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Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...

Persistent link: https://www.econbiz.de/10012199998

The golden hello and political transitions

Aidt, Toke; Albornoz, Facundo; Gassebner, Martin - 2012

have taken place. We test this unexplored implication of the theory empirically. We find in a world sample from 1970 to …We analyze the influence of IMF and World Bank programs on political regime transitions. We develop an extended version … transitions ; democracy ; autocracy ; IMF ; World Bank …

Persistent link: https://www.econbiz.de/10009630635

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10011387464

Globalization, economic freedom and human rights

Dreher, Axel; Gassebner, Martin; Siemers, Lars - 2010

Using the KOF Index of Globalization and two indices of economic freedom, we empirically analyze whether globalization and economic liberalization affect governments' respect for human rights using a panel of 106 countries over the 1981-2004 period. According to our results, physical integrity...

Persistent link: https://www.econbiz.de/10008699737

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10003965099

Employment growth, inflation and output growth : was Phillips right? ; evidence from a dynamic panel

Caporale, Guglielmo Maria; Škare, Marinko - 2011

growth, giving support to Phillips' Golden Triangle theory. …

Persistent link: https://www.econbiz.de/10009162091

Lock, stock, and barrel : a comprehensive assessment of the determinants of terror

Gassebner, Martin; Lüchinger, Simon - 2011

We assess the robustness of previous findings on the determinants of terrorism. Using extreme bound analysis, the three most comprehensive terrorism datasets, and focusing on the three most commonly analyzed aspects of terrorist activity, i.e., location, victim, and perpetrator, we re-assess the...

Persistent link: https://www.econbiz.de/10009266761

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10009743845

Does terror threaten human rights? : evidence from panel data

Dreher, Axel (contributor); Gassebner, Martin (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496529

Greasing the wheels of entrepreneurship? : the impact of regulations and corruption on firm entry

Dreher, Axel (contributor); Gassebner, Martin (contributor) - 2007

Persistent link: https://www.econbiz.de/10003498651