Search results
1 – 7 of 7Michael Demoussis, Konstantinos Drakos and Nicholas Giannakopoulos
The purpose of this paper is to investigate credit rationing across firms in euro zone countries, as it relates to its own sovereign credit ratings.
Abstract
Purpose
The purpose of this paper is to investigate credit rationing across firms in euro zone countries, as it relates to its own sovereign credit ratings.
Design/methodology/approach
The authors utilize firm-level data from the Survey on Access to Finance of Enterprises for the period 2009-2013 conducted by the European Central Bank.
Findings
A negative association between the rating of sovereign creditworthiness and credit rationing is identified, while credit rationing varies substantially even among countries with the highest quality of sovereign bonds. Credit rationing is lower in sovereigns with high-quality ratings and higher in sovereigns near default. These results remain intact when fundamental firm characteristics (e.g. firm’s age and size, sector of economic activity, financial situation, etc.) are taken into consideration. This indicates that the interconnection of sovereign debt risk with domestic credit market outcomes is robust.
Originality/value
The present study contributes to the relevant literature by performing a detailed analysis of credit rationing for euro zone SMEs and by exploring the link between sovereign credit rating and credit rationing during the sovereign debt crisis period.
Details
Keywords
The purpose of this paper is to explore the determinants of the cross‐market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national…
Abstract
Purpose
The purpose of this paper is to explore the determinants of the cross‐market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national stock markets.
Design/methodology/approach
The paper generates daily abnormal returns from a three‐factor world asset‐pricing model. Abnormal returns are then regressed on proxies of three transmission mechanisms; a world integration channel, a bilateral integration channel, and a liquidity channel.
Findings
The findings indicate that terrorism shocks are diffused cross‐nationally in a non‐uniform manner. This paper finds empirical support for all three channels when considered separately. The bilateral integration channel contains the highest explanatory power since it is found that a third country's trade linkages with the “ground‐zero” country explain about 24 percent of the stock market reaction. A country's share in the world trade, a proxy for the world integration channel, is able to explain about 12 percent of abnormal‐return variation, while the liquidity channel exhibits the lowest predictive power, with the value of stock trading explaining about 6 percent. A hybrid model, where proxies for all channels are included, shows that only the bilateral trade linkages with the “ground‐zero” country are significant determinants of the stock market reaction.
Practical implications
Provides evidence useful for portfolio management and authorities' assessment of terrorist shocks' impact on capital markets.
Originality/value
It is the first study that investigates the determinants of cross‐market transmission of terrorist shocks.
Details
Keywords
The purpose of this paper is to investigate whether there are any differences in the capitalization speed‐of‐adjustment across regulatory capitalization buckets of commercial…
Abstract
Purpose
The purpose of this paper is to investigate whether there are any differences in the capitalization speed‐of‐adjustment across regulatory capitalization buckets of commercial banks in the USA, for the period 2002‐2009.
Design/methodology/approach
The Federal Deposit Insurance Corporation (FDIC) monitors banks' capital ratio using the bucketing approach. Thus, this discrete and ordered variable is modeled in the context of a partial adjustment specification, controlling for initial conditions and cross‐sectional heterogeneity. Parameters are estimated with the generalized dynamic random effects ordered probit technique that is flexible enough to allow for differential effects of covariates across capitalization categories.
Findings
The main result is that the speed of adjustment is monotonically increasing for banks belonging in lower capitalization buckets, after controlling for bank‐specific capitalization determinants. In addition, substantial differential impacts of capitalization drivers across regulatory buckets are uncovered.
Practical implications
This an important finding both for regulators and market participants since it sheds light on a very crucial aspect of banks' behaviour.
Originality/value
This is the first paper that adopts the FDIC bucketing in the actual modelling. In addition, it uses the generalized dynamic random effects ordered probit technique in order to explore potential differential impact of capital ratio determinants across buckets.
Details
Keywords
Konstantinos Drakos, Ekaterini Kyriazidou and Ioannis Polycarpou
This paper seeks to explain the serial persistence as well as the substantial number of zeros characterizing global bilateral investment holdings. We explore the different sources…
Abstract
Purpose
This paper seeks to explain the serial persistence as well as the substantial number of zeros characterizing global bilateral investment holdings. We explore the different sources of serial persistence in the data (unobserved country pair effects, genuine state dependence, and transitory shocks) and examine the crucial factors affecting the decision to invest in a host country.
Methodology
Based on a gravity setup, we consider investment behavior at the extensive (participation) margin and employ dynamic first-order Markov probit models, controlling for unobserved cross-sectional heterogeneity and serial correlation in the transitory error component, in order to explore the sources of persistence. Within this modeling framework we explore the importance of institutional quality of the host country in attracting foreign investment.
Findings
The data support that the strong persistence is driven by true state dependence, implying that past investment experiences strongly impact on the trajectory of future investment holdings. Institutional quality appears to play a significant role to attract foreign investment.
Research implications
The empirical findings suggest that due to the existence of genuine state dependence, inward-investment stimulating policy measures could have a more pronounced effect since they are likely to induce a permanent change to the future trajectory of inward investment.
Originality
Both the substantial number of zeros and the salient persistence characterizing bilateral investment holdings decision have been previously overlooked in the literature. A study modeling jointly the levels and the selection mechanism could prove a fruitful direction for future research.
Details
Keywords
Anna Farmaki, Katerina Antoniou and Prokopis Christou
This study aims to examine the factors shaping the intentions of people to visit a hostile outgroup.
Abstract
Purpose
This study aims to examine the factors shaping the intentions of people to visit a hostile outgroup.
Design/methodology/approach
An exploratory, qualitative research approach was followed. Specifically, 77 semi-structured interviews with citizens of the divided island of Cyprus were conducted.
Findings
This study identifies several categories of visitors and non-visitors, depicted along a continuum, and concludes that there is a multiplicity of factors in the socio-political environment which influence the travel intentions of people.
Originality/value
This study not only imparts insights into the way travel decision-making evolves in politically unstable situations but also serves as a stepping stone towards understanding the conditions under which reconciliation between hostile nations may be encouraged by travel.
Details