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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10010270472
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Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing …
Persistent link: https://www.econbiz.de/10012227664
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On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010292798
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Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...
Persistent link: https://www.econbiz.de/10010263952
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Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10012581984
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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10012582024
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Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012582090
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Testing for Uip : Nonlinearities, Monetary Announcements and Interest Rate Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10013231967
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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10013236279
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Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10013243236