Unit:
Deparment of EconomicsLibrary of the Faculty of Economics and of the Faculty of Business Administration
Dissertation committee:
1) Λεβεντίδης Ιωάννης, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
2) Δαλαμάγκας Βασίλειος, Ομότιμος Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
3) Κώτσιος Στυλιανός, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
4) Θεοχαράκης Νικόλαος, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
5) Αργείτης Γεώργιος, Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
6) Μιχελακάκης Νικόλαος, Καθηγητής, Τμήμα Οικονομικής Επιστήμης, Πανεπιστήμιο Πειραιώς,
7) Δότσης Γεώργιος, Αναπληρωτής Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Original Title:
Analysis of business cycles and fluctuations in Greece, based on dynamic and econometric models and analysis of their causation
Translated title:
Analysis of business cycles and fluctuations in Greece, based on dynamic and econometric models and analysis of their causation
Summary:
One of the biggest challenges in macroeconomic research has always been the econometric analysis of how aggregate economies fluctuate between peaks and troughs of economic activity, as well as what policies can either prevent or mitigate economic downturns in the future. The purpose of this dissertation is to analyse the principal macroeconomic time series of business cycles in Greece over the period of 1960-2021, provide econometric tools for estimation and forecast of the Gross Domestic Product given the key determinants and conclude with policies that target to improve the fundamental Greek economic indicators.
This dissertation expands previous seminal studies in the literature and examines the period from 1960 to the end of 2021, including both the Adjustment program between Greece and the Troika and the arrival of the COVID-19 pandemic, which led to some interesting macro-economic phenomena, which are accounted in the economic model in Ch. 4. In Ch. 5 the econometric analysis is expanded to study the properties of the GDP business cycle in relation to the cycles of its determinants, such as procyclicality, synchronicity, correlation between the cyclical variations, cross-correlation among GDP and the other times series. Analysis is conducted to study the effect of all explanatory variables that are part of the examined economic model, as well as the residual factors, which represents the effect of all other remaining variables that are not included in the model formulation in Ch. 4. In Ch. 6, several econometric and Machine Learning models are utilized from the literature (e.g., ARMA, Markov Switching, VAR, FFT, LSTM) in order to estimate and forecast the GDP cycle as a function of the key macroeconomic cycles and compare their performance and interpretation power.
The examined time period of the last 62 years captures the time series of fundamental macroeconomic variables of the Greek economy, which have a significant impact to the economic, political, control monetary and fiscal policy of the country. The examined time window of business cycles includes all the significant events of economic and political life of Greece. Furthermore, the comparison between the fluctuations of business cycles of the macroeconomic variables and the noteworthy events that occurred in Greek economy in this period provides the foundation to suggest and introduce a fiscal and monetary policy.
Main subject category:
Social, Political and Economic sciences
Keywords:
Business cycles, Macroeconomic models, Macroeconomic research, Machine learning, Econometrics, Estimation, Forecasting, Macroeconomic phenomena, Gross domestic product, Fiscal policy, Monetary policy, Greece, Variables, Fluctuations, Econometric analysis
Number of references:
137
