• Working Paper  

      R&D-induced growth in the OECD? 

      Zachariadis, Marios (2001)
      I use aggregate and industry-level data for a group of OECD countries for the period 1973 to 1991 to estimate a system implied by a model of R&Dinduced growth that relates R&D intensity, productivity, and output growth. ...
    • Working Paper  Open Access

      Risk management for sovereign financing within a debt sustainability framework 

      Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; Gavilan Gonzalez, Angel; Moshammer, Edmund; Zenios, Stavros A. (European Stability Mechanism Working Paper No. 31, 2018-09)
      The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
    • Working Paper  Open Access

      Risk management optimization for sovereign debt restructuring 

      Consiglio, Andrea; Zenios, Stavros A. (Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)
      Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...
    • Working Paper  Open Access

      Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances 

      Lotfi, Somayyeh; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
      We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
    • Working Paper  Open Access

      The Role of Social Interactions in Preferences for Redistribution 

      Kourtellos, Andros; Petrou, Kyriakos (2022-05-30)
      This paper investigates the role of social influences in preferences for redistribution using data from the General Social Survey. We employ social interaction models with a socioeconomic network structure and intertemporal ...
    • Working Paper  Open Access

      State Contingent Debt as Insurance for Euro-Area Sovereigns 

      Demertzis, Maria; Zenios, Stavros A. (2018-04)
      The euro-area sovereign debt crisis is receding. Europe is on a recovery path, growth is broad-based and unemployment is falling. One after the other, countries hit hardest by the crisis are exiting their adjustment ...
    • Working Paper  Open Access

      Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling 

      Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-05)
      We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and ...
    • Working Paper  

      Trends in international prices 

      Andrade, Philippe; Zachariadis, Marios (2010)
      We exploit the panel dimension of a price levels dataset for more than one hundred product items across 140 cities in 90 countries for the period from 1990 to 2009 in order to improve our understanding of international ...
    • Working Paper  

      Understanding European real exchange rates 

      Crucini, Mario J.; Telmer, Chris I.; Zachariadis, Marios (2001)
      We study good-by-good deviations from the Law-of-One-Price for over 1,800 retail goods and services between all European Union (EU) countries for the years 1975, 1980, 1985 and 1990. We find that for each of these years, ...
    • Working Paper  

      Understanding Law-of-One-Price Deviations across Europe Before and After the Euro 

      Glushenkova, Marina; Zachariadis, Marios (2014-01)
      We use a panel of thousands of good-level prices before and after the euro in order to compare the determinants and understand the evolution of goods price dispersion across Europe during these two periods. We find that ...