Ανάρτηση Ερευνητικών Δοκιμίων no12/22 και no13/22

Ερευνητικό Δοκίμιο no 12 ǀ Μάϊος 2022 με τίτλο «ITime to Question the Wisdom of Active Monetary Policies» του Γ. Μπήτρου.

Περίληψη

Free market economies, on which Western type democracies are based, prosper because of gains-motivated decisions by liberty-loving individuals who act as risk-taking investors of ―true‖ savings borrowed by hard-working savers. Having finite lives and hence being impa-tient, investors and savers reckon the future effects of their decisions using positive discount factors or interest rates. On the other hand, to raise aggregate demand and stimulate econom-ic growth, perpetually present central banks, issue ―artificial‖ savings that lead to zero and or negative interest rates. As a result, central bank policies wreak havoc in the rational decision-making of economic agents. Investors lose the main instrument they use in the intertemporal allocation of resources. Savers are discouraged to follow the long-standing virtue not to con-sume all their incomes and put aside some resources for the rainy days of old age; and all this in vain because, at the zero or negative interest rates, the economy becomes unstable and gives rise to distortions that destabilize democracy. Thus, for the sake of preserving the free way of life, a reform may be to turn central banks into a fourth state power, along with the legislative, judicial and executive branches of government, and mandate them with the sole task to maintain the stability of the general price level.

O Γεώργιος Μπήτρος είναι Ομότιμος Καθηγητής στο Τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.

Ερευνητικό Δοκίμιο no 13 ǀ Μάϊος 2022 με τίτλο «Investors’ Behavior in Cryptocurrency Market» των Στ. Αρβανίτη, Ν. Τοπάλογλου και Γ. Τσομίδη

Περίληψη

We investigate whether Cryptocurrencies enhance optimal portfolio performance for the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We frame our analysis on the grounds of risk aversion w.r.t. perceived returns, and thus remain consistent with Second order Stochastic Dominance. Using the Stochastic Spanning criterion, we construct optimal portfolios with and without cryptocurrencies, allowing however for local non-stationarities and bubbles in the dynamics of the returns process. Our out of sample comparative performance analysis indicates that investors impression of gains and losses affects significantly the aggregate performance of optimal portfolios and that cryptocurrencies are an attractive option for the examined investor types.

O Στέλιος Αρβανίτης είναι Αναπληρωτής Καθηγητής στο Τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών, ο Ν. Τοπάλογλου είναι Καθηγητής στο Τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών και ο Γ. Τσομίδης είναι Υποψήφιος Διδάκτορας του Τμήματος Οικονομικής Επιστήμης.