• Airbnb and hotel revenues in popular Greek destinations

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Emerald, 2020-08-19)
      This paper explores the role of Airbnb listings on hotel revenues in certain popular Greek tourist destinations. The analysis makes use of the panel GMM method, while the findings document that the Airbnb listings exert a negative impact on hotel revenues. Moreover, the results indicate that it is primarily non-business and low-price hotels that are being influenced, while the hotel industry responds to the competition through lower room prices and not through occupancy rates. The paper documents that although the Airbnb is a new factor in the Greek tourism industry, it has turned into a significant competitor against hotels. The findings of this paper are expected to provide further insights into the workings of the sector and the potential regulated policies needed to be adopted by tourism authorities.
    • Credit supply conditions and business cycles: New evidence from bank lending survey data

      Apergis, Nicholas; Chatziantoniou, Ioannis; University of Derby; University of Portsmouth (Elsevier, 2020-09-28)
      In this study, we utilize an Autoregressive Distributed Lag (ARDL) model in order to investigate the impact of changing lending standards on aggregate economic activity, considering the period 2000-2017 and five major economies, that is, Canada, Germany, Japan, the UK, and the US. We capture lending conditions using bank lending survey data that help extract the credit-supply side of the shock and, thus, direct the focus onto loan supply-factors. The main findings document that shocks associated with changes in lending standards play a substantial role in determining changes in real economic activity within each country. It should also be noted that these results remain robust even when we consider a structural break in our data and investigate these effects separately for the period immediately after the outbreak of the Global Financial Crisis of 2007-09. Overall, the findings suggest that bank lending survey data provide important informational content and deepen our understanding regarding changes in real economic activity. On a final note, we provide further insights regarding the relationship of both price and non-price elements of bank lending, particularly considering the risk-taking channel of monetary policy.
    • Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model

      Apergis, Nicholas; Polemis, Michael; University of Derby; University of Piraeus (Incisive Media, 2020-10-09)
      This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from 48 US States, spanning the period January 2001-September 2016, while it employs a novel strategy for electricity supply shocks based on a time-varying Bayesian panel VAR model. It accounts for the decomposition of electricity supply per fuel mixture and links its possible interactions with the US macroeconomic conditions. In that sense, the methodology models the coefficients as a stochastic function of multiple structural characteristics. The findings document that GDP growth increases after a positive electricity supply shock, irrelevant to the source of energy that generates it. The absence of a sluggish adjustment mechanism, may reflect weak competition and significant market power by the incumbents in the electricity industry. Lastly, we argue that the rate of response of GDP growth per capita to electricity supply shocks, provides an indication that a market power effect prevails in the US electricity industry.
    • Energy consumption, carbon dioxide emissions and economic growth: Fresh evidence from 57 countries and panel quantile regressions

      Apergis, Nicholas; Altinoz, Buket; Aslan, Alper; University of Derby; Nisantasi University; Erciyes University (Asian Pacific Economic Association, 2020-09-11)
      This paper analyzes the association across energy consumption, carbon dioxide emissions and economic growth. According to the results of panel quantile regression model for 57 countries from three different regions, deviations from sustainable growth after the middle growth level in the full sample and the European and Asian countries sample are prominent. Similar results are obtained from Middle East and African countries, but the deviations begin earlier. In the case of the Latin American findings, the estimates clearly document that carbon emissions (at all levels) and energy consumption (at the medium and high levels) exert a negative impact on economic growth, indicating the inability of Latin American countries to achieve sustainable economic growth targets.
    • Inflation expectations, volatility and Covid-19: Evidence from the US inflation swap rates

      Apergis, Nicholas; Apergis, Emmanuel; University of Derby; University of Huddersfield (Taylor & Francis, 2020-08-28)
      The goal of this work is to explore the role of the Covid-19 pandemic event in the course of inflation expectations and their volatility through US inflation swap rates. The findings document that inflation expectations and their volatility are positively affected by the Covid-19 pandemic. These results have real activity implications, while close monitoring of inflation expectations could signal inflation expectations un-anchoring risks.
    • Persistence in silver prices and the influence of solar energy

      Apergis, Nicholas; Gil-Alana, Luis; Carmona-González, Nieves; University of Derby; University of Navarra; University Francisco de Vitoria (Elsevier, 2020-09-14)
      This paper deals with the analysis of silver prices and the influence of solar energy production on its behaviour. For this purpose, the analysis uses long memory methods based on fractional integration and cointegration. The results indicate that the two variables are very persistent, though any long run equilibrium relationship between them is not observed. Nevertheless, the results illustrate some short-run negative effects from solar energy capacity on silver prices.
    • The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model

      Apergis, Nicholas; Apergis, Emmanuel; University of Derby; University of Huddersfield (Taylor & Francis, 2020-09-03)
      This paper examines the effect of Covid-19 pandemic on the Chinese stock market returns and their volatility using the generalized autoregressive conditionally heteroskedastic GARCHX model. The GARCHX model allows us to include Covid-19 information within the GARCH framework. The findings document that daily increases in total confirmed Covid-19 cases in China, measured as total daily deaths and cases, have a significant negative impact on stock returns, with the negative impact of the Covid-19 on stock returns being more pronounced when total deaths proxy the effect of this infectious disease. The results also document that Covid-19 has a positive and statistically significant effect on the volatility of these market returns. Overall, new evidence is offered that infectious diseases, such as Covid-19, can seriously impact market returns, as well as their volatility. The findings could be essential in understanding the implications of Covid-19 for the stock market in China.
    • The role of fiscal policy in the link between income inequality and banking crises

      Apergis, Nicholas; University of Derby (Taylor & Francis, 2020-08-16)
      This paper explores the link between income inequality and banking crises, when inequality is affected by fiscal policy. Using a two-stage probit least squares method and a panel of 21 countries, spanning the period 1971-2017, the findings indicate that inequality impacts the probability of banking crises through budget deficits, followed by government expenses.
    • Threshold effects of housing affordability and financial development on the house price-consumption nexus

      Apergis, Nicholas; Coskun, Esra; Coskun, Yener; University of Derby; University of Huddersfield; University of Sheffield (Wiley, 2020-08-28)
      The study explores the asymmetric effect of housing and financial wealth on household consumption behavior using panel data from 24 OECD countries, spanning the period 2000 to 2016 by employing a financial development (FD) index (proxy for financial deepening) and the house price-to-income (HPI) ratio (proxy for housing affordability) through a threshold empirical framework. The analysis tests certain hypotheses, such as: (i) the housing wealth effect on consumption is stronger than its financial counterpart, (ii) overall wealth effects increase (decrease) during bubble (post bubble) periods, (iii) the higher level of financial development and the lower level of housing affordability ratio both result in stronger wealth effects, (iv) increasing wealth effects show a bubble formation. The results suggest that housing wealth has generally a greater positive effect on consumption. The effect of housing and financial wealth on consumption increases, depending on higher financial development and declining housing affordability. The evidence also suggests that the impact of housing and stock market wealth has increased during the dot.com and housing bubble periods.
    • U.S. monetary policy and herding: Evidence from commodity markets

      Apergis, Nicholas; Christou, Christina; Hayat, Tasawar; Saeed, Tareq; University of Derby; Open University of Cyprus; King Abdulaziz University (Springer, 2020-08-28)
      This paper investigates the presence of herding behavior across a spectrum of commodities (i.e., agricultural, energy, precious metals, and metals) futures prices obtained from Datastream. The main novelty of this study is, for the first time in the literature, the explicit investigation of the role of deviations of U.S. monetary policy decisions from a standard Taylor-type monetary rule, in driving herding behavior with respect to commodity futures prices, spanning the period 1990-2017. The results document that the commodity markets are characterized by herding, while such herding behavior is not only driven by U.S. monetary policy decisions, but also such decisions exert asymmetric effects this behavior. An additional novelty of the results is that they document that herding is stronger in discretionary monetary policy regimes.
    • US economic policy uncertainty spillovers to commodity returns: fresh evidence through Granger causality in quantiles

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Wiley, 2021)
      Given the importance of U.S. in global commodity markets, the goal is to explore whether US economic policy uncertainty impacts the price performance of certain commodities. The analysis uses the Granger causality in quantiles method that allows us to test whether there are different effects under different market conditions. The results document that economic uncertainty impacts the returns on the commodities considered, with the effects clustering around the tail of their conditional distribution. Robust evidence was obtained under an alternative definition of uncertainty.