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Details about Georgios P. Kouretas

E-mail:
Homepage:http://www.aueb.gr/users/kouretas
Workplace:Department of Business Administration, Athens University of Economics and Business (AUEB), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Georgios P. Kouretas.

Last updated 2021-01-04. Update your information in the RePEc Author Service.

Short-id: pko307


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Working Papers

2018

  1. The impact of market structure of the banking sector on the growth of bank loans in the EU after the global financial crisis
    NBP Working Papers, Narodowy Bank Polski, Economic Research Department Downloads

2013

  1. Ownership, institutions and bank risk-taking in Central and Eastern European countries
    EcoMod2013, EcoMod Downloads View citations (1)

2011

  1. Anxious periods and bank lending
    EcoMod2011, EcoMod Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2014)

2010

  1. Interest rates and bank risk-taking
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of Banking & Finance (2011)
  2. Regime Dependence between the Official and Parallel Foreign Currency Markets for US Dollars in Greece
    EcoMod2004, EcoMod Downloads
    See also Journal Article in Journal of Macroeconomics (2007)
  3. The Dynamics of Inflation: A Study of a Large Number of Countries
    EcoMod2010, EcoMod Downloads
    See also Journal Article in Applied Economics (2012)
  4. The Strategic Implications of Setting Border Tax Adjustments
    EcoMod2010, EcoMod Downloads

2006

  1. Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in International Journal of Finance & Economics (2012)
  2. LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (15)
  3. Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange
    Working Papers, University of Crete, Department of Economics Downloads View citations (2)

2005

  1. Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange
    Working Papers, University of Crete, Department of Economics Downloads View citations (3)
  2. Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in Bulletin of Economic Research (2008)
  3. Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets
    Working Papers, University of Crete, Department of Economics Downloads View citations (4)
  4. Mean and variance causality between the Cyprus Stock Exchange and major equity markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads View citations (3)
    Also in Working Papers, University of Crete, Department of Economics (2005) Downloads View citations (2)
  5. Regime Switching and Artificial Neural Network Forecasting
    Working Papers, University of Crete, Department of Economics Downloads
  6. Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads
    See also Journal Article in International Journal of Finance & Economics (2006)

2003

  1. Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in Economic Modelling (2005)

2001

  1. A MULTIVARIATE I(2) COINTEGRATION ANALYSIS OF GERMAN HYPERINFLATION
    Working Papers, University of Crete, Department of Economics Downloads
    See also Journal Article in Applied Financial Economics (2004)
  2. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    Working Papers, University of Crete, Department of Economics Downloads View citations (1)
    See also Journal Article in International Review of Economics & Finance (2005)
  3. COMMON STOCHASTIC TRENDS IN INTERNATIONAL STOCK MARKETS: TESTING IN AN INTEGRATED FRAMEWORK
    Working Papers, University of Crete, Department of Economics Downloads View citations (7)
  4. The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America
    Working Papers, University of Crete, Department of Economics Downloads View citations (1)

Undated

  1. A COINTEGRATION ANALYSIS OF THE OFFICIAL AND PARALLEL FOREIGN EXCHANGE MARKETS FOR DOLLARS IN GREECE
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in International Journal of Finance & Economics (1998)
  2. Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in International Journal of Finance & Economics (2001)
  3. Black and Official Exchange Rates in Greece: An Analysis of their long-run dynamics
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2001)
  4. COINTEGRATION AND MARKET EFFICIENCY: A Time Series Analysis of the Greek Drachma
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in Applied Economics Letters (1995)
  5. COINTEGRATION TESTS OF FORWARD MARKET EFFICIENCY DURING THE 1920s
    Working Papers, University of Crete, Department of Economics
  6. COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN-U.S. DOLLAR, 1970 - 1994
    Working Papers, University of Crete, Department of Economics
  7. EXCHANGE RATE DETERMINATION: EMPIRICAL FOR THE GREEK DRACHMA
    Working Papers, University of Crete, Department of Economics View citations (1)
  8. EXCHANGE RATES, INTEREST RATES, BUDGET DEFECITS, MONEY AND CURRENT ACCOUNT INTERRELATIONSHIPS IN GREECE: Evidence from Vector Autoregressions
    Working Papers, University of Crete, Department of Economics
  9. Expectations and black market premium for Dollars in Greece
    Working Papers, University of Crete, Department of Economics
  10. IDENTIFYING LINEAR RESTRICTIONS ON THE MONETARY EXCANGE RATE MODEL AND THE UNCOVERED INTEREST PARITY: COINTEGRATION EVEDENCE FROM THE CANADIAN - U.S. DOLLAR
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in Canadian Journal of Economics (1997)
  11. Interest Parity, the Term Structure and Cointegration: an Integrated Approach
    Working Papers, University of Crete, Department of Economics
  12. LONG-RUN PURCHASING POWER PARITY: HOW SURE ARE WE THAT COINTEGRATION EXISTS?
    Working Papers, University of Crete, Department of Economics
  13. Long-run purchasing power parity and structural change: The official and parallel market for foreign currency in Greece
    Working Papers, University of Crete, Department of Economics
  14. Mean and Variance Causality of Black and Official Exchange Rates: Evidence from four Latin American Countries
    Working Papers, University of Crete, Department of Economics
  15. TEMPORAL AGGREGATION IN STRUCTURAL VAR MODELS
    Working Papers, University of Crete, Department of Economics View citations (3)
    See also Journal Article in Applied Stochastic Models and Data Analysis (1998)
  16. TESTING A MODEL OF TRADE UNION BEHAVIOUR FOR THE GREEK MANUFACTURING SPECTOR: Long - run relationships, Short-run dynamics and Temporal Stability
    Working Papers, University of Crete, Department of Economics
  17. THE CANADIAN - U.S. DOLLAR AND PURCHASING POWER PARITY DURING THE RECENT FLOAT: TESTING THE ALTERNATIVE HYPOTHESES OF COINTEGRATION AND NO COINTEGRATION
    Working Papers, University of Crete, Department of Economics
  18. THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, COEFFICIENT RESTRICTIONS AND TEMPORAL STABILITY OF THE GREEK DRACHMA
    Working Papers, University of Crete, Department of Economics View citations (1)
  19. THE MONETARY APPROACH TO THE EXCHANGE RATE: LONG-RUN RELATIONSHIPS, IDENTIFICATION AND TEMPORAL STABILITY
    Working Papers, University of Crete, Department of Economics View citations (1)
    See also Journal Article in Journal of Macroeconomics (1998)
  20. THE MONETARY EXCHANGE RATE MODEL: FRAGILE EVIDENCE FROM COINTEGRATION TESTS
    Working Papers, University of Crete, Department of Economics
  21. THE POUND STERLING AND FRANC POINCARE IN THE 1920S: LONG-RUN RELATIONSHIPS, SPECULATION AND TEMPORAL STABILITY
    Working Papers, University of Crete, Department of Economics
    See also Journal Article in Applied Financial Economics (2000)
  22. The Monetary Model in the Presence of I (2) Components: A Cointegration Analysis
    Working Papers, University of Crete, Department of Economics View citations (2)
  23. Volatility Spillovers between the Black and Official Market for foreign Currency in Greece
    Working Papers, University of Crete, Department of Economics View citations (2)
  24. WAGE SETTING, TAXES AND DEMAND FOR LABOUR IN GREECE: A Multivariate Aanalysis of Cointegration Relationships
    Working Papers, University of Crete, Department of Economics

Journal Articles

2020

  1. Democracy, regulation and competition in emerging banking systems
    Economic Modelling, 2020, 84, (C), 190-202 Downloads
  2. Does change in the market structure have any impact on different types of bank loans in the EU?
    Journal of International Financial Markets, Institutions and Money, 2020, 65, (C) Downloads View citations (1)
  3. Dynamics among global asset portfolios
    The European Journal of Finance, 2020, 26, (18), 1876-1899 Downloads
  4. Editorial of the special issue on international aspects of economic and policy fragility
    Journal of International Money and Finance, 2020, 108, (C) Downloads
  5. Market structure and credit procyclicality: Lessons from loan markets in the European Union banking sectors
    Economic Modelling, 2020, 93, (C), 27-50 Downloads
  6. Systemic risk and financial stability dynamics during the Eurozone debt crisis
    Journal of Financial Stability, 2020, 47, (C) Downloads

2019

  1. Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices
    Journal of Risk and Financial Management, 2019, 12, (4), 1-1 Downloads View citations (2)
  2. The determinants of net interest margin during transition
    Review of Quantitative Finance and Accounting, 2019, 53, (4), 1005-1029 Downloads

2018

  1. Assessing monetary policies in the Eurozone, U.S., U.K. and Japan: new evidence from the post-crisis period
    Applied Economics, 2018, 50, (59), 6481-6500 Downloads
  2. Contagion and interdependence in Eurozone bank and sovereign credit markets
    International Journal of Finance & Economics, 2018, 23, (4), 655-674 Downloads View citations (4)
  3. Saving, investment and capital mobility in EU member countries: a panel data analysis of the Feldstein–Horioka puzzle
    Applied Economics, 2018, 50, (34-35), 3798-3811 Downloads

2017

  1. Assessing the impact of an EU financial transactions tax on asset volatility: An event study
    International Review of Financial Analysis, 2017, 53, (C), 12-24 Downloads
  2. Editorial of the special issue on debt, taxation, economic activity and financial variables
    Economic Change and Restructuring, 2017, 50, (3), 189-191 Downloads View citations (1)
  3. Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries
    Journal of International Financial Markets, Institutions and Money, 2017, 47, (C), 76-88 Downloads View citations (6)
  4. The Relevance of the Monetary Model for the Euro / USD Exchange Rate Determination: a Long Run Perspective
    Open Economies Review, 2017, 28, (5), 989-1010 Downloads
  5. The bank-lending channel and monetary policy during pre- and post-2007 crisis
    Journal of International Financial Markets, Institutions and Money, 2017, 47, (C), 176-187 Downloads View citations (10)

2016

  1. Foreign bank presence and business regulations
    Journal of Financial Stability, 2016, 24, (C), 104-116 Downloads View citations (6)
  2. Interest parity, cointegration, and the term structure: Testing in an integrated framework
    International Review of Financial Analysis, 2016, 46, (C), 281-294 Downloads
  3. Ownership, interest rates and bank risk-taking in Central and Eastern European countries
    International Review of Financial Analysis, 2016, 45, (C), 308-319 Downloads View citations (13)

2015

  1. Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR
    International Review of Economics & Finance, 2015, 40, (C), 127-140 Downloads View citations (13)
  2. Creditor moral hazard during the EMU debt crisis
    Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 122-135 Downloads View citations (4)
  3. INTRODUCTION TO THE SPECIAL ISSUE ON GROWTH, OPTIMAL FISCAL AND MONETARY POLICY, AND FINANCIAL FRICTIONS
    Macroeconomic Dynamics, 2015, 19, (6), 1167-1170 Downloads
  4. The conduct of monetary policy in the Eurozone before and after the financial crisis
    Economic Modelling, 2015, 48, (C), 83-92 Downloads View citations (8)

2014

  1. Anxious periods and bank lending
    Journal of Banking & Finance, 2014, 38, (C), 1-13 Downloads View citations (20)
    See also Working Paper (2011)
  2. Shareholding in EU: is “indirect holding” approach appropriate in achieving financial integration?
    Journal of Financial Regulation and Compliance, 2014, 22, (1), 15-25 Downloads

2013

  1. Bank Risk-Taking in CEE Countries
    Central European Journal of Economic Modelling and Econometrics, 2013, 5, (2), 103-123 Downloads
  2. Challenges and Risks in the International Monetary System: An Overview
    Open Economies Review, 2013, 24, (1), 1-4 Downloads

2012

  1. Asset allocation in the Athens stock exchange: a variance sensitivity analysis
    International Journal of Finance & Economics, 2012, 17, (2), 167-181 View citations (1)
    See also Working Paper (2006)
  2. Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (2), 65-93 Downloads View citations (1)
  3. The dynamics of inflation: a study of a large number of countries
    Applied Economics, 2012, 44, (16), 2001-2026 Downloads View citations (7)
    See also Working Paper (2010)

2011

  1. Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets
    International Review of Economics & Finance, 2011, 20, (4), 717-732 Downloads View citations (157)
  2. Interest rates and bank risk-taking
    Journal of Banking & Finance, 2011, 35, (4), 840-855 Downloads View citations (167)
    See also Working Paper (2010)
  3. Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (5), 707-723 Downloads View citations (3)
  4. The future of universal banking
    Journal of Banking & Finance, 2011, 35, (4), 765-767 Downloads
  5. Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets
    International Review of Financial Analysis, 2011, 20, (3), 165-176 Downloads View citations (12)

2010

  1. Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model
    International Journal of Finance & Economics, 2010, 15, (4), 331-350 Downloads View citations (12)
  2. German, US and Central and Eastern European Stock Market Integration
    Open Economies Review, 2010, 21, (4), 607-628 Downloads View citations (15)
  3. Overview of the special issue on crisis and opportunity: Policy evaluation during the global turmoil
    The North American Journal of Economics and Finance, 2010, 21, (1), 1-4 Downloads View citations (1)
  4. The Greek Crisis: Causes and Implications
    Panoeconomicus, 2010, 57, (4), 391-404 Downloads View citations (29)

2009

  1. An Overview of the Special Issue on the Credit and Financial Crisis of 2007–2009: Causes, Lessons and Prospects
    The Journal of Economic Asymmetries, 2009, 6, (3), 1-6 Downloads
  2. Guest Editorial: Overview of the Special Section on Advances in Macroeconomic Theory and Policy and International Money and Finance
    Review of International Economics, 2009, 17, (3), 533-535 Downloads

2008

  1. COMMON STOCHASTIC TRENDS AMONG THE CYPRUS STOCK EXCHANGE AND THE ASE, LSE AND NYSE
    Bulletin of Economic Research, 2008, 60, (4), 327-349 Downloads
    See also Working Paper (2005)
  2. Overview of the special issue on Euro area expansion: Current state and future prospects
    Journal of International Money and Finance, 2008, 27, (2), 165-168 Downloads
  3. Testing the forward rate unbiasedness hypothesis during the 1920s
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (4), 358-373 Downloads View citations (3)

2007

  1. Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries
    Research in International Business and Finance, 2007, 21, (2), 238-259 Downloads View citations (3)
  2. Editorial
    Open Economies Review, 2007, 18, (3), 233-237 Downloads
  3. Regime dependence between the official and parallel foreign currency markets for US dollars in Greece
    Journal of Macroeconomics, 2007, 29, (2), 431-449 Downloads View citations (7)
    See also Working Paper (2010)

2006

  1. Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector
    Economic Modelling, 2006, 23, (2), 316-338 Downloads
  2. Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns
    International Journal of Finance & Economics, 2006, 11, (4), 371-383 Downloads View citations (2)
    See also Working Paper (2005)
  3. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175 Downloads

2005

  1. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    International Review of Economics & Finance, 2005, 14, (2), 181-201 Downloads View citations (8)
    See also Working Paper (2001)
  2. Expectations and the black market premium for foreign currency in Greece
    Applied Financial Economics, 2005, 15, (10), 667-677 Downloads View citations (1)
  3. Overview of the special issue on exchange-rate economics
    Journal of International Money and Finance, 2005, 24, (2), 169-174 Downloads
  4. Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece
    Economic Modelling, 2005, 22, (4), 665-682 Downloads View citations (5)
    See also Working Paper (2003)

2004

  1. A Multivariate I(2) cointegration analysis of German hyperinflation
    Applied Financial Economics, 2004, 14, (1), 29-41 Downloads View citations (7)
    See also Working Paper (2001)
  2. Editorial
    Journal of Common Market Studies, 2004, 42, (4), 679-687 Downloads

2002

  1. Cointegration, Uncoverd Interest Parity and the Term Structure of Interest Rates: Some International Evidence
    European Research Studies Journal, 2002, V, (1-2), 7-22 Downloads
  2. Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries
    The Financial Review, 2002, 37, (2), 137-163 Downloads View citations (17)

2001

  1. Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece
    International Journal of Finance & Economics, 2001, 6, (1), 13-25 Downloads View citations (7)
    See also Working Paper
  2. Black and official exchange rates in Greece: an analysis of their long-run dynamics
    Journal of Multinational Financial Management, 2001, 11, (3), 295-314 Downloads View citations (9)
    See also Working Paper
  3. Long-Run Purchasing Power Parity and Structural Change: The Official and Parallel Foreign Exchange Markets For Dollars In Greece
    International Economic Journal, 2001, 15, (3), 109-128 Downloads View citations (8)
  4. VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE
    Journal of Financial Research, 2001, 24, (3), 443-461 Downloads View citations (3)

2000

  1. The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma
    Journal of International Money and Finance, 2000, 19, (6), 917-941 Downloads View citations (11)
  2. The pound sterling and the franc Poincare in the 1920s: long-run relationships, speculation and temporal stability
    Applied Financial Economics, 2000, 10, (5), 471-482 Downloads
    See also Working Paper
  3. Wage Setting, Taxes, and Demand for Labor in Greece: A Multivariate Analysis of Cointegrating Relationships
    Journal of Policy Modeling, 2000, 22, (2), 171-195 Downloads View citations (1)

1999

  1. original: Estimation of the value of life saving under uncertainty emanating from transport infrastructure investment A theoretical exposition with an application to the Rion-Antirion suspension bridge in Greece
    The Annals of Regional Science, 1999, 33, (3), 327-342 Downloads

1998

  1. A Cointegration Analysis of the Official and Parallel Foreign Exchange Markets for Dollars in Greece
    International Journal of Finance & Economics, 1998, 3, (3), 261-76 Downloads View citations (19)
    See also Working Paper
  2. Temporal aggregation in structural VAR models
    Applied Stochastic Models and Data Analysis, 1998, 14, (1), 19-34 Downloads
    See also Working Paper
  3. The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability
    Journal of Macroeconomics, 1998, 20, (4), 741-766 Downloads View citations (16)
    See also Working Paper

1997

  1. Identifying Linear Restrictions on the Monetary Exchange Rate Model and the Uncovered Interest Parity: Cointegration Evidence from the Canadian-U.S. Dollar
    Canadian Journal of Economics, 1997, 30, (4), 875-90 View citations (14)
    See also Working Paper
  2. Modelling the choice of mode and estimation of the value of travel time savings for the case of the Rion-Antirion suspension bridge in Greece
    The Annals of Regional Science, 1997, 31, (4), 473-489 Downloads View citations (2)
  3. The Canadian Dollar and Purchasing Power Parity during the Recent Float
    Review of International Economics, 1997, 5, (4), 467-77 View citations (9)
  4. The monetary model of the exchange rate and the Greek drachma in the 1920s
    Applied Financial Economics, 1997, 7, (5), 507-515 Downloads View citations (1)

1995

  1. Cointegration and market efficiency: a time series analysis of the Greek drachma
    Applied Economics Letters, 1995, 2, (8), 271-277 Downloads
    See also Working Paper

1993

  1. G. P. Kouretas - Wages, Flexible Exchange Rates and Commercial Policy
    Economia Internazionale / International Economics, 1993, 46, (2-3), 225-246
  2. Wage Indexation in EFTA Economies: An Application of Co-Integration Techniques/Indexbindung der Löhne in den EFTA Ländern: Eine Anwendung von Co-Integrationstechniken
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1993, 212, (3-4), 278-291 Downloads

Edited books

2014

  1. Macroeconomic Analysis and International Finance, vol 23
    International Symposia in Economic Theory and Econometrics, Emerald Publishing Ltd Downloads

Chapters

2014

  1. Does China’s International Competitiveness Fluctuate in Consistency with PPP Equilibrium?
    A chapter in Macroeconomic Analysis and International Finance, 2014, vol. 23, pp 153-183 Downloads View citations (1)
  2. Exchange Rates, Fundamentals, and Nonlinearities: A Review and Some Further Evidence from a Century of Data
    A chapter in Macroeconomic Analysis and International Finance, 2014, vol. 23, pp 85-124 Downloads
 
Page updated 2021-01-26