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Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

Persistent link: https://www.econbiz.de/10012958879

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

Persistent link: https://www.econbiz.de/10013013497

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria - 2015

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

Persistent link: https://www.econbiz.de/10013019858

Persistence and Cycles in the US Federal Funds Rate

Caporale, Guglielmo Maria - 2013

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10013089178

Persistence and Cycles in US Hours Worked

Caporale, Guglielmo Maria - 2012

This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterized by auto-correlations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

Persistent link: https://www.econbiz.de/10013108087

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …

Persistent link: https://www.econbiz.de/10013126003

The Weekly Structure of US Stock Prices

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10013316133

US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis

Caporale, Guglielmo Maria - 2013

July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …

Persistent link: https://www.econbiz.de/10013094212

Long Memory in German Energy Price Indices

Barros, Carlos Pestana - 2012

This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...

Persistent link: https://www.econbiz.de/10013100504

Modelling Structural Breaks in the Us, UK and Japanese Unemployment Rates

Caporale, Guglielmo Maria - 2006

In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10012779948