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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

Persistent link: https://www.econbiz.de/10013306037

The Relationship between Prices and Output in the UK and the US

Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2021

This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...

Persistent link: https://www.econbiz.de/10013235154

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10013211119

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

Long Run and Cyclical Dynamics in the U.S. Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10013316966

Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10014239604

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Persistent link: https://www.econbiz.de/10013235116

US Municipal Green Bonds and Financial Integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...

Persistent link: https://www.econbiz.de/10014358701

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …

Persistent link: https://www.econbiz.de/10010274514

Are the Baltic countries ready to adopt the Euro?: a generalised purchasing power parity approach

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2008

This paper focuses on macroeconomic interdependencies between the Euro area and three transition economies (Estonia …, Lithuania and Latvia), with the aim of establishing whether the latter are ready to adopt the Euro. The theoretical framework is … exchange rate vis-à-vis the Euro of each Baltic country, reflecting a degree of real convergence consistent with Optimum …

Persistent link: https://www.econbiz.de/10010264406