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Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities
Mehl, Arnaud; Cappiello, Lorenzo - 2007
This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...
Persistent link: https://www.econbiz.de/10011604847
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Estimating the financial crisis’ impact on potential output
Benati, Luca - In: Economics letters 114 (2012) 1, pp. 113-119
Persistent link: https://www.econbiz.de/10009517267
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Joint Estimation of the Natural Rate of Interest, the Natural Rate of Unemployment, Expected Inflation, and Potential Output
Benati, Luca; Vitale, Giovanni - 2021
output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time … United States, and especially for the Euro area, and smaller for Australia and the United Kingdom. Overall, natural rate …
Persistent link: https://www.econbiz.de/10013316896
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The impact of the euro on equity markets: a country and sector decomposition
Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008
This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …
Persistent link: https://www.econbiz.de/10011604952
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Measuring market and inflation risk premia in France and in Germany
Cappiello, Lorenzo; Guéné, Stéphane - 2005
This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our study also allows us to evaluate how the different...
Persistent link: https://www.econbiz.de/10011604482
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Measuring comovements by regression quantiles
Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005
This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...
Persistent link: https://www.econbiz.de/10011604547
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Joint estimation of the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output
Benati, Luca; Vitale, Giovanni - 2007
output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time … United States, and especially for the Euro area, and smaller for Australia and the United Kingdom. Overall, natural rate …
Persistent link: https://www.econbiz.de/10011604843