• Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks.

      Apergis, Nicholas; Cooray, Arusha; Curtin University; University of Nottingham Malaysia (Elsevier, 2015-05-09)
      This paper provides new evidence on asymmetric interest rate pass-through in the U.S., the U.K. and the Australian economies by using the Nonlinear Auto-Regressive Distributed Lag model, central bank interest rates, lending and deposit interest rates from selected banks, spanning the period 2000–2013. The results provide evidence that corroborates the asymmetric pass-through market predictions. Robustness tests are also performed by splitting the sample period into that prior to and after the recent financial crisis. The new findings document that the asymmetric character of pass-through remains active only in the case of Australia.
    • Tax‐spend nexus in Greece: are there asymmetries?

      Apergis, Nicholas; Payne, James; Saunoris, James; University of Piraeus; University of South Florida Polytechnic; University of Kentucky (Emerald Group Publishing Limited, 2012)
      The purpose of this paper is to examine the possibility of asymmetries in the budgetary adjustment process. The paper uses the TAR and MTAR models, set forth by Enders and Siklos, for the period 1957 to 2009. Short‐run results indicate unidirectional causality from revenues to expenditures. Long‐run results indicate asymmetric responses by both revenues and expenditures to budgetary disequilibria. With respect to asymmetric adjustment, revenues respond only when the budget is improving whereas expenditures respond faster (in absolute terms) to a worsening budget than for an improving budget.