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Central bank policy rates: Are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10011622026
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Central Bank Policy Rates: Are they Cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alana, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10011657110
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Persistence and Long Memory in Monetary Policy Spreads
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2020
The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...
Persistent link: https://www.econbiz.de/10012425570
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A non-linear analysis of Gibson's paradox in the Netherlands, 1800 - 2012
Caporale, Guglielmo Maria; Škare, Marinko - 2014
Persistent link: https://www.econbiz.de/10010364606
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Persistence and long memory in monetary policy spreads
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2020
The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...
Persistent link: https://www.econbiz.de/10012308499
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
Persistent link: https://www.econbiz.de/10011631069
Cover Image
Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10011619595
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10011619627
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The Euro and Monetary Policy Transparency
Caporale, Guglielmo Maria; Cipollini, Andrea - In: Eastern Economic Journal 28 (2002) 1, pp. 59-70
This paper focuses on a possible explanation for the weakness of the euro, namely the lack of transparency of the European Central Bank's (ECB) monetary policy. In order to obtain a time-varying measure of monetary policy uncertainty in both the U.S. and Euroland, we estimate a Stochastic...
Persistent link: https://www.econbiz.de/10005769826
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Shortfall Risks and Excess Chances of Option-Based Rollover Hedge-Strategies with Respect to Alternative Target Returns : Empirical Evidence from the German Stock Market
Adam, Michael; Albrecht, Peter; Maurer, Raimond - 1996
approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …
Persistent link: https://www.econbiz.de/10005842496