that is more welfare enhancing although less profitable, since the threshold will be higher under a Consumer Surplus standard. Since Lyons, a number of papershave discussed or further pursued this issue. However, all the discussion has been conducted in the context of mergers.The contribution of current work is to generalize the analysis to the case where firms can choose between mutually exclusive actions of any type (e.g. tying and bundling arrangements,rebate schemes, exclusive contracts, vertical restraints) which will entail both market power raising effects as well as potentially significant efficiency effects. We define the environments under which the Lyons’ argument (called Lyons’ effect throughout our work) holds and, more importantly in terms of policy implications, we examine how this range of environments changes according to extant market power, size of efficiency effects, and the differences between the mutually exclusive actions in terms of their price-cost margin raising effects and marginal cost efficiency effects. The analytical framework and the results are presented and analyzed in Chapter 2.In Chapter 3 we also consider the effect of taking into account changes in other firms’profits. We discuss first the proper way to consider other firms’ profits since different groups of firms can be differently affected by an anticompetitive action and are differently treated by each substantive standard in theory and in practice. We note that in practice Competition Authorities treat customers as consumers, often by paying attention mostly to the welfare changes of intermediate firms (resellers). Also in practice Competition Authorities do not care about the harm or benefit of rival firms even under a Total Welfare standard. By taking account of other firms’ profits in our analysis we find that there are two necessary conditions that must hold in order for the Consumer Surplus standard to be superior to the Total Welfare standard when firms can choose between two mutually exclusive actions.The second objective of the current work is to investigate and compare the results in terms of penalties imposed and welfare outcomes under these two different substantive standards in the presence of legal uncertainty. Our analysis and results on this issue are presented in Chapter 4. The issue of legal uncertainty has attracted attention in recent years for two main reasons. The first has to do with the fact that certain enforcement procedures are preferred as being superior because they are regarded to generate lower levels of legal uncertainty. The second reason is that many authors argue that no penalties should be imposed unless there is certainty under the Law. However, in practice, we have seen that record fines have been imposed on antitrust cases that cannot be characterized as per se illegal. Our results show the implications of three different possible information structures (of no, partial and complete legal uncertainty) on optimal penalties and welfare outcomes under the Consumer Surplus standard and the Total Welfare standard and contrast the results obtained. Chapter 4 provides a summary of our basic results and concluding remarks.Τεκμήριο Essays in the formation of coalitions in the presence of multilateral externalitiesChatzigiatroudakis, Ioannis; Athens University of Economics and Business, Department of Economics; Zacharias, EleftheriosOver the past few decades we have witnessed firms or countries come together and form coalitions. Such examples include the Renault-Nissan Alliance and the EU. Whether in business or international relations, the circumstances in which a coalition may form are the same: when the coalition members obtain benefits that they would not have been able to obtain on their own. For instance, the coalition between Renault and Nissan has allowed for cost-sharing agreements as well as R&D spillovers between the two firms.1 As far as the EU is concerned, the formation of such a coalition is expected to lead to greater efficiency, since the externalities can be fully realized and thus managed properly. Additional gains stem from the free goods, capital and labor mobility. Moreover, the economies of scale that arise can be exploited, the availability of resources is higher and so is insurance, due to risk pooling. In this thesis, we consider a set of economic agents (districts, regions or countries) that choose whether to cooperate or not when the motivation behind the formation of coalitions comes from the exploitation of externalities. To be more specific, we assume that each agent has a discrete project that generates a local benefit for that agent as well as externalities for the rest of the agents. When the agents act separately, each one of them decides on undertaking its project by considering only the local benefit. If the project is funded, its externalities occur and affect the other agents, but are not taken into consideration while evaluating the project. On the other hand, when the agents cooperate and form coalitions, they take into consideration the intra-coalition externalities of their projects. As a result, the funded projects might not be the same in the two cases. The first chapter focuses on the coalition formation when non-negative externalities arise from discrete regional projects, such as infrastructure facilities. In the spirit of Burbidge et al. (1997), we suppose that the regions share the benefits that emerge from their cooperation by adopting the symmetric Nash bargaining solution. Furthermore, as it is common in many institutional environments, we assume that the coalition formation occurs according to a rule that allows for exclusivity in membership. For instance, according to the Maastricht Treaty, the consent of the current Member States is required in order for a candidate member state to join the EU. In order to achieve a sharper prediction of the stability of the coalition structures, we allow deviations not only by a single region, but also by a group of regions. For this reason, we restrict our attention to the equilibrium concepts that can accommodate for such deviations and apply the notion of the Strong Nash equilibrium, originally introduced by Aumann (1959). We find that a coalition might subsidize the participation of some of its members and we show that in order for the grand coalition to emerge in equilibrium, the gains from the full cooperation should be sufficiently high. Another important feature of this setting is that the set of the projects that are undertaken when the regions cooperate depends partially on their local benefits. To some extent, this is consistent with the idea expressed in Oates (1972) - and captured (among others) by Lockwood (2002) - that when the regions coordinate, the decision about which projects to fund is less responsive to regional preferences. We further find that the strength of the externalities affects crucially, but not entirely, the degree of "universalism" in the economy. When the externalities are strong, the equilibrium outcome is closer to uniformity than it is when the externalities are low. Finally yet importantly, we show that secession may never be more efficient than the full cooperation of the regions, even when the projects that are funded under the two arrangements are the same. The second chapter of this thesis examines the conditions under which the countries are willing to form coalitions or sign agreements, such as international environmental agreements (IEAs), in order to deal with environmental externalities that arise from the economic activity. We extend the analysis of the previous chapter to include the case when the project externalities are negative or even mixed. Furthermore, we compare the sharing rule that we presented in the first chapter with the optimal sharing scheme suggested by Carraro et al. (2006), Eyckmans and Finus (2009), Fuentes-Albero and Rubio (2010), McGinty (2007), Nagashima et al. (2009) and Weikard (2009). Also, rather than assume that coalition formation occurs in accordance with some particular rule, we follow Hart and Kurz (1983) and do not discuss the process according to which the individual countries form coalitions. We suppose that any such process must eventually lead to a coalition structure from which no country or group of countries can improve upon their position by deviating. Specifically, our focus is on coalition structures that have the core property. We adopt the γ-core as a notion of coalition stability and assume that when one or more countries leave a coalition, the remaining members continue to cooperate. To the best of our knowledge, the application of the δ- core has yet to be explored in the context of IEAs. The application of this particular notion of the core allows for the coexistence of multiple non-crossing coalitions. This feature of our model is especially useful for the study of IEAs that deal with environmental issues at the regional rather than the global level. For instance, the UNEP Regional Seas Programmes address the protection of marine and coastal environment at a regional level: only the countries in the Wider Caribbean Region have ratified the Cartagena Convention, while only those with coastlines in the Mediterranean Sea have signed the Barcelona Convention etc. In addition, we compare this notion of stability to the notion of the γ- core used by Chander and Tulkens (1995 and 1997). In contrast to theδ- core, under the γ-core notion of coalition stability whenever one or more countries leave a coalition they expect a complete breakdown in the cooperation of the non-deviating members. We show that in comparison to the γ-core, the conditions for the δ- core are more restrictive. To our surprise, this does not imply that when an economy has the payoffs of the grand coalition in the δ- core, then they are also in the γ-core. These results are consistent with both of the sharing schemes that we consider. We further show that all the countries form a single coalition if and only if the benefits from the cooperation are high enough. Interestingly, we find that in the case when the payoffs of the Nash bargaining solution are sufficient for the full cooperation to prevail, the optimal sharing scheme might not be able to support the formation of the grand coalitionΤεκμήριο Essays in Βayesian econometrics(10/31/2016) Tasiopoulos, Anastasios; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Οικονομικής Επιστήμης; Tsionas, EfthimiosThis thesis consists of three main essays in Bayesian Econometrics. The first essayis about Bayesian Model Averaging with non conjugate priors with an application togrowth regressions. Bayesian Model Averaging is a novel technique for model selec-tion and model averaging with a lot of virtues in terms of predictiveness. Despite thevastness of the literature, most papers deal with the natural conjugate case for theparameters of the regressors, mainly because one can get analytical expression for theposterior moments and the marginal likelilihood. In this essay I extend the existingliterature taking into account non conjugate priors, by considering two limiting casesof a (non conjugate) multivariate student-t distribution. For the estimation of theposterior probalities, moments, marginal likelihood and predictive density, I proceedto Laplace Method, as it is proposed by Tierney and Kadane (1986) and Tierney, Kassand Kadane (1989) and a multivariate version of Theorem 3, of the latter paper, isderived. The approximations are nicely, incorporated to the MC(3) algorithm. Anapplication to growth regressions shows that the departure from the natural conjugatesetting results to some striking differences regarding the model selection procedure.The predictive results are strong and support the choice of the non conjugate setting.The second essay deals with the issue of objective Bayesian analysis in dynamic panelmodels with arbitrary cross sectional and intertemporal dependence. The objective-ness of the analysis refers to the estimation of Jreys prior of the model parameters.I extend the work of Phillips (1991) in a dynamic panel setting and I show, as Phillipsdid in a time series context, that at priors are not suitable in dynamic models toexpress ignorance. The arbitrariness of the structure of stochastic term deals with thefact that no functional assumptions are made for the error process. I allow for generalcovariance matrices and Ω and Σ , denoting the correlation among the time periods andcross sectional units respectively. I estimate the marginal posterior distribution ofthe autoregressive parameter for several models and I proceed to a comparison withthe flat prior case. My results are similar to those of Phillips (1991). In the the thirdessay, I propose a Bayesian most stringent test for serial correlation. I compare anumber of tests for autocorrelation that exist in the literature with the Bayesian one,in terms of power and stringency for several sample sizes and number of regressors.I show that the minimization of the Bayesian Shortcoming with respect to the priorparameter(s) is equivalent to the maximization of Power with respect to the sameparameter(s) and that under particular parametric settings, the resulting test is theMost Stringent. My findings show that for certain beta priors the Bayesian test at-tains very good overall performance in the alternative hypothesis parameter space.I also estimate the envelope power and under these certain prior distributions theproposed test is the most stringent.