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Greece's three-act tragedy : a simple model of Grexit vs. staying afloat inside the single currency area

Chen, Yu-Fu; Funke, Michael - 2015

is described using a stochastic regime-switching model; second, the euro area governments’ responses to uncertain … macroeconomic policies in Greece are considered. The model's mechanism and assumptions allow either for a Grexit from the euro area … understand key drivers of the long-winded negotiations between the Syiza government and the euro area governments. …

Persistent link: https://www.econbiz.de/10011406792

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, 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/10009011784

How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China

Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015

This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...

Persistent link: https://www.econbiz.de/10010518789

Global and regional financial integration in emerging Asia : evidence from stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...

Persistent link: https://www.econbiz.de/10011654611

The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, 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/10012494826

The signalling channel of central bank interventions : modelling the yen

Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - 2011

This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...

Persistent link: https://www.econbiz.de/10009312174

Long memory and fractional integration in high frequency data on the US Dollar

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 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/10009736739

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

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

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

Persistent link: https://www.econbiz.de/10003898817

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Running the U.S. economy at full throttle is a stressful variant of capitalism

Komlos, John - 2022

Maximizing output without taking into consideration the negative externalities generated, including the harm to the mental and physical health of the population creates psychological stress. Focusing on the bellwether indicators of economic performance including working more, generating income,...

Persistent link: https://www.econbiz.de/10013383434