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Leading indicators of Euroland business cycles

Fritsche, Ulrich; Marklein, Felix - 2001

The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference...

Persistent link: https://www.econbiz.de/10011433997

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/10003934756

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Persistent link: https://www.econbiz.de/10011334455

On the role of stock market for real economic activity : evidence for Europe

Siliverstovs, Boriss (contributor); … - 2006

In this study we have addressed the relationship between the stock market, the measure of real economic activity (represented by the real GDP), the economic sentiment indicator, and real interest rate for the five European countries: Germany, France, Italy, the Netherlands, and the UK. We find...

Persistent link: https://www.econbiz.de/10003338244

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10013211119

Is Western European Agriculture Resilient to High Temperatures?

Massetti, Emanuele - 2019

agriculture is likely to be smooth …

Persistent link: https://www.econbiz.de/10012892286

Measuring the Immeasurable : The Evolution of the Size of Informal Economy in the Agricultural Sector in the EU-15 Up to 2019

Schneider, Friedrich; Morkunas, Mangirdas; Quendler, Erika - 2021

This study is the first scientific attempt to calculate the size of the informal economy in agriculture. The Multiple … indicators multiple causes model (MIMIC) was developed for the estimation of levels of informal economy in 15 “Old” European … higher levels of informal economy in agriculture compared to the overall economy. The impact of subsidies and farm …

Persistent link: https://www.econbiz.de/10013239559