Central bank research hub - Papers by Elias Tzavalis
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Research hub papers by author Elias TzavalisenDealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2136.en.pdf
European Central Bank Working papers by Dimitris Christopoulos, Peter McAdam and Elias TzavalisDealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier2018-03-06T17:30:25ZWe suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and to capture the dependence between the error term and the threshold variable in each regime of the model independently of the marginal distribution of the threshold variable. This distribution can be estimated non-parametrically conditionally on the value of threshold parameter. To estimate the slope and threshold parameters of the model adjusted for the endogeneity of the threshold variable, we suggest a two-step concentrated least squares estimation method where the threshold parameter is estimated based on a search procedure, in the first step. A Monte Carlo study indicates that the suggested method deals with the endogeneity problem of the threshold variable satisfactorily. As an empirical illustration, we estimate a threshold model of the foreign-trade multiplier conditional on the real exchange rate volatility regime. We suggest a bootstrap procedure to examine if there are significant differences in the foreign-trade multiplier effects across the two regimes of the model, under potential endogeneity of the threshold variable.Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplierECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2136.en.pdfPeter McAdamDimitris ChristopoulosElias TzavalisDimitris Christopoulos, Peter McAdam and Elias Tzavalis2018-03European Central Bank Working PapersC12C13C21C22On the determinants of NPLS: lessons from Greece
http://www.bankofgreece.gr/BogEkdoseis/Paper2017220.pdf
Bank of Greece Working Papers by Evangelos Charalambakis, Yiannis Dendramis and Elias TzavalisOn the determinants of NPLS: lessons from Greece2017-03-01T00:02:20ZWe investigate the relationship between non-performing loans (NPLs) and their fundamentals, mainly bank and macroeconomic variables. This is done based on aggregate portfolio loans in the Greek economy. Greece constitutes an interesting case to study the factors determining NPLs, given the pervasive recessionary conditions that have characterized it since the outbreak of its sovereign debt crisis in 2010. We suggest a new econometric framework to study the above relationship which extends the SUR (seemingly unrelated regressions) framework to allow for a common break in its slope coefficient of unknown date. We show that the deterioration in the macroeconomic conditions (captured by very high rates of unemployment) and political uncertainty constitute key factors explaining the sharp rise of NPLs of the Greek banking sector after the first quarter of 2012. With the exception of bank profitability, we find that bank specific variables associated with bank capitalization and liquidity risk seem to determine NPLs only under normal economic conditions.On the determinants of NPLS: lessons from GreeceFull texthttp://www.bankofgreece.gr/BogEkdoseis/Paper2017220.pdfElias TzavalisEvangelos CharalambakisYiannis DendramisEvangelos Charalambakis, Yiannis Dendramis and Elias Tzavalis2017-03Bank of Greece Working PapersC22G01G21