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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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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