Similar Search Results

The Effect of Income and Immigration Policies on International Migration

Ortega, Francesc - 2012

elasticity is twice as high for within-EU migration, reflecting the higher degree of labor mobility within the European Union. We …

Persistent link: https://www.econbiz.de/10012460341

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10013112600

Price Discovery and Trade Fragmentation in a Multi - Market Environment : Evidence from the MTS System

Caporale, Guglielmo Maria - 2013

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro - denominated government securities. Analyzing price data on daily transactions for 107 bonds over a period of twenty - seven months, we find a greater degree of price leadership...

Persistent link: https://www.econbiz.de/10013092631

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2013

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10013094544

EU Banks Rating Assignments : Is there Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria - 2013

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether “old” and “new” EU countries are rated differently and to determine whether “new” ones are … intercepts) are a crucial determinant of ratings. Whilst “new” EU countries typically have lower ratings than “old” ones, after …

Persistent link: https://www.econbiz.de/10013094667

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria - 2013

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/10013095113

Inflation and Inflation Uncertainty in the Euro Area

Caporale, Guglielmo Maria - 2013

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...

Persistent link: https://www.econbiz.de/10013095747

Youth Unemployment in Europe : Persistence and Macroeconomic Determinants

Caporale, Guglielmo Maria - 2014

This paper investigates the statistical features and the macroeconomic determinants of youth unemployment in a number of European countries. First, it explores its short and long memory properties by estimating both autoregressive and fractional integration models. This type of analysis sheds...

Persistent link: https://www.econbiz.de/10013055420

Brexit and Uncertainty in Financial Markets

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

persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU …

Persistent link: https://www.econbiz.de/10013315435

Europe Agreements and Trade Balance : Evidence from Four New EU Members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2021

This paper analyses the trade balance effects of Europe agreements (EA) between the EU-15 and four new EU members from …

Persistent link: https://www.econbiz.de/10013316072