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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082098
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When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports
Belke, Ansgar Hubertus - 2009
euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start …
Persistent link: https://www.econbiz.de/10013155088
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10014183200
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From Financial to Real Economic Crisis : Evidence from Individual Firm-Bank Relationships in Germany
Dwenger, Nadja - 2015
What began as a financial crisis in the United States in 2007-2008 quickly evolved into a massive crisis of the global real economy. We investigate the importance of the bank lending and firm borrowing channel in the international transmission of bank distress to the real economy — in...
Persistent link: https://www.econbiz.de/10013014463
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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Caporale, Guglielmo Maria - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively …
Persistent link: https://www.econbiz.de/10013144331
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Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations
Engler, Philipp; Grosse Steffen, Christoph - 2015
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10014138840
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2009
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10013155201
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Intraday Anomalies and Market Efficiency : A Trading Robot Analysis
Caporale, Guglielmo Maria - 2015
One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...
Persistent link: https://www.econbiz.de/10013033667
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Long-Term Price Overreactions : Are Markets Inefficient?
Caporale, Guglielmo Maria - 2015
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...
Persistent link: https://www.econbiz.de/10013029864
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10013080793