SPOUDAI - Journal of Economics and Business

29-65

Authors: Stylianos X. Koufadakis

In this paper we examine how monetary announcements can explain US country funds premiums in international markets, taking into account monetary asymmetries relating to information news and directional actions of monetary policy. The monetary determinants which we have used to explore the closed-end fund puzzle emanate from the announcements of official rates of the countries of origin of NAVs. Our conclusions which reflect the investor sentiment as it varies in developing and emerged markets are supported by appropriate monetary assumptions concerning the role of monetary announcements. We find out that neither the expected nor the unexpected component of the monetary rate retains a dominant role in interpreting the fund premiums. In the case of developing funds the age has a negative influence on premium, while in developed funds the main fund’s benchmark index has a positive correlation with the fund premium. Moreover, the foreign exchange rate plays a significantly negative role in the CEFCs of developed countries and a positive role in those of developing markets. But the proxy for the US equity market seems to positively influence the whole range of funds. By examining the possible asymmetries we can see that premiums are negatively affected by unfavorable monetary news. We have also considered the case in which asymmetries on the funds premiums are based on the direction of the monetary policy, as shaped by the decisions of central banks in foreign countries. JEL Classification: G12, G23, E52 Keywords: Closed-end country funds; monetary policy; international markets; asymmetric information.

100-118

Authors: Dimitra Papadopoulou, Christos Nikolaos Tourkolias, Sevastianos Mirasgedis

This paper presents a framework for analyzing in quantitative and monetary terms the macroeconomic effects associated with the construction and operation of large energy investments, including the impact on Gross Domestic Product (GDP), employment and public revenues, by sector of economic activity. The proposed framework has been implemented for analyzing the macroeconomic implications associated with the construction and operation of the Trans-Adriatic Pipeline (TAP) project in Greece. To this end, the input–output methodological framework has been used for estimating the macroeconomic implications of the project under consideration in conjunction with the adjusted earnings gain approach for monetizing the resulting employment effects. The results of the analysis clearly show that the construction activities will create significant direct, indirect and induced benefits to the Greek economy, growing the GDP by €931 million, creating employment benefits amounted to €197 million and contributing €359 million to the treasury. Furthermore, it was estimated that ongoing operation of the pipeline could increase the national GDP at about €17 million, the employment benefits of about €4.7 million and the tax revenues of approximately €6.8 million, on an annual basis and for a period of 50 years. JEL classification: D57, M14 Keywords: macroeconomic effects; input-output analysis; social return on investment; employment benefits; gas pipelines

27-46

Authors: Milton Nektarios, Panos Xenos, George Nektarios, Kostas Poulakis, Michalis Chouzouris

This paper evaluates the efficiency of the twenty-one largest Syndicates of Lloyd’s of London. Members of Lloyd’s of London are grouped into Syndicates in order to undertake insurance liabilities. In this study, the Syndicate is regarded as the counterpart of an insurance company in a regular insurance market. The analysis covers a period of eight years between 2004 and 2011. Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) are used to estimate the efficiency of the Syndicates, and comparisons are made for the consistency of the two methods. The main findings indicate, firstly, that the average annual efficiency estimates for all Syndicates are plausible and they follow three-year cycles. Secondly, the less efficient syndicates may reduce inputs by almost one-third and still produce the same output, provided that they adopt the “best practices” of the most efficient Syndicates. JEL Classification: G22, D24, D22 Keywords: Insurance, Lloyd’s, efficiency, DEA, SFA

67-86

Authors: Alexandros M. Goulielmos

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by ‘standard deviation’. Other risk measures like ‘excess kurtosis’, ‘excess skewness’, ‘long-term dependence’ and the ‘catastrophe propensity’ were ignored. Risk in 1900 was based on the mathematical laws of Chance and influenced greatly by Probability theory due to Pascal and Fermat (1654). Economists, but maritime ones, have understood, however, that the ‘random walk’ model, and the ‘efficient market hypothesis’, failed to interpret reality since Black Monday (1987) at least. The traditional treatment of risk assumes that 95% of the observations fall within 2σ from their mean. However, the daily data of 4 time-charter routes (‘Baltic Panamax Index’, May 1996-February 2012) showed otherwise. Moreover, variance varies from one decade to next, even under stable mean. Risk is related to dispersion, which is defined the same in ‘normal’ and ‘chaotic dynamic systems. All maritime studies (1997-2013), however, reported excess skewness, excess kurtosis, absence of normality and serial correlation...but no remedy provided. As far as the reference to the assumption that observations are ‘independent and identically distributed’ is concerned, maritime time series analysis shows ‘long term dependence’ indicated by a high ‘Hurst exponent’~1. The paper uses ‘Rescaled Range Analysis’-a nonparametric method, to identify the ‘Noah effect’ (i.e. the propensity of time series towards catastrophe; measured by alpha exponent). Combined with nonlinear forecasting methods, short and long term risk is thus in this paper forecast. Finally, it shows using daily data, that ‘risk and dependence’ vary on data’s calendar time used. JEL Classification: C65, C53, E44, G17. Keywords: Risk, excess kurtosis-skewness risk, non-normality risk, long term dependence, ‘Noah’ effect, forecasting catastrophe’s risk, BPI 1996-2012, Hurst exponent.

96-97

Authors: Angelos Kanas

G.C. Bitros and A.D. Karayiannis, 2013, “Creative Crisis in Democracy and Economy” Springer –Verlag, Berlin Heidelberg, ISBN 978-3-642-33421-4. Full Text: