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Environmental regulation and competitiveness : evidence from Romania

Arouri, Mohamed; Caporale, Guglielmo Maria; Rault, … - 2012

According to the pollution haven hypotheses differences in environmental regulation affect trade flows and plant location. Specifically, environmental stringency should decrease exports and increase imports of "dirty" goods. This paper estimates a gravity model to establish whether the...

Persistent link: https://www.econbiz.de/10009581725

A new two-pillar strategy for the ECB

De Grauwe, Paul; Gros, Daniel - 2009

The ECB has been arguing in the past that since there is no trade-off between price stability and financial stability, the pursuit of price stability is the best a central bank can do to also maintain financial stability. We argue that there is a potential trade-off between price stability and...

Persistent link: https://www.econbiz.de/10003888991

Inflation and inflation uncertainty in the Euro Area

Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - 2009

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...

Persistent link: https://www.econbiz.de/10003871923

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003937257

EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …

Persistent link: https://www.econbiz.de/10003974520

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10003983199

Europe agreements and trade balance : evidence from four new EU members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2011

This paper analyses the trade balance effects of Europe agreements (EA) between the EU-15 and four new EU members from …

Persistent link: https://www.econbiz.de/10009010184

Self-fulfilling crises in the Eurozone : an empirical test

De Grauwe, Paul; Ji, Yuemei - 2012

Persistent link: https://www.econbiz.de/10009575314

Price discovery and trade fragmentation in a multi-market environment : evidence from the MTS system

Caporale, Guglielmo Maria; Girardi, Alessandro - 2011

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...

Persistent link: https://www.econbiz.de/10009240010

Fiscal rules, financial stability and optimal currency areas

De Grauwe, Paul; Foresti, Pasquale - 2015

In this paper we suggest that Eurozone countries face a policy trade-off among: 1) a common rule imposing co-movements in fiscal policy; 2) financial stability; and 3) financial integration. We provide empirical evidence documenting the existence of such a trade-off in the period characterized...

Persistent link: https://www.econbiz.de/10010533078