Outputs (11)

Forward Guidance and Corporate Lending (2021)
Journal Article
Delis, M., Hong, S., Paltalidis, N., & Philip, D. (2022). Forward Guidance and Corporate Lending. Review of Finance, 26(4), 899-935. https://doi.org/10.1093/rof/rfab027

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis,... Read More about Forward Guidance and Corporate Lending.

Reaching for Yield and the Diabolic Loop in a Monetary Union (2020)
Journal Article
Boubaker, S., Gounopoulos, D., Nguyen, D., & Paltalidis, N. (2020). Reaching for Yield and the Diabolic Loop in a Monetary Union. Journal of International Money and Finance, 108, Article 102157. https://doi.org/10.1016/j.jimonfin.2020.102157

We use the theoretical framework of Acharya and Naqvi (2019) to introduce a macro-financial model where the “reaching for yield” incentivized by a loosening monetary policy in the United States mitigates the diabolic loop in a Monetary Union. We prov... Read More about Reaching for Yield and the Diabolic Loop in a Monetary Union.

Tail Risks in Credit, Commodity, and Shipping Markets (2018)
Book Chapter
Gounopoulos, D., & Paltalidis, N. (2018). Tail Risks in Credit, Commodity, and Shipping Markets. In S. Gong, & K. Cullinane (Eds.), Finance and risk management for international logistics and the supply chain (129-166). Elsevier. https://doi.org/10.1016/b978-0-12-813830-4.00006-x

We employ several copula functions to capture conditional and tail dependence during periods of extreme volatility and reverse conditions between shipping, financial, commodity, and credit markets. We find that shocks in the shipping market coincide... Read More about Tail Risks in Credit, Commodity, and Shipping Markets.

Reprint of: Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives (2018)
Journal Article
Boubaker, S., Gounopoulos, D., Nguyen, D. K., & Paltalidis, N. (2018). Reprint of: Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. Journal of Banking and Finance, 92, 340-357. https://doi.org/10.1016/j.jbankfin.2018.03.003

This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a c... Read More about Reprint of: Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives.

Fiscal Policy Interventions at the Zero Lower Bound (2018)
Journal Article
Boubaker, S., Nguyen, D., & Paltalidis, N. (2018). Fiscal Policy Interventions at the Zero Lower Bound. Journal of Economic Dynamics and Control, 93, 297-314. https://doi.org/10.1016/j.jedc.2018.01.048

We build on a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model to explore the macroeconomic consequences of fiscal expansionary shocks during the economic crisis of 2008 in the eurozone. In this setting, we find that the big four eur... Read More about Fiscal Policy Interventions at the Zero Lower Bound.

Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives (2016)
Journal Article
Boubaker, S., Gounopoulos, D., Nguyen, D., & Paltalidis, N. (2017). Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. Journal of Banking and Finance, 77, 35-52. https://doi.org/10.1016/j.jbankfin.2016.12.007

This study quantifies the effects of persistently low interest rates near to the zero lower bound and the unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and... Read More about Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives.

The quest for banking stability in the euro area: The role of government interventions (2015)
Journal Article
Kizys, R., Paltalidis, N., & Vergos, K. (2016). The quest for banking stability in the euro area: The role of government interventions. Journal of International Financial Markets, Institutions and Money, 40, 111-133. https://doi.org/10.1016/j.intfin.2015.09.001

We build upon a Markov-Switching Bayesian Vector Autoregression (MSBVAR) model to study how the credit default swaps market in the euro area becomes an important chain in the propagation of shocks through the entire financial system. The study sheds... Read More about The quest for banking stability in the euro area: The role of government interventions.

Transmission Channels of Systemic Risk and Contagion in the European Financial Network (2015)
Journal Article
Paltalidis, N., Gounopoulos, D., Kizys, R., & Koutelidakis, Y. (2015). Transmission Channels of Systemic Risk and Contagion in the European Financial Network. Journal of Banking and Finance, 61(1), S36-S52. https://doi.org/10.1016/j.jbankfin.2015.03.021

We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations... Read More about Transmission Channels of Systemic Risk and Contagion in the European Financial Network.

Asymmetric Dependence in International Currency Markets (2012)
Journal Article
Paltalidis, N., & Patsika, V. (2012). Asymmetric Dependence in International Currency Markets. European Journal of Finance, 26(10), 994-1017. https://doi.org/10.1080/1351847x.2019.1650089

We find new channels for the transmission of shocks in international currencies, by developing a model in which shock propagations evolve from domestic stock markets, liquidity, credit risk and growth channels. We employ symmetric and asymmetric copu... Read More about Asymmetric Dependence in International Currency Markets.

Financial crises and stock market contagion in a multi-variate time varying asymmetric framework. (2010)
Journal Article
Kenourgios, D., Samitas, A., & Paltalidis, N. (2011). Financial crises and stock market contagion in a multi-variate time varying asymmetric framework. Journal of International Financial Markets, Institutions and Money, 21(1), 92-106. https://doi.org/10.1016/j.intfin.2010.08.005

This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financ... Read More about Financial crises and stock market contagion in a multi-variate time varying asymmetric framework..