Analysis of business cycles and fluctuations in Greece, based on dynamic and econometric models and analysis of their causation

Abstract

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.

Η πρόσφατη οικονομική κρίση που έπληξε κατά κύριο λόγο από τις ανεπτυγμένες χώρες την Ελλάδα, εγείρει το θέμα της μελέτης των οικονομικών διακυμάνσεων της ελληνικής οικονομίας τα τελευταία εξήντα χρόνια. Η μελέτη αυτή περιλαμβάνει την ανάλυση όλων των οικονομικών μεγεθών της οικονομίας με μοντέρνα οικονομετρικά μοντέλα που έχουν εμφανιστεί και χρησιμοποιηθεί τα τελευταία χρόνια στις μελέτες των οικονομικών κύκλων. Σύνθετα τέτοια εργαλεία, όπως τα VARMA, Markov Switching, VAR, FFT, LSTM, φίλτρα Hodrick & Prescott και άλλα μακροοικονομικά μοντέλα, είναι πλέον διαθέσιμα για τη μελέτη και την έρευνα μακροοικονομικών μεγεθών. Η σπουδή αυτή, θα ερμηνεύσει τα παραπάνω ποσοτικά στοιχεία ώστε να τα συσχετίσει με οικονομικο-πολιτικά γεγονότα, με απώτερο σκοπό να αποσαφηνίσει την εξέλιξη της σύγχρονης ελληνικής οικονομίας, όσον αφορά την τάση και τις διακυμάνσεις που εμφανιστήκαν και να αναδείξει τους σημαντικούς εκείνους παράγοντες που σχημάτισαν αυτή τη δυναμική και καθορίσαν την πορεία της ελληνικής οικονομίας τα τελευταία εξήντα έτη.