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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …
Persistent link: https://www.econbiz.de/10013314848
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The Hidden Heterogeneity of Inflation and Interest Rate Expectations : The Role of Preferences
Dräger, Lena; Lamla, Michael J.; Pfajfar, Damjan - 2022
same inflation or interest rate expectations can differently assess whether the level of the corresponding variable is … and affects durable spending and saving decisions. We also show that the variation in inflation preferences can be …
Persistent link: https://www.econbiz.de/10013293855
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Does High Inflation Cause Central Bankers to Lose Their Job? Evidence Based on a New Data Set
Dreher, Axel; Sturm, Jan-Egbert; de Haan, Jakob - 2021
to the share of the term in office elapsed, political and regime instability, the occurrence of elections, and inflation … independence. This is confirmed in models for cross-section inflation in which TOR becomes insignificant once its endogeneity is …
Persistent link: https://www.econbiz.de/10013316991
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Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2019
monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10012891049
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Mimic Models, Cointegration and Error Correction : An Application to the French Shadow Economy
Buehn, Andreas; Schneider, Friedrich - 2021
differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …
Persistent link: https://www.econbiz.de/10013316608
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Interest Rate Linkages in EMU Countries : A Rolling Threshold Vector Error-Correction Approach
Poghosyan, Tigran; de Haan, Jakob - 2021
This paper revisits financial market integration in the European Economic and Monetary Union, using a threshold vector error-correction model (TVECM) for a fixed rolling window. This approach enables us to analyze the dynamics of transaction costs and detect any co-movements with (policy...
Persistent link: https://www.econbiz.de/10013316906
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Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis
Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …
Persistent link: https://www.econbiz.de/10014239604
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Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …
Persistent link: https://www.econbiz.de/10014241989
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The Short-Run and Long-Run Effects of Trade Openness on Financial Development : Some Panel Evidence for Europe
Caporale, Guglielmo Maria; Sova, Anamaria; Sova, Robert - 2021
This paper analyses the short- and long-run effects of trade openness on financial development in a panel including data on 35 European countries over the period 2001-2019. For this purpose, it uses the PMG (pooled mean group) estimator for dynamic panels developed by Pesaran et al. (1999). The...
Persistent link: https://www.econbiz.de/10013227601
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Causal Effects of Countercyclical Interest Rates : Evidence from the Classical Gold Standard
Mitchener, Kris James; Pina, Gonçalo - 2022
subjected economies to a “commodity lottery” in the form of price fluctuations in world markets. Capital mobility and a currency …
Persistent link: https://www.econbiz.de/10013291318