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

Working Papers

2021

1. 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 in Scottish Journal of Political Economy (2021)

2020

2. A Coronavirus Asset Pricing Model: The Role of Skewness
   MPRA Paper, University Library of Munich, Germany
3. Cross-Border Spillovers in Foreign Currency Credit
   Economics Discussion Paper Series, Economics, The University of Manchester
4. Weekly dynamic conditional correlations among cryptocurrencies and traditional assets
   Working Papers, Universitat Rovira i Virgili, Department of Economics View citations (3)

2018

5. Regional Spillovers in Financial Dollarization
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
6. To Create or to Redistribute? That is the Question
   Working Papers, Central Bank of Cyprus

2017

7. 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)
8. 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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2016)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2016)

2016

9. Bank Lending to the Private Sector and GDP Growth: Thresholds and Returns
   Working Papers, Central Bank of Cyprus
10. 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

11. 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 in Review of Quantitative Finance and Accounting (2019)
12. 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)
13. 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 in International Review of Financial Analysis (2016)

2013

14. 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 in Economics Letters (2013)

2010

15. 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 (1)
    See also Journal Article in Journal of Macroeconomics (2013)
16. 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 in Economics Letters (2011)

2009

17. 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 (48)
    See also Journal Article in Journal of Banking & Finance (2009)
18. Modelling change in financial market integration
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2008

19. 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 in Empirical Economics (2010)

2007

20. 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 (5)
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2007) View citations (6)
    See also Journal Article in International Journal of Finance & Economics (2010)

2006

21. 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 in The Journal of Financial Econometrics (2008)
22. The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (4)
    Also in Economics Discussion Paper Series, Economics, The University of Manchester (2006) View citations (4)

2005

23. 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 (11)
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2005) View citations (7)
    Economics Discussion Paper Series, Economics, The University of Manchester (2005) View citations (7)
    See also Journal Article in Applied Financial Economics (2009)
24. 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

1. Are central banks to blame? Monetary policy and bank lending behavior
   Bulletin of Economic Research, 2021, 73, (4), 762-779
2. Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
   Energy Economics, 2021, 95, (C) View citations (7)
3. 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 (2021)
4. Public Debt Thresholds: An Analysis for Cyprus
   Cyprus Economic Policy Review, 2021, 15, (1), 75-85
5. Quantile Risk–Return Trade-Off
   JRFM, 2021, 14, (6), 1-14
6. Tell me where to stop: thresholds in the bank lending and output growth relationship
   Empirical Economics, 2021, 60, (4), 1845-1873 View citations (1)
7. The impact of the coronavirus crisis on the market price of risk
   Journal of Financial Stability, 2021, 53, (C) View citations (5)

2020

8. Flight-to-safety and the risk-return trade-off: European evidence
   Finance Research Letters, 2020, 35, (C) View citations (3)
9. 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 (8)
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 (5)
11. Tourism, Instability and Regional Interdependency: Evidence from the Eastern-Mediterranean
    Defence and Peace Economics, 2020, 31, (3), 245-268
12. What Determines Bank Lending Standards in Cyprus?
    Cyprus Economic Policy Review, 2020, 14, (1), 16-26

2019

13. Idiosyncratic volatility puzzle: influence of macro-finance factors
    Review of Quantitative Finance and Accounting, 2019, 52, (2), 381-401 View citations (2)
    See also Working Paper (2015)
14. Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
    Econometric Reviews, 2019, 38, (6), 660-678 View citations (1)
15. 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 (3)

2018

16. Effects of fiscal consolidation on business confidence in the Euro Area
    Economics and Business Letters, 2018, 7, (2), 76-83
17. Factors Affecting Housing Prices: International Evidence
    Cyprus Economic Policy Review, 2018, 12, (2), 87-96
18. The Risk and Return Conundrum Explained: International Evidence
    The Journal of Financial Econometrics, 2018, 16, (3), 486-521 View citations (7)

2017

19. Modelling house price volatility states in Cyprus with switching ARCH models
    Cyprus Economic Policy Review, 2017, 11, (1), 69-82 View citations (2)
20. Size Effects of Fiscal Policy and Business Confidence in the Euro Area
    IJFS, 2017, 5, (4), 1-15 View citations (2)
21. 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 (10)

2016

22. 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 (6)
23. 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
24. 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 (2015)
25. 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)
26. Skewness and the Relation Between Risk and Return
    Management Science, 2016, 62, (6), 1598-1609 View citations (14)

2015

27. Family involvement and firm performance: Evidence from UK listed firms
    Journal of Family Business Strategy, 2015, 6, (1), 14-32 View citations (15)
28. 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)
29. 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)
30. Support for smoke-free policies in the Cyprus hospitality industry
    International Journal of Public Health, 2015, 60, (8), 911-917
31. 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

32. The Effects of Fiscal Consolidation on Macroeconomic Indicators in Cyprus
    Cyprus Economic Policy Review, 2014, 8, (1), 93-119

2013

33. Illiquidity shocks and the comovement between stocks: New evidence using smooth transition
    Journal of Empirical Finance, 2013, 23, (C), 1-15 View citations (6)
34. 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 (2013)
35. Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7
    Journal of Macroeconomics, 2013, 35, (C), 81-92 View citations (26)
    See also Working Paper (2010)

2011

36. ARE THERE STILL PORTFOLIO DIVERSIFICATION BENEFITS IN EASTERN EUROPE? AGGREGATE VERSUS SECTORAL STOCK MARKET DATA
    Manchester School, 2011, 79, (6), 1323-1352 View citations (10)
37. Modeling interbank relations during the international financial crisis
    Economics Bulletin, 2011, 31, (1), 916-924 View citations (3)
38. Nominal uncertainty and inflation: The role of European Union membership
    Economics Letters, 2011, 112, (1), 26-30 View citations (12)
    See also Working Paper (2010)
39. The relative efficiency of shipping companies
    Transportation Research Part E: Logistics and Transportation Review, 2011, 47, (5), 681-694 View citations (19)

2010

40. 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 (42)
    See also Working Paper (2007)
41. Stock market integration between new EU member states and the Euro-zone
    Empirical Economics, 2010, 39, (2), 337-351 View citations (40)
    See also Working Paper (2008)

2009

42. Factors Affecting House Prices in Cyprus: 1988-2008
    Cyprus Economic Policy Review, 2009, 3, (1), 3-25 View citations (7)
43. Financial dollarization: Short-run determinants in transition economies
    Journal of Banking & Finance, 2009, 33, (10), 1860-1873 View citations (48)
    See also Working Paper (2009)
44. International stock markets interactions and conditional correlations
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (4), 645-661 View citations (33)
45. 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 (40)
    See also Working Paper (2005)

2008

46. Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
    The Journal of Financial Econometrics, 2008, 6, (3), 307-325 View citations (15)
    See also Working Paper (2006)

2007

47. 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)