Details about Christos Savvas Savva
Access statistics for papers by Christos Savvas Savva.
Last updated 2021-11-05. Update your information in the RePEc Author Service.
Short-id: psa291
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Working Papers
2021
- Is British Output Growth Related to its Uncertainty? Evidence using Eight Centuries of Data
Discussion Paper Series, Department of Economics, University of Macedonia View citations (2)
See also Journal Article Is British output growth related to its uncertainty? Evidence using eight centuries of data, Scottish Journal of Political Economy, Scottish Economic Society (2021) View citations (2) (2021)
2020
- A Coronavirus Asset Pricing Model: The Role of Skewness
MPRA Paper, University Library of Munich, Germany
- Cross-Border Spillovers in Foreign Currency Credit
Economics Discussion Paper Series, Economics, The University of Manchester
- Weekly dynamic conditional correlations among cryptocurrencies and traditional assets
Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (3)
2018
- Regional Spillovers in Financial Dollarization
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
- To Create or to Redistribute? That is the Question
Working Papers, Central Bank of Cyprus
2017
- Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017) View citations (1)
- Tourism stocks in times of crises: An econometric investigation of non-macro factors
Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)  Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)  Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
2016
- Bank Lending to the Private Sector and GDP Growth: Thresholds and Returns
Working Papers, Central Bank of Cyprus
- The Lack of Persistence of Interest Rate Changes on Banks’ Lending and Risk Taking Behaviour
Working Papers, Central Bank of Cyprus View citations (1)
2015
- Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
Working Papers, Universitat Rovira i Virgili, Department of Economics 
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) 
See also Journal Article Idiosyncratic volatility puzzle: influence of macro-finance factors, Review of Quantitative Finance and Accounting, Springer (2019) View citations (3) (2019)
- Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (4)
- Risk-Return Trade-Off for European Stock Markets
Working Papers, Universitat Rovira i Virgili, Department of Economics 
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) 
See also Journal Article Risk-return trade-off for European stock markets, International Review of Financial Analysis, Elsevier (2016) View citations (17) (2016)
2013
- Institutions and Financial Dollarization: Indirect Effects based on a Policy Experiment
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (9)
See also Journal Article Institutions and financial dollarization: Indirect effects based on a policy experiment, Economics Letters, Elsevier (2013) View citations (9) (2013)
2010
- Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (6)
See also Journal Article Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7, Journal of Macroeconomics, Elsevier (2013) View citations (31) (2013)
- Nominal Uncertainty and Inflation: The Role of European Union Membership
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester 
See also Journal Article Nominal uncertainty and inflation: The role of European Union membership, Economics Letters, Elsevier (2011) View citations (13) (2011)
2009
- Financial Dollarization: Short-Run Determinants in Transition Economies
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (52)
See also Journal Article Financial dollarization: Short-run determinants in transition economies, Journal of Banking & Finance, Elsevier (2009) View citations (52) (2009)
- Modelling change in financial market integration
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
2008
- Stock market integration between new EU member states and the Euro-zone
Working Papers, Universitat Rovira i Virgili, Department of Economics 
See also Journal Article Stock market integration between new EU member states and the Euro-zone, Empirical Economics, Springer (2010) View citations (42) (2010)
2007
- Business Cycle Synchrinization of the Euro Area with the New and Negotiating Member Countries
University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics View citations (6)
Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2007) View citations (7)
See also Journal Article Business cycle synchronization of the euro area with the new and negotiating member countries, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (43) (2010)
2006
- Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
Economics Discussion Paper Series, Economics, The University of Manchester 
Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2006) 
See also Journal Article Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US, Journal of Financial Econometrics, Oxford University Press (2008) View citations (16) (2008)
- The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies
Economics Discussion Paper Series, Economics, The University of Manchester View citations (5)
Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2006) View citations (5)
2005
- Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro
Economics Discussion Paper Series, Economics, The University of Manchester View citations (12)
Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2005) View citations (8) Economics Discussion Paper Series, Economics, The University of Manchester (2005) View citations (8)
See also Journal Article Spillovers and correlations between US and major European stock markets: the role of the euro, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (43) (2009)
- Volatility, spillover Effects and Correlations in US and Major European Markets
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (11)
Journal Articles
2021
- Are central banks to blame? Monetary policy and bank lending behavior
Bulletin of Economic Research, 2021, 73, (4), 762-779
- Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Energy Economics, 2021, 95, (C) View citations (17)
- Is British output growth related to its uncertainty? Evidence using eight centuries of data
Scottish Journal of Political Economy, 2021, 68, (3), 345-364 View citations (2)
See also Working Paper Is British Output Growth Related to its Uncertainty? Evidence using Eight Centuries of Data, Discussion Paper Series (2021) View citations (2) (2021)
- Public Debt Thresholds: An Analysis for Cyprus
Cyprus Economic Policy Review, 2021, 15, (1), 75-85
- Quantile Risk–Return Trade-Off
JRFM, 2021, 14, (6), 1-14
- Tell me where to stop: thresholds in the bank lending and output growth relationship
Empirical Economics, 2021, 60, (4), 1845-1873 View citations (2)
- The impact of the coronavirus crisis on the market price of risk
Journal of Financial Stability, 2021, 53, (C) View citations (8)
2020
- Flight-to-safety and the risk-return trade-off: European evidence
Finance Research Letters, 2020, 35, (C) View citations (3)
- Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments
Journal of the Royal Statistical Society Series A, 2020, 183, (3), 1097-1119 View citations (10)
- The effects of oil price shocks on the prices of EU emission trading system and European stock returns
The European Journal of Finance, 2020, 26, (1), 1-13 View citations (10)
- Tourism, Instability and Regional Interdependency: Evidence from the Eastern-Mediterranean
Defence and Peace Economics, 2020, 31, (3), 245-268 View citations (2)
- What Determines Bank Lending Standards in Cyprus?
Cyprus Economic Policy Review, 2020, 14, (1), 16-26
2019
- Idiosyncratic volatility puzzle: influence of macro-finance factors
Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401 View citations (3)
See also Working Paper Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors, Working Papers (2015) (2015)
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Econometric Reviews, 2019, 38, (6), 660-678 View citations (2)
- Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity
European Financial Management, 2019, 25, (1), 116-159 View citations (4)
2018
- Effects of fiscal consolidation on business confidence in the Euro Area
Economics and Business Letters, 2018, 7, (2), 76-83
- Factors Affecting Housing Prices: International Evidence
Cyprus Economic Policy Review, 2018, 12, (2), 87-96
- The Risk and Return Conundrum Explained: International Evidence
Journal of Financial Econometrics, 2018, 16, (3), 486-521 View citations (7)
2017
- Modelling house price volatility states in Cyprus with switching ARCH models
Cyprus Economic Policy Review, 2017, 11, (1), 69-82 View citations (3)
- Size Effects of Fiscal Policy and Business Confidence in the Euro Area
IJFS, 2017, 5, (4), 1-15 View citations (2)
- The effects of oil price shocks on U.S. stock order flow imbalances and stock returns
Journal of International Money and Finance, 2017, 74, (C), 137-146 View citations (12)
2016
- Dynamic co-movements and diversification benefits: The case of the Greater China region, the UK and the US equity markets
Journal of Multinational Financial Management, 2016, 35, (C), 59-78 View citations (7)
- Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effects of Uncertainty on Inflation and Output Growth
Journal of Applied Econometrics, 2016, 31, (6), 1192-1196
- Risk-return trade-off for European stock markets
International Review of Financial Analysis, 2016, 46, (C), 84-103 View citations (17)
See also Working Paper Risk-Return Trade-Off for European Stock Markets, Working Papers (2015) (2015)
- Short-horizon event study estimation with a STAR model and real contaminated events
Review of Quantitative Finance and Accounting, 2016, 47, (3), 673-697 View citations (3)
- Skewness and the Relation Between Risk and Return
Management Science, 2016, 62, (6), 1598-1609 View citations (19)
2015
- Family involvement and firm performance: Evidence from UK listed firms
Journal of Family Business Strategy, 2015, 6, (1), 14-32 View citations (19)
- House Price Dynamics and the Reaction to Macroeconomic Changes: The Case of Cyprus
Cyprus Economic Policy Review, 2015, 9, (2), 79-90 View citations (2)
- Short-horizon excess returns and exchange rate and interest rate effects
Journal of International Financial Markets, Institutions and Money, 2015, 37, (C), 54-76 View citations (3)
- Support for smoke-free policies in the Cyprus hospitality industry
International Journal of Public Health, 2015, 60, (8), 911-917
- The effect of security and market order flow shocks on co-movement
Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 136-155 View citations (1)
2014
- The Effects of Fiscal Consolidation on Macroeconomic Indicators in Cyprus
Cyprus Economic Policy Review, 2014, 8, (1), 93-119
2013
- Illiquidity shocks and the comovement between stocks: New evidence using smooth transition
Journal of Empirical Finance, 2013, 23, (C), 1-15 View citations (7)
- Institutions and financial dollarization: Indirect effects based on a policy experiment
Economics Letters, 2013, 121, (3), 405-410 View citations (9)
See also Working Paper Institutions and Financial Dollarization: Indirect Effects based on a Policy Experiment, Centre for Growth and Business Cycle Research Discussion Paper Series (2013) View citations (9) (2013)
- Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7
Journal of Macroeconomics, 2013, 35, (C), 81-92 View citations (31)
See also Working Paper Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7, Centre for Growth and Business Cycle Research Discussion Paper Series (2010) View citations (6) (2010)
2011
- ARE THERE STILL PORTFOLIO DIVERSIFICATION BENEFITS IN EASTERN EUROPE? AGGREGATE VERSUS SECTORAL STOCK MARKET DATA
Manchester School, 2011, 79, (6), 1323-1352 View citations (11)
- Modeling interbank relations during the international financial crisis
Economics Bulletin, 2011, 31, (1), 916-924 View citations (3)
- Nominal uncertainty and inflation: The role of European Union membership
Economics Letters, 2011, 112, (1), 26-30 View citations (13)
See also Working Paper Nominal Uncertainty and Inflation: The Role of European Union Membership, Centre for Growth and Business Cycle Research Discussion Paper Series (2010) (2010)
- The relative efficiency of shipping companies
Transportation Research Part E: Logistics and Transportation Review, 2011, 47, (5), 681-694 View citations (22)
2010
- Business cycle synchronization of the euro area with the new and negotiating member countries
International Journal of Finance & Economics, 2010, 15, (3), 288-306 View citations (43)
See also Working Paper Business Cycle Synchrinization of the Euro Area with the New and Negotiating Member Countries, University of Cyprus Working Papers in Economics (2007) View citations (6) (2007)
- Stock market integration between new EU member states and the Euro-zone
Empirical Economics, 2010, 39, (2), 337-351 View citations (42)
See also Working Paper Stock market integration between new EU member states and the Euro-zone, Working Papers (2008) (2008)
2009
- Factors Affecting House Prices in Cyprus: 1988-2008
Cyprus Economic Policy Review, 2009, 3, (1), 3-25 View citations (8)
- Financial dollarization: Short-run determinants in transition economies
Journal of Banking & Finance, 2009, 33, (10), 1860-1873 View citations (52)
See also Working Paper Financial Dollarization: Short-Run Determinants in Transition Economies, Centre for Growth and Business Cycle Research Discussion Paper Series (2009) View citations (52) (2009)
- International stock markets interactions and conditional correlations
Journal of International Financial Markets, Institutions and Money, 2009, 19, (4), 645-661 View citations (35)
- Spillovers and correlations between US and major European stock markets: the role of the euro
Applied Financial Economics, 2009, 19, (19), 1595-1604 View citations (43)
See also Working Paper Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro, Economics Discussion Paper Series (2005) View citations (12) (2005)
2008
- Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
Journal of Financial Econometrics, 2008, 6, (3), 307-325 View citations (16)
See also Working Paper Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US, Economics Discussion Paper Series (2006) (2006)
2007
- The Efficiency of Cypriot Commercial Banks: A Comparison with Greece and the UK
Cyprus Economic Policy Review, 2007, 1, (2), 17-35 View citations (1)
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