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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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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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Endogenous growth in an open economy and the real exchange rate
Federici, Daniela; Gandolfo, Giancarlo - 2001
of the euro/dollar real exchange rate. Given this value, one could then give a precise meaning to the notion of … undervaluation or overvaluation of the euro, and calculate its misalignment. The problem however arises of how to assess the …. This of course is not (yet) possible for the euro, so that all the calculations of misalignment of the euro that have been …
Persistent link: https://www.econbiz.de/10001613664
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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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Estimated general equilibrium models for the evaluation of monetary policy in the US and Europe
Leith, Campbell B.; Malley, James R. - 2002
A persistent criticism of general equilibrium models of monetary policy which incorporate nominal inertia in the form of the New Keynesian Phillips Curce (NKPC) is that they fail to capture the extent of inflation inertia in the data. In this paper we derive a general equilibrium model based on...
Persistent link: https://www.econbiz.de/10001666059
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Economic growth and endogenous fiscal policy : in search of a data consistent general equilibrium model
Malley, James R.; Philippopulos, Apostolēs - 2000
This paper searches for a general equilibrium model of optimal growth and endogenous fiscal policy with the aim of explaining the interaction between private agents and fiscal authorities in the U.S., West Germany, Japan and the U.K. over the period 1960-1996. Our search is conducted in the...
Persistent link: https://www.econbiz.de/10001452355
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Vertical product differentiation and the import demand function : theory and evidence
Malley, James R.; Moutos, Thomas - 2000
In this paper we use a model of vertical product differentiation to cast doubt on the general validity of the import demand function as specified in macroeconomic models. The empiricai importance of our theoretical concerns is then examined with the aid of two hypotheses. According to the first...
Persistent link: https://www.econbiz.de/10001564519
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A sectoral analysis of price-setting behavior in US manufacturing industries
Leith, Campbell B.; Malley, James R. - 2003
In this paper we develop a multi-sector model of firms' pricing behaviour under imperfect competition. We allow for the fact that some goods sold will be for final consumption, while others will be used as intermediate goods in further production. We assume that price setters are constrained by...
Persistent link: https://www.econbiz.de/10001775071
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria - 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/10013135946
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US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 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/10013137093