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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
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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
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The Euro changeover and price adjustments in Italy
Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2011
By estimating a staggered price model over the period 1980q1-2010q2, this paper documents that, after the euro …
Persistent link: https://www.econbiz.de/10010274996
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A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007
This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...
Persistent link: https://www.econbiz.de/10010264093
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Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...
Persistent link: https://www.econbiz.de/10010264124
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US disposable personal income and housing price index: A fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...
Persistent link: https://www.econbiz.de/10010274737
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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/10010274802
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10010274822
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Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
Caporale, Guglielmo Maria; Costantini, Mauro; Paradiso, … - 2012
In this paper we examine the role of mortgage equity withdrawal in explaining the decline of the US saving rate, since when house prices rise and mortgage rates are low, homeowners have an incentive to withdraw housing equity and this may affect the saving rate. We estimate a Vector Error...
Persistent link: https://www.econbiz.de/10010283598
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Persistence and cycles in the US Federal Funds rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10010291553