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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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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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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
applied on interest rates from different financial markets (government bonds, deposits, loans and mortgages) in Germany …
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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Do better capitalized banks lend less? Long-run panel evidence from Germany
Buch, Claudia M.; Prieto, Esteban - 2012
between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …
Persistent link: https://www.econbiz.de/10010283577
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Terms of trade, catch-up, and home market effect: the example of Japan
Urban, Dieter M. - 2007
. These two effects are tested against each other in a cointegration analysis for Japan and the US from 1957 until 1997 …
Persistent link: https://www.econbiz.de/10010264264
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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/10010270503