• Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model.

      Apergis, Nicholas; Gozgor, Giray; Lau, Chi Keung Marco; Wang, Shixuan; University of Piraeus; Istanbul Medeniyet University; University of Huddersfield; University of Reading (Elsevier, 2018-11-01)
      The hidden semi-Markov model (HSMM) is more flexible than the hidden Markov model (HMM). As an extension of the HMM, the sojourn time distribution in the HSMM can be explicitly specified by any distribution, either nonparametric or parametric, facilitating the modelling for the stylised features of electricity prices, such as the short-lived spike and the time-varying mean. By using a three-regime HSMM, this paper investigates the hidden regimes in five Australian States (Queensland, New South Wales, Victoria, South Australia, and Tasmania), spanning the period from June 8, 2008 to July 3, 2016. Based on the estimation results, we find evidence that the three hidden regimes correspond to a low-price regime, a high-price regime, and a spike regime. Running the decoding algorithm, the analysis systemically finds the timing of the three regimes, and thus, we link the empirical results to the policy changes in the Australian National Electricity Market. We further discuss the contributing factors for the different characteristics of the Australian electricity markets at the state-level.
    • Effects of export concentration on CO2 emissions in developed countries: an empirical analysis.

      Apergis, Nicholas; Can, Muhlis; Gozgor, Giray; Lau, Chi Keung Marco; University of Piraeus; Hakkari University; Istanbul Medeniyet University; University of Huddersfield (Springer, 2018-03-08)
      This paper provides the evidence on the short- and the long-run effects of the export product concentration on the level of CO2 emissions in 19 developed (high-income) economies, spanning the period 1962−2010. To this end, the paper makes use of the nonlinear panel unit root and cointegration tests with multiple endogenous structural breaks. It also considers the mean group estimations, the autoregressive distributed lag model, and the panel quantile regression estimations. The findings illustrate that the environmental Kuznets curve (EKC) hypothesis is valid in the panel dataset of 19 developed economies. In addition, it documents that a higher level of the product concentration of exports leads to lower CO2 emissions. The results from the panel quantile regressions also indicate that the effect of the export product concentration upon the per capita CO2 emissions is relatively high at the higher quantiles.
    • Good volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets?

      Apergis, Nicholas; Baruník, Jozef; Lau, Chi Keung Marco; University of Piraeus; Charles University; Northumbria University (Elsevier, 2017-06-22)
      Efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-min Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.
    • How deviations from FOMC’s monetary policy decisions from a benchmark monetary policy rule affect bank profitability: evidence from U.S. banks

      Apergis, Nicholas; Lau, Chi Keung Marco; University of Piraeus; Northumbria University (Emerald, 2017-05-22)
      This paper aims to provide fresh empirical evidence on how Federal Open Market Committee (FOMC) monetary policy decisions from a benchmark monetary policy rule affect the profitability of US banking institutions. It thereby provides a link between the literature on central bank monetary policy implementation through monetary rules and banks’ profitability. It uses a novel data set from 11,894 US banks, spanning the period 1990 to 2013. The empirical findings show that deviations of FOMC monetary policy decisions from a number of benchmark linear and non-linear monetary (Taylor type) rules exert a negative and statistically significant impact on banks’ profitability.
    • Media sentiment and CDS spread spillovers: evidence from the GIIPS countries.

      Apergis, Nicholas; Lau, Chi Keung Marco; Yarovaya, Larisa; University of Piraeus; Northumbria University; Anglia Ruskin University (Elsevier., 2016-06-30)
      This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009–2012. Using panel ARDL and asymmetric conditional volatility modeling methods, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.