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Articles 1 - 21 of 21
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Oil Prices And The Impact Of The Financial Crisis Of 2007-2009, Anastasios G. Malliaris, Ramaprasad Bhar
Oil Prices And The Impact Of The Financial Crisis Of 2007-2009, Anastasios G. Malliaris, Ramaprasad Bhar
A. (Tassos) Malliaris
Oil prices increased dramatically during 2004–2006. Industry experts initially attributed these price increases to fundamental factors such as the rise in global demand, but also because of disruptions in the supply of oil. The price increases however were so substantial that additional factors are needed to explain such dramatic changes. We propose that the decline in the value of the U.S. dollar measured both by the appreciation of the Euro and of gold prices, played an important role as oil suppliers demanded compensation for the declining value of the dollar. Using a Markov switching regime methodology we find evidence that …
Us Inflation And Commodity Prices: Analytical And Empirical Issues, Anastasios G. Malliaris
Us Inflation And Commodity Prices: Analytical And Empirical Issues, Anastasios G. Malliaris
A. (Tassos) Malliaris
This paper reviews both theoretical and empirical issues regarding inflation and evaluates the contribution of Kyrtsou and Labys. Analytically it is very difficult to propose a general theory of inflation because as economies evolve over time both new causes of inflation emerge and the consequences of inflation become more complex. Kyrtsou and Labys perform several tests between the Primary Commodity Price component of the PPI and the CPI and construct a noisy chaotic multivariate model that describes the relationship between these two measures of inflation.
Recent Monetary Policy In The U.S.: Risk Management Of Asset Bubbles, Anastasios G. Malliaris, Marc D. Hayford
Recent Monetary Policy In The U.S.: Risk Management Of Asset Bubbles, Anastasios G. Malliaris, Marc D. Hayford
A. (Tassos) Malliaris
Recently Chairman Greenspan (2003 and 2004) has discussed a risk management approach to the implementation of monetary policy. This paper explores the economic environment of the 1990s and the policy dilemmas the Fed faced given the stock boom from the mid to late 1990s to after the bust in 2000-2001. Drawing on Greenspan's comments about conducting monetary policy in the real world of risk and uncertainty, the paper assesses why US monetary policy was neutral with respect to the stock market boom.
Quantitative Easing And The U.S. Stock Market: A Decision Tree Analysis, Anastasios G. Malliaris, Mary Malliaris, Ramaprasad Bhar
Quantitative Easing And The U.S. Stock Market: A Decision Tree Analysis, Anastasios G. Malliaris, Mary Malliaris, Ramaprasad Bhar
A. (Tassos) Malliaris
The Financial Crisis of 2007-09 caused the U.S. economy to experience a relatively long recession from December 2007 to June 2009. Both the U.S. government and the Federal Reserve undertook expansive fiscal and monetary policies to minimize both the severity and length of the recession. Most notably, the Federal Reserve initiated three rounds of unconventional monetary policies known as Quantitative Easing. These policies were intended to reduce long-term interest rates when the short term federal funds rates had reached the zero lower bound and could not become negative. It was argued that the lowering of longer-term interest rates would help …
Revisiting U.S. Stock Market Returns: Individual Retirement Accounts, Anastasios G. Malliaris
Revisiting U.S. Stock Market Returns: Individual Retirement Accounts, Anastasios G. Malliaris
A. (Tassos) Malliaris
Numerous studies have estimated U.S. stock market returns measured by various indexes such as the S&P 500 Index over certain periods. The purpose of this paper is twofold: first we calculate, under certain scenarios, the final total accumulation of a representative individual who invests a certain amount of funds per month during a long investment horizon of say 30 or 40 years. Second, we evaluate the performance of such an investment plan of defined monthly contributions. This evaluation is based on a benefit target and working backwards we compute the necessary monthly contributions. In our calculations we use actual monthly …
Nafta: Past, Present And Future, Anastasios G. Malliaris, Alexander J. Kondonassis, Chris Paraskevopoulos
Nafta: Past, Present And Future, Anastasios G. Malliaris, Alexander J. Kondonassis, Chris Paraskevopoulos
A. (Tassos) Malliaris
The North American Free Trade Agreement (NAFTA) – an extension of the Free Trade Agreement (FTA) between Canada and USA to include Mexico – went into effect on January 1, 1994, primarily as an agreement to eliminate restrictions on trade and investment over the course of twelve years. NAFTA is a trade agreement and after twelve years remains as such with limited prospects, if any, of widening or deepening the integration process. Despite its narrow scope, the agreement became, from the start, controversial – and continues to be so – not only for trade and investment matters but for a …
N-Tuple S&P 500 Index Patterns Across Decades, 1950s To 2011, Anastasios G. Malliaris, Mary Malliaris
N-Tuple S&P 500 Index Patterns Across Decades, 1950s To 2011, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
Numerous studies have analyzed the movements of the S&P 500 Index using several methodologies such as technical analysis, econometric modeling, time series techniques and theories from behavioral finance. In this paper we take a novel approach. We use daily closing prices for the S&P 500 Index for a very long period from 1/3/1950 to 7/19/2011 for a total of 15,488 daily observations. We then investigate the up and down movements and their combinations for 1 to 7 days giving us multiple possible patterns for over six decades. Some patterns of each type are more dominant across decades. We split the …
What Drives Gold Returns? A Decision Tree Analysis, Anastasios G. Malliaris, Mary Malliaris
What Drives Gold Returns? A Decision Tree Analysis, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises, and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that …
Understanding Financial Risk Through Complexity: Application To Real Time Series, Catherine Kyrtsou, Anastasios Malliaris, Christina Mikropoulou
Understanding Financial Risk Through Complexity: Application To Real Time Series, Catherine Kyrtsou, Anastasios Malliaris, Christina Mikropoulou
A. (Tassos) Malliaris
No abstract provided.
The Impact Of Large-Scale Asset Purchases On The S&P 500 Index, Long-Term Interest Rates And Unemployment, Anastasios G. Malliaris, Ramaprasad Bhar
The Impact Of Large-Scale Asset Purchases On The S&P 500 Index, Long-Term Interest Rates And Unemployment, Anastasios G. Malliaris, Ramaprasad Bhar
A. (Tassos) Malliaris
After the bankruptcy of Lehman Brothers in September 2008 and the financial panic that ensued, the Federal Reserve moved rapidly to reduce the federal funds rate to .25%. It was quickly judged that additional measures were needed to stabilize the US economy. Beginning in December 2008, the Federal Reserve Bank initiated three rounds of unconventional monetary policies known as quantitative easing (QE). These policies were intended to reduce long-term interest rates when the short-term federal funds rates had reached the zero lower bound and could not become negative. It was argued that the lowering of longer-term interest rates would help …
Nonlinear Bivariate Comovements Of Asset Prices: Theory And Tests, Anastasios G. Malliaris, Marco Corazza, Elisa Scalco
Nonlinear Bivariate Comovements Of Asset Prices: Theory And Tests, Anastasios G. Malliaris, Marco Corazza, Elisa Scalco
A. (Tassos) Malliaris
Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international mean-variance portfolios and also, they are useful in investigating the extent of integration among financial markets. In this paper we propose a new methodology for the non-linear modelling of bivariate comovements. Our approach extends the ones presented in the recent literature. In fact, our methodology, outlined in three steps, allows the evaluation and the statistical testing of non-linearly driven comovements between two given random variables. Moreover, when such a …
Episodic Nonlinearity In Leading Global Currencies, Anastasios G. Malliaris, Apostolos Serletis, Melvin J. Hinich, Periklis Gogas
Episodic Nonlinearity In Leading Global Currencies, Anastasios G. Malliaris, Apostolos Serletis, Melvin J. Hinich, Periklis Gogas
A. (Tassos) Malliaris
We perform non-linearity tests using daily data for leading currencies that include the Australian dollar, British pound, Brazilian real, Canadian dollar, euro, Japanese yen, Mexican peso, and the Swiss franc to resolve the issue of whether these currencies are driven by fundamentals or exogenous shocks to the global economy. In particular, we use a new method of testing for linear and nonlinear lead/lag relationships between time series, introduced by Brooks and Hinich (1999), based on the concepts of cross-correlation and crossbicorrelation. Our evidence points to a relatively rare episodic nonlinearity within and across foreign exchange rates. We also test the …
Asset Prices And The Financial Crisis Of 2007-2009: Overview Of Theories And Policies, Anastasios G. Malliaris, Daniels Hayford
Asset Prices And The Financial Crisis Of 2007-2009: Overview Of Theories And Policies, Anastasios G. Malliaris, Daniels Hayford
A. (Tassos) Malliaris
The financial crisis of 2007–09 has led to a rethinking of the role of monetary and financial regulatory policy. It has also called into question the benefits of financial innovation and monetary policy that focuses solely on inflation and the output gap. This paper discusses financial instabilities in general, the recent financial crisis as well as the appropriate role of monetary and financial regulatory policy in dealing with asset bubbles. The paper concludes by evaluating appropriate policies to reduce the economic impact of future financial crises.
Investment Principles For Individual Retirement Accounts, Anastasios G. Malliaris, Mary Malliaris
Investment Principles For Individual Retirement Accounts, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
The phenomenal growth of individual retirement accounts in the US, and globally, challenges both individuals and their advisors to rationally manage these investments. The two essential differences between an individual retirement account and an institutional portfolio are the length of the investment horizon and the regularity of monthly contributions. The purpose of this paper is to contrast principles of institutional investing with the management of individual retirement accounts. Using monthly historical data from 1926 to 2005 we evaluate the suitability for managing individual retirement portfolios of seven principles employed in institutional investing. We discover that some of these guidelines can …
Modeling Federal Funds Rates: A Comparison Of Four Methodologies, Anastasios G. Malliaris, Mary Malliaris
Modeling Federal Funds Rates: A Comparison Of Four Methodologies, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
Monthly Federal Fund interest rate values, set by the Federal Open Market Committee, have been the subject of much speculation prior to the announcement of their new values each period. In this study we use four competing methodologies to model and forecast the behavior of these short term Federal Fund interest rates. These methodologies are: time series, Taylor, econometric and neural network. The time series forecasts use only past values of Federal Funds rates. The celebrated Taylor rule methodology theorizes that the Federal Fund rate values are influenced solely by deviations from a desired level of inflation and from potential …
Are Oil, Gold And The Euro Inter-Related? Time Series And Neural Network Analysis, Anastasios G. Malliaris, Mary Malliaris
Are Oil, Gold And The Euro Inter-Related? Time Series And Neural Network Analysis, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that …
Are Foreign Currency Markets Interdependent? Evidence From Data Mining Technologies, Anastasios G. Malliaris, Mary Malliaris
Are Foreign Currency Markets Interdependent? Evidence From Data Mining Technologies, Anastasios G. Malliaris, Mary Malliaris
A. (Tassos) Malliaris
This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and Generalized Rule Induction (GRI) to uncover patterns among daily cash closing prices of eight currency markets. Data from 2000 through 2009 is used, with the last year held out to test the robustness of the rules found in the previous nine years. Results from the two methodologies are contrasted. A number of rules which perform well in both the training and testing years are discussed as empirical evidence of interdependence among foreign currency markets. The mechanical rules identified in this paper can usefully supplement other types of …
Energy Sector Pricing: One The Role Of Neglected Nonlinearity, Anastasios G. Malliaris, Catherine Kyrtsou, Apostolos Serletis
Energy Sector Pricing: One The Role Of Neglected Nonlinearity, Anastasios G. Malliaris, Catherine Kyrtsou, Apostolos Serletis
A. (Tassos) Malliaris
Modern economies have been subjected to a number of shocks during the past several years such as the burst of the Internet bubble, terrorist attacks, corporate scandals, the war in Iraq, the uncertainty about energy prices, and the recent subprime mortgage crisis. In particular, during the last few years, the energy shock has caused concerns for potential stagflation for both the United States and numerous other countries. We perform numerous univariate tests for non-linearity and chaotic structure using price data from the energy sector to resolve whether the sector's fundamentals or exogenous shocks drive these prices.
Asset Price Momentum And Monetary Policy: Time-Varying Parameter Estimation Of Taylor Rules, Anastasios G. Malliaris, Ramaprasad Bhar
Asset Price Momentum And Monetary Policy: Time-Varying Parameter Estimation Of Taylor Rules, Anastasios G. Malliaris, Ramaprasad Bhar
A. (Tassos) Malliaris
In this article, we consider two new independent variables as inputs to the Taylor Rule. These are the equity and housing momentum variables and are introduced to investigate the potential usefulness of these two variables in guiding the Fed to lean against potential bubbles. Such effectiveness cannot adequately be evaluated if the Taylor Rule estimation follows the standard regression methodology that has been criticized in the literature to be econometrically incorrect. Using a time-varying parameter estimation methodology, we find that equity momentum as an input in the Taylor Rule does not contribute to changes in Fed Funds. However, the housing …
Asymmetrical Economic And Institutional Changes In The Western Balkans: Cooperation With The European Union, Anastasios G. Malliaris, Alexander J. Kondonassis, Chistos C. Paraskevopoulos
Asymmetrical Economic And Institutional Changes In The Western Balkans: Cooperation With The European Union, Anastasios G. Malliaris, Alexander J. Kondonassis, Chistos C. Paraskevopoulos
A. (Tassos) Malliaris
The Western Balkans have historically been a poor area of Europe. The total population of the Western Balkans is 24.7 million. Ethnic differences of long standing have led to conflicts and to political and economic instability. Poverty and instability have combined to produce a vicious circle of institutional backwardness. Recent conflicts in Croatia, Bosnia-Herzegovina and Kosovo have aggravated an already adverse economic situation. GDP in 1999 was substantially lower than that in 1989. The EU plans to enter into contractual relationships with all the Western Balkans in the form of Stabilization and Association Agreements (SAAs). The pacts are aimed at …
Dividends, Momentum And Macroeconomic Variables As Determinants Of The U.S. Equity Premium Across Economic Regimes, Anastasios G. Malliaris, Ramaprasad Bhar
Dividends, Momentum And Macroeconomic Variables As Determinants Of The U.S. Equity Premium Across Economic Regimes, Anastasios G. Malliaris, Ramaprasad Bhar
A. (Tassos) Malliaris
The equity premium of the S&P 500 index is explained in this paper by several variables that can be grouped into fundamental, behavioral, and macroeconomic factors. We hypothesize that the statistical significance of these variables changes across economic regimes. The three regimes we consider are the low‐volatility, medium‐volatility, and high‐volatility regimes in contrast to previous studies that do not differentiate across economic regimes. By using the three‐state Markov switching regime econometric methodology, we confirm that the statistical significance of the independent variables representing fundamentals, macroeconomic conditions, and a behavioral variable changes across economic regimes. Our findings offer an improved understanding …