Stathis Polyzos
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2 publications
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Banking crises and contagion: why worry about taxation, output and the cost of capital?
Investment Management and Financial Innovations Volume 12, 2015 Issue #2 pp. 65-79
Views: 595 Downloads: 137 TO CITE -
Good management or good finances? An agent-based study on the causes of bank failure
Stathis Polyzos , Khadija Abdulrahman , Apostolos Christopoulos doi: http://dx.doi.org/10.21511/bbs.13(3).2018.09Banks and Bank Systems Volume 13, 2018 Issue #3 pp. 95-105
Views: 1199 Downloads: 173 TO CITE АНОТАЦІЯThe recent series of banking crises in the United States and in the Eurozone has resulted in numerous bank failures. In this paper, an agent-based model is employed to test for factors that determine bank viability in times of distress, focusing mainly on the endogenous risk of financial institutions. The authors test for the effects of both management and financial factors on the institutions’ ability to weather the storm during times when the banking system experiences distress. The agent-based simulation process is split into a setup period, when the simulation builds the structural characteristics of each bank, and a testing period, where these characteristics are tested against the final result, which is the bank’s viability. A risk estimation model is built and it is found that the proposed model is successful in predicting whether a particular bank can endure a stress testing situation. The empirical results confirm the relevant literature and put further emphasis on the policy implications regarding banking supervision and regulation, particularly in context of the Eurozone banking union.
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Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies
Aristeidis Samitas , Elias Kampouris , Stathis Polyzos , Anastasia Ef. Spyridou doi: http://dx.doi.org/10.21511/imfi.17(4).2020.12Investment Management and Financial Innovations Volume 17, 2020 Issue #4 pp. 121-135
Views: 704 Downloads: 146 TO CITE АНОТАЦІЯThis paper discusses the volatility spillovers between the Greek debt crisis and the Cypriot financial crisis. Cyprus was in the spotlight of financial markets due to significant problems stemming from the banking sector, which were dealt with by EU regulators with a bail-in on bank deposits. The current analysis aims to shed light on the reasons behind implementing this novel approach to bank distress. The study uses a Dynamic Conditional Correlation model on the returns of the stock markets of the two countries, which shows strong spillover effects during the period leading up to the 2013 Cypriot crisis, but a significant decrease of these effects from then on. The results confirm the close interdependence of the Greek and Cypriot economies before 2013 and show that this interdependence was limited from that point onwards. This would indicate that since the risk of contagion to the Eurozone had diminished, regulators could test the bail-in solution in Cyprus in 2015. The current work contributes to the discussion on the interdependence of European economies. The paper’s findings can also be applied to other emerging European economies.
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