Similar Search Results

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 assigned lower ratings, ceteris paribus, than 'old' ones. We...

Persistent link: https://www.econbiz.de/10010270550

Employment growth, inflation and output growth: Was Phillips right? Evidence from a dynamic panel

Caporale, Guglielmo Maria; Škare, Marinko - 2011

In this paper we analyse the short- and long-run relationship between employment growth, inflation and output growth in … causality tests. The empirical results strongly support the existence of a single cointegrating relationship between employment … growth, inflation and output growth with bidirectional causality between employment growth and inflation as well as output …

Persistent link: https://www.econbiz.de/10010277380

Identification of segments of European banks with a latent class frontier model

Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2007

This paper analyses technical efficiency of European banks over the period 1996-2003 with unbalanced panel data techniques. A latent class frontier model is used which allows the identification of different segments in the production frontier. We find that there are three statistically...

Persistent link: https://www.econbiz.de/10010264221

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/10010266110

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/10010270543

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/10010271965

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 Central and Eastern Europe (CEEC-4) using both static and dynamic panel data approaches. Specifically, the system Generalized Method of Moments (GMM, Blundell and Bond, 1998)...

Persistent link: https://www.econbiz.de/10010274730

On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2008

The expansion of regionalism has spawned an extensive theoretical literature analysing the effects of Free Trade Agreements (FTAs) on trade flows. In this paper we focus on FTAs (also called European agreements) between the European Union (EU-15) and the Central and Eastern European countries...

Persistent link: https://www.econbiz.de/10010276756

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/10010277369