• Mitigation processes – antecedents for building supply chain resilience.

      Scholten, Kirstin; Sharkey Scott, Pamela; Fynes, Brian; University College Dublin; University of Groningen; Dublin Institute of Technology (Emerald, 2014-03-04)
      This study aims to combine theory and practice to develop an integrated supply chain resilience framework by investigating the inter-dependencies between the strategic literature based concept of supply chain resilience and operational practitioner based disaster management processes. Utilising an in-depth qualitative case of a collaborative agency, this study identifies best practices within disaster management for insights on the operationalisation of supply chain resilience. The empirical data leads to the development of an integrated supply chain resilience framework capturing the interplay of disaster management processes and capabilities required to build supply chain resilience. The critical importance of mitigation processes in building supply chain resilience is highlighted. The generic supply chain resilience framework represents a valuable guide for managers when directing resources and planning for building the capabilities required in each phase of disaster management, while remaining strategically focused. The value of the framework is demonstrated by a retrospective analysis of aid operations in response to Hurricane Katrina. The study's results are the first to bridge theory and practice on supply chain resilience. By utilising the unique humanitarian aid disaster supply chain management context, a two-way knowledge and learning flow between humanitarian and commercial organisations is established.
    • Modeling the time varying volatility of housing returns: Further evidence from the U.S. Metropolitan condominium markets

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas, El Paso (Wiley, 2019-04-22)
      This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The results from an ARMA-TGARCH-M model reveal the absence of asymmetry in the conditional variance. Dummy variables associated with the housing market collapse unique to each metropolitan area were statistically insignificant in the conditional variance equation, but negative and statistically significant in the mean equation. Condominium markets in Los Angeles and San Francisco exhibit the greatest persistence to volatility shocks.
    • Monetary policy and commodity markets: unconventional versus conventional impact and the role of economic uncertainty

      Apergis, Nicholas; Chatzianoniou, Ioannis; Cooray, Arusha; University of Derby; University of Portsmouth; Embassy of Sri Lanka in Oslo; Centre for Poverty Analysis, Sri Lanka (Elsevier, 2020-06-20)
      This study explores the impact of both conventional and unconventional monetary policies in the US and the Euro area on the mean and volatility of certain commodity prices. The analysis considers the prices of eight commodities, i.e. oil, natural gas, gold, silver, aluminium, copper, platinum, and nickel, while the methodology employs the EGARCH-X modelling approach. The empirical findings clearly document that (i) the direction of the impact of both conventional and unconventional monetary policy on commodity returns and commodity volatility is similar and (ii) the impact from unconventional monetary policy on both commodity returns and volatility is relatively more pronounced, while these findings hold valid, irrespective of the geographical region and commodity type. Further investigation of the disparity on the size of the impact through the prism of economic uncertainty reveals that unconventional monetary policy has a stronger effect on economic uncertainty, thereby offering an indirect channel of monetary policy transmission on commodity markets.
    • Monetary policy and macroprudential policy: new evidence from a world panel of countries.

      Apergis, Nicholas; University of Piraeus (Wiley., 2017-03-24)
      The event of the recent financial crisis raises the question of whether policy makers could have done more or something different to prevent the build‐up of financial imbalances. This paper contributes to the field of regulatory impact by tackling the debate on whether central banks should ‘lean against the wind’, while in case the response is positive, how macroprudential policies should be combined with monetary policy. Using an augmented Taylor rule and a sample of 127 global economies, the results provide evidence on the importance of macroprudential issues for the implementation of an effective monetary policy. They also document that the type of adopted macroprudential instrument has a substantial effect on such effectiveness, with this policy mix being less ‘integrated’ when the monetary rule aims at primarily safeguarding inflation stability. The results survive robustness checks under alternative assets.
    • Monetary policy and the gender pay gap: Evidence from UK households

      Apergis, Nicholas; Hayat, Tasawar; Kadasah, Nasser; University of Derby; King Abdulaziz University (Taylor & Francis, 2019-04-16)
      This paper studies how monetary policy decisions affect the gender pay gap across UK households through a survey database. The results signify the impact of monetary policy shocks on the gap; monetary authorities’ decisions carry welfare effects for households through their pay income.
    • Monetary policy design and the buffer–stock hypothesis: further evidence from European Union countries

      Apergis, Nicholas; University of Macedonia (Taylor & Francis, 1999)
      The buffer-stock hypothesis is examined through a structural vector autoregression (SVAR) model across European Union (EU) countries. Variance decompositions do not provide uniform evidence in favour of the buffer-stock hypothesis in all case studies. The results are very important for the design of monetary policy within EU.
    • Monetary policy rules and the equity risk premium: Evidence from the US experience.

      Apergis, Nicholas; Payne, James; University of Piraeus; Benedictine University (Wiley., 2018-04-23)
      This study explores the role of monetary policy rules and central bank actions originating from such rules that directly affects the equity risk premium. The results indicate that monetary policy rules have a direct impact on the equity risk premium through investors’ appetite for risk and greater uncertainty faced by market participants. The analysis includes the pre‐ and post‐2008 financial crisis periods in finding that monetary policy actions had a much greater impact on the equity risk premium in the post‐2008 crisis period due in part to the funding conditions of banking intermediaries, thus exerting a greater impact on credit conditions during this period.
    • The monetary policy transmission mechanism and the role of money market funds in the Eurozone

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Scimago Journal, 2020-05-06)
      This paper investigates the pass-through mechanism of monetary policy through money market funds and bank loan rates under conventional and unconventional monetary policy. Using the Autoregressive Distributed Lag method, spanning the period 2003-2018, the findings document that the pass-through of bank loan rates is weaker than that of MMF rates (0.642 vs 1.044, respectively), especially during the unconventional monetary policy period (0.637 vs 1.568, respectively). They highlight that in this period, banks earned less from traditional lending business, due to low or even negative rates, while taking increasingly large risks.
    • Monetary volatility, real volatility, and real exchange rate

      Apergis, Nicholas; Katrakilidis, Costas; University of Macedonia; Aristotelian University of Thessaloniki (Springer, 1996-11)
    • Money supply, consumption and deregulation: the case of Greece

      Apergis, Nicholas; Varelas, Erotokritos; Velentzas, Kostas; University of Macedonia; University of Macedonia; University of Macedonia (Taylor & Francis, 2000)
      This paper investigates empirically the impact of monetary deregulation that occurred in 1988 on the relationship betwen consumption and money supply in Greece. The results provide evidence that the deregulation has significantly affected the behaviour of consumption.
    • Mood effects in optimal debt contracts.

      Apergis, Nicholas; Voliotis, Dimitrios; University of Piraeus (Elsevier., 2016-03-11)
      The impact of strong emotions or mood on decision making and risk taking is well recognized in behavioral economics and finance. Yet, and in spite of the immense interest, no study, so far, has provided any comprehensive evidence on the impact of such emotions on financial contracts and particularly on debt contracts. This paper provides the theoretical framework to study the impact of mood on financial contracting.
    • Natural disasters and housing prices: Fresh evidence from a global country sample

      Apergis, Nicholas; University of Derby (Asian Real Estate Society, 2020)
      Given that the literature on the impact of natural disasters on house prices is highly limited, this paper combines data on natural disasters and house prices from 117 countries, spanning the period 2000-2018 and a panel regression method to estimate the effects of natural disasters on house prices. The findings document that natural disasters lead to lower house prices, with the results surviving a number of robustness tests. When examining the impacts of natural disasters by type, the findings highlight that geological disasters exert the strongest (negative) impact on house prices. The results also illustrate the negative impact of those disasters on house prices when the distinction between small and large disasters is also accounted. The findings provide important implications for policymakers and property investors. Lower house prices in countries experience natural disasters events could significantly signify lower consumption and investment (the wealth effect), with further negative spillovers to the real economy. Economic policymakers could implement low-tax policies or quantitative easing schemes to support these areas/countries. The findings exemplify the need of governments and policymakers to mitigate climate change effects on housing by adopting new, more environmentally friendly technologies and energy sources.
    • New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors.

      Apergis, Nicholas; University of Piraeus (Wiley, 2016-11-16)
      This paper investigates the impact of both asset and macroeconomic forecast errors on inflation forecast errors in the USA by making use of a two‐regime model. The findings document a significant contribution of both types of forecast errors to the explanation of inflation forecast errors, with the pass‐through being stronger when these errors move within the high‐volatility regime.
    • New Evidence on the Information and Predictive Content of the Baltic Dry Index

      Apergis, Nicholas; Payne, James; University of Piraeus; University of New Orleans (MDPI, 2013-07-24)
      This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.
    • A new macro stress testing approach for financial realignment in the Eurozone

      Apergis, Nicholas; Apergis, Emmanuel; Apergis, Hercules; University of Derby; University of Kent (Elsevier, 2019-02-12)
      Contrary to the common approach of stress-testing under which banks are evaluated whether they are distressed, this empirical study chooses to move from the micro stress test approach to a wider new macro stress test category. By being able to stress testing the entire economy of the Eurozone, it will permit big banks to fail and, at the same time, will open room for new banking players to enter the sector, promoting the essence of a healthy destruction. The analysis performs a battery of stress tests, by implementing VaR, Cornish-Fisher VaR, Monte Carlo VaR, Expected Shortfall, Cornish-Fisher Expected Shortfall, and Monte Carlo Expected Shortfall. At the same time, it explicitly considers the new regulatory approach of IFRS9 to incorporate extreme values from forecasted series in the distributions. The analysis also performs two versions of stress tests, one including TARGET2 and one without it. The results document that future stress tests should include TARGET2 values in order to capture a better picture of the stressed economy. The findings from these stress tests clearly illustrate that although there has been a trough after the distress call of 2008, this trough ended. These are results derived without including the TARGET2 transfers. By including the TARGET2 transfers we receive a different picture that possibly acts as a protective mechanism against any future crisis. Caution is still advised, possibly due to some lingering imbalances within the Eurozone.
    • A new methodological perspective on the impact of energy consumption on economic growth: time series evidence based on the Fourier approximation for solar energy in the US

      Apergis, Nicholas; Bulut, Unit; University of Derby; Kirsehir Ahi Evran University (Springer, 2020-03-03)
      From the empirical energy literature, it is observed that studies focusing on the energy-economic growth nexus ignore the possible existence of gradual breaks as they employ methods without or with sharp structural breaks. Therefore, one can argue that they may yield biased and inefficient output in the presence of gradual breaks. The goal of this paper is to investigate the impact of solar energy consumption on GDP utilizing quarterly data over the period 1984–2018 for the USA. For this purpose, the paper performs a unit root test and a cointegration test that are based on the Fourier approximation to take gradual breaks into account. The paper also performs the dynamic ordinary least squares estimator to estimate long-run parameters. The findings document that there exists cointegration in the empirical model and that GDP is positively associated with solar energy consumption. Some implications based on the empirical findings are presented in the paper.
    • Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes.

      Apergis, Nicholas; Curtin University (Elsevier, 2015-01-09)
      The paper examines the role of newswire messages during the European debt crisis. In particular, this study quantifies how this news metric, revealed by statements electronically recorded, as well as by newspaper articles, affects credit ratings. Through a sample of three European countries with sovereign debt problems and under strict austerity programmes, i.e., Greece, Ireland, and Portugal, daily data spanning the period of 2009 to 2011, and parametric, nonparametric and ordered probit panel methodologies, the obtained results document that the news variable significantly affects credit ratings, particularly when news comes from market sources but less so when the news is from politicians.
    • The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration

      Apergis, Nicholas; Payne, James; University of Piraeus; Georgia College & State University (Elsevier, 2014-09-16)
      This study re-examines the impact of oil abundance on economic growth in a number of MENA (Middle East and North African) countries for the period 1990–2013. Given the number of economic and institutional reforms undertaken by these countries in recent years, we incorporate measures of institutional quality to evaluate if oil abundance impacts economic growth differently. The results from time-varying cointegration reveal that better institutional quality reduces the unfavorable effect of oil reserves on the performance of the real economy.
    • Oil reserve life and the influence of crude oil prices: An analysis of Texas reserves.

      Apergis, Nicholas; Ewing, Bradley; Payne, James; University of Piraeus; Texas Tech University; Georgia College & State University (Elsevier., 2016-02-27)
      Oil producing exploration and production companies generate revenue from reserves which, from any given well, are depleting over time. The reserve life index measures how long reserves would last at the current production rate if there were no additions to reserves. In this study, we examine the time series behavior of the reserve life index for each of the twelve onshore oil producing districts in Texas. Specifically, we model the relationship between reserve life and the real price of oil within a nonlinear ARDL framework. Among the results, we find evidence of both long-run and short-run asymmetries in the response of reserve life to increases/decreases in real oil prices. Further, the magnitude of the effect is greater for positive changes in real oil prices than for negative changes in real oil prices. The findings are important to operators, investors and policymakers interested in sustainability.
    • Old Wine in a New Bottle: Growth Convergence Dynamics in the EU

      Apergis, Nicholas; University of Piraeus (Springer, 2010-06)
      In this paper, we explore convergence of real per capita output across the European Union (EU) countries, as well as the transitional behavior of possible underlying factors that are responsible for any convergence or divergence pattern. The new panel convergence methodology developed by Phillips and Sul (2007) is employed in a production function growth accounting approach and data from the Total Economy Database and the Total Economy Growth Accounting Database. The empirical findings suggest that the EU countries form two distinct convergent clubs, exhibiting considerable heterogeneity in the underlying growth factors. These findings should help policy makers in designing appropriate growth-oriented programs as well as in setting priorities in their implementation.