PRISM :: Browsing by Author "Serletis, Apostolos"

Browsing by Author "Serletis, Apostolos"

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Open Access
A Perspective on money and monetary mechanisms in Canada
(1990) King, Martin; Serletis, Apostolos
Open Access
An analysis of the bayesian classification of monetary assets in the United States
(2003) Anderson, Carmen Andrea; Serletis, Apostolos
Open Access
An empirical review of Canadian monetary aggregates: substitution, separability and time series characteristics
(2000) Joncic, John; Serletis, Apostolos
Open Access
Business Cycles and Hydrocarbon Gas Liquids Prices
(2018-06-29) Jahan, Sayeeda; Serletis, Apostolos; Tanaka, Atsuko; Muehlenbachs, Lucija
This thesis examines the basic stylized facts of hydrocarbon gas liquids (HGL) prices using monthly data for the United States, over the period from 1985:1 to 2018:1. I follow the Kydland and Prescott (1990) methodology, using the Hamilton’s (2017) regression filter to investigate the cyclical properties of HGL prices. The results indicate that HGL prices are procyclical and mostly lead the cycle of industrial production. HGL prices are also positively contemporaneously correlated with crude oil and natural gas prices and are synchronous with the cycle of crude oil and natural gas prices. I also find that industrial production causes natural gas and HGL prices, where, normal butane, isobutane, and crude oil prices cause industrial production. Moreover, I find that crude oil prices cause all HGL prices. Finally, there is no causality from natural gas prices to HGL prices, however, there is causality from ethane, normal butane, and naphtha prices to natural gas prices.
Open Access
Business cycles synchronicity and the fixed exchange rate system
(2003) Chiew, Robert N. S.; Serletis, Apostolos
Open Access
Chaotic dynamics in futures markets
(1993) Dormaar, G. Paul; Serletis, Apostolos
Open Access
Correction: Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis
(2023-02-08) Andreadis, Ioannis; Fragkou, Athanasios D.; Karakasidis, Theodoros E.; Serletis, Apostolos
Open Access
Cross-country evidence on the demand for money
(2005) Vaccaro, Jason F.; Serletis, Apostolos
Open Access
Determination of efficient inflationary levels under various government policy perspectives
(1996) Schorn, Richard Gunter; Serletis, Apostolos
Open Access
Does money matter?
(1995) Krause, David Peter; Serletis, Apostolos
Open Access
Dynamic analysis of Canadian monetary policy innovations
(1997) Sharma, Faizal Kurbanali; Serletis, Apostolos
Open Access
Energy Commodity Volatility Modelling using GARCH
(2013-01-09) Efimova, Olga; Serletis, Apostolos
This thesis investigates the empirical properties of oil, natural gas and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from U.S. wholesale markets for the period from 2000 to 2012. The key contribution to the literature is the estimation of trivariate BEKK, CCC and DCC models that allow us to observe spillovers and interactions among energy markets. We evaluate the performance of each model with a range of diagnostic and forecast performance tests, and also include graphs for short- and long-term forecasts.
Open Access
Essays in Monetary Economics
(2020-08) Dai, Wei; Serletis, Apostolos; Tanaka, Atsuko; Yuan, Lasheng
This dissertation includes three essays on applied econometrics and monetary economics. Chapter 1 investigates the impact of supply and demand shocks in the global crude oil market on the CDX spread, in the context of a structural VAR model based on monthly data, over the period from November 2003 to October 2015. It finds that the reaction of the CDX spread to changes in the real price of crude oil differs considerably depending on the sources of shocks. In the long run, crude oil supply shocks, aggregate demand shocks, and oil-specific demand shocks together account for nearly 90% of the variation of the CDX spread. Chapter 2 uses the Markov switching approach to account for instabilities in the long-run money demand function and compute the welfare cost of inflation in the United States. In doing so, it circumvents the problem of data-mining of some earlier seminal contributions on these issues, allowing for complicated nonlinear dynamics and sudden changes in the parameters of the money demand function. Moreover, it extends the sample period, and investigates the robustness of results to alternative money demand specifications, monetary aggregation procedures, and assumptions regarding dynamics aspects of the money demand specification. Chapter 3 investigates the relationship between inflation and money growth in the United States using the Markov regime switching approach to account for instabilities. It employs the Divisia monetary aggregates and detects a structural change in the inflation-money growth relationship in 1984 for all monetary aggregates. In both high and low inflation regimes, the response of inflation to a money growth increase is either negative or trivial. Moreover, it finds that incorporating the growth rate of output and the change in the interest rate into the model does not fix the broken quantity-theoretic one-for-one relationship between inflation and money growth.
Open Access
Essays on Applied Econometrics
(2019-12-05) Hossain, A K M Nurul; Serletis, Apostolos; Gordon, Daniel V.; Yuan, Lasheng
This dissertation includes three essays on applied econometrics. Chapter 1 investigates interfuel substitution in the United States using the longest span prices and quantities that have ever been studied before (to our knowledge), over nearly 100 years (from 1919 to 2012). In doing so, it introduces recent state-of-the-art advances in financial econometrics to the empirical energy demand literature. It estimates a set of income elasticities, own- and cross-price elasticities, and Allen and Morishima elasticities of substitution, consistent with neoclassical microeconomic theory and the data generating process. It finds that there is a small but statistically significant substitution possibility between crude oil and natural gas, and that natural gas is a substitute for coal when the price of coal changes, but coal is not a substitute for natural gas when the price of natural gas changes. Chapter 2 takes the econometric approach to productivity measurement to measure and analyze the rate and biases of technical change at the sectoral level in eleven major U.S. industries over the period from 1947 to 2010. It allows for factor demand volatility spillovers by merging the econometric approach to productivity measurement with recent advances in financial econometrics. It finds that there have been significant productivity increases in most of the sectors except in the mining, health, and hospitality sectors in the recent decades. It also finds that the bias of technical change is generally labor-saving and complete bias towards a single factor is observed in some sectors. It concludes that factors are weak Morishima substitutes in most of the sectors. Chapter 3 investigates biofuel substitution in the U.S. transportation sector, for the period from 1990 to 2017. In the context of the locally flexible Normalized Quadratic (NQ) cost function with a time-varying covariance matrix of the errors in the demand system, it estimates a set of elasticities of substitution to investigate how the introduction of biofuel influences interfuel substitution and the demand for energy in the transportation sector. It finds that interfuel substitution is generally low but there exists substitution possibilities between biofuel, and fossil fuels in the U.S. transportation sector.
Open Access
Essays on Applied Econometrics
(2013-10-02) Chang, Dongfeng; Serletis, Apostolos
This dissertation consists of three essays on applied econometrics. An abstract for each of the three essays follows. Essay 1 (Chapter 1) investigates the demand for gasoline in Canada using annual household survey data from 1997 to 2009 and three of the widely used flexible functional forms. I find that the demand for gasoline is inelastic in Canada. Given that none of the studies in the existing literature checks if their estimates are consistent with economic theory, this essay addresses the importance of the theoretical consistency in the empirical work of demand analysis and is the first study in the literature that provides the elasticity estimates for the demand for gasoline that is consistent with the theory. Essay 2 (Chapter 2) examines the effect of oil price uncertainty on gasoline prices and investigates the relationship between gasoline and crude oil prices. The empirical model is based on a structural vector autoregression model that is modified to accommodate multivariate GARCH-in-Mean errors. I use monthly data for the United States from January 1976 to January 2013. I find that oil price uncertainty has positive effects on gasoline price changes and that there is an asymmetric relationship between crude oil and gasoline prices. My results are robust to alternative measures of oil prices and alternative model specifications. Essay 3 (Chapter 3) investigates the demand for money and the degree of substitutability among monetary assets in the United States from 1967 to 2013 using four commonly used flexible functional forms, on three monetary subaggregates: M1, savings deposits, and time deposits. As in Essay 1, I pay explicit attention to economic regularity in order to produce inference consistent with neoclassical microeconomic theory. Moreover, I incorporate financial econometrics in the empirical flexible functional forms approach to money demand analysis by using a BEKK GARCH(1,1) specification to model the covariance matrix of the errors in the demand equations. I find significant evidence of ARCH effects in the estimations under the homoscedasticity assumption and that the demand for money is inelastic and that the three monetary assets taken as a whole are Morishima substitutes.
Open Access
Essays on Applied Macro- and Micro-Econometrics
(2015-12-18) Jadidzadeh, Ali; Serletis, Apostolos; Emery, Herbert; Walls, David
This thesis consists of three essays on applied macro- and micro-econometrics. The first essay examines the interactions and comovements between the crude oil and natural gas markets with multivariate time series analysis. The second essay investigates interfuel substitution and the demand for a limited number of energy goods with proper microeconomic foundations. The last essay augments the approach used in the second essay for a large number of goods and services in the market for money. An abstract of each essay follows. In essay 1, I employ a structural Vector AutoRegressive model to disentangle demand and supply shocks in the global crude oil market and investigate their effects on the real price of natural gas in the United States. I identify the model by assuming that innovations to the real price of crude oil are predetermined with respect to the natural gas market and show that close to 45\% of the variation in the real price of natural gas can be attributed to structural supply and demand shocks in the global crude oil market. Essay 2 focuses on the aggregate demand for electricity, natural gas, and light fuel oil in Canada as a whole and six of its provinces in the residential, commercial, and industrial sectors. I employ the locally flexible normalized quadratic (NQ) expenditure and cost functions and provide evidence consistent with neoclassical microeconomic theory. My results indicate limited substitutability between electricity and natural gas, but strong substitutability between light fuel oil and each of electricity and natural gas in most cases. Essay 3 uses a highly-disaggregated demand system to estimate the degree of substitutability among monetary assets and to address the issue of optimal monetary aggregation in the United States. I address the problems of dimensionality and nonlinearity, estimating a very detailed monetary asset demand system encompassing the full range of assets based on the NQ expenditure function. I believe that our estimates of disaggregated monetary demand responses are of importance in resolving paradoxes associated with the measurement of money, in solving the Barnett critique, and in understanding the effects of potential monetary policy actions.
Open Access
Essays on Distance Functions and Inefficiency Measurement
(2018-07-11) Esheba, Muna; Serletis, Apostolos; Walls, W. David; Yuan, Lasheng; Gordon, Daniel Vernon; Kien C. Tran
This dissertation includes three essays on distance functions and inefficiency measurement. The main focus of the three essays is the measurement and determinants of technical inefficiency theoretically and empirically. Essay 1 provides an up-to-date review that focuses on research methods, including different approaches to measuring technical inefficiency using distance functions, the development of modeling technical inefficiency, and the most common econometric estimation techniques. It also provides a useful guide on when these methods can be used and how to implement them. Regarding estimation issues, I address the important issues that should be managed in future applications while estimating technical inefficiency, including violation of theoretical and econometric regularity, the inaccurate choice of functional form, ignoring the possibility of heterogeneity and heteroskedasticity, and suffering from the endogeneity problem. I also discuss different approaches to deal with these issues, as well as potentially productive areas for future research. Essay 2 derives the interactive effect between input and output technical inefficiencies theoretically using directional distance functions. This derivation solves the arbitrary decomposition of overall technical inefficiency into input and output components in previous studies. I argue that overall technical inefficiency equals the sum of input and output technical inefficiencies plus an interactive effect component which captures the interactions between them. I prove the results theoretically using exogenous and endogenous directional vectors. Essay 3 investigates the relationships among input, output, and overall technical inefficiencies empirically using US banking data set. Using Bayesian estimation with the monotonicity conditions imposed at each observation, I estimate these inefficiencies separately using directional input, output, and technology distance functions. I model the overall technical inefficiency as a linear function of input and output technical inefficiencies, and a term capturing the interactions between them. These determinants of overall technical inefficiency are estimated simultaneously with the variables that determine the frontier. I find significant evidence of the interactive effect between input and output technical inefficiencies which has a negative effect on the overall technical inefficiency. This result is robust to alternative directional vectors and model specifications, suggesting that the adjustability of both inputs and outputs is required for the improvement of efficiency.
Open Access
Essays on Monetary Policy
(2021-04-26) Nsafoah, Dennis; Serletis, Apostolos; Hashmi, Aamir Rafique; Tanaka, Atsuko
This dissertation consists of three essays in monetary economics. The first chapter studies the spillover effects of traditional US monetary policy to a number of advanced countries namely Canada, Denmark, the Eurozone, Japan, Switzerland and the United Kingdom. Using monthly data from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR, it finds that positive (negative) US monetary policy shocks increase (reduce) the policy rate in each of the other countries. It also finds that monetary policy uncertainty in the US has a negative and statistically significant effect on the monetary policy rate of each of the other countries. The second chapter investigates the effects of monetary policy shocks and uncertainty about monetary policy on key macroeconomic variables and interest rate spreads --- the term spread and credit spread. It uses monthly data for the US and a multivariate structural GARCH-in-Mean VAR model to estimate the effects on the growth rate of real output, the inflation rate, term spread, credit spread, and the policy rate. It finds statistically significant effects on all economic and financial variables. The final chapter studies international spillovers of conventional and new monetary policies of a large economy to a small open economy (SOE). It employs a medium-scale New Keynesian model that features all the major types of new monetary policies and the conventional monetary policy in a unified framework. In the quantitative application of the model, Canada is the SOE and the US is the large economy. The results show that there is little difference in the spillover effects of conventional and new monetary policies on the GDP of the SOE. However, the effects on various components of GDP (consumption, investment and net exports) differ by policy. Furthermore, it simulates counterfactual monetary policy scenarios for the US and Canada around the Great Recession of 2008. Three main conclusions emerge from these simulations: (1) If the Fed had not engaged in quantitative easing (QE), the US recession in the wake of 2008 financial crisis would have been deeper but Canada would have had better economic outcomes; (2) there are diminishing returns to QE in terms of its effects on both the US and Canadian real variables; and (3) had the Bank of Canada followed the Fed and engaged in QE of its own during the Great Recession, the real economic outcomes would have been better for Canada.
Open Access
European Union and European monetary union
(2004) Chan, Patrick W.M.; Serletis, Apostolos
No economic union like the European Union (EU) and monetary union like the European Monetary Union (EMU) ever existed. As there is little or no experience that we can draw from the past, how the EU and EMU affect their members and the world are full of uncertainty and mysteries. Regardless which of the economic, monetary, political, and financial terms that is forthcoming, the formation of and the impact from the two unions would have another remarkable page in human history. A "jump into the dark" may end up showing futility and perhaps it holds promise of economic gains. Indeed, economists will continue to study the issues within the unions from time to time in order to better understand the conditions outlined by the EU and the EMU.
Open Access
Flexible functional forms and the demand for assets
(2006) Shahmoradi, Asghar; Serletis, Apostolos