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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria - 2013

, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 … Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite … direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These …

Persistent link: https://www.econbiz.de/10013083258

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

Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria - 2014

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10013071161

Environmental Regulation and Competitiveness : Evidence from Romania

Arouri, Mohamed El Hedi; Caporale, Guglielmo Maria; … - 2021

According to the pollution haven hypotheses differences in environmental regulation affect trade flows and plant location. Specifically, environmental stringency should decrease exports and increase imports of 'dirty' goods. This paper estimates a gravity model to establish whether the...

Persistent link: https://www.econbiz.de/10013315867

Migration and Social Insurance

Cremer, Helmuth - 2011

A wide variety of social protection systems coexist within the EU. Some member states provide social insurance that is of Beveridgean inspiration (with universal and more or less flat benefits), while others offer a system that is mainly Bismarckian (with benefits related to past contributions)....

Persistent link: https://www.econbiz.de/10013124178

Social Long Term Care Insurance and Redistribution

Cremer, Helmuth - 2011

We study the role of social long term care (LTC) insurance when income taxation and private insurance markets are imperfect. Policy instruments include public provision of LTC as well as a subsidy on private insurance. The subsidy scheme may be linear or nonlinear. For the linear part we...

Persistent link: https://www.econbiz.de/10013124972

Long-Term Care Policy, Myopia and Redistribution

Cremer, Helmuth - 2012

This paper examines whether myopia (misperception of the long-term care (LTC) risk) and private insurance market loading costs can justify social LTC insurance and/or the subsidization of private insurance. We use a two-period model wherein individuals differ in three unobservable...

Persistent link: https://www.econbiz.de/10013104574

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

Income Taxation of Couples and the Tax Unit Choice

Cremer, Helmuth - 2007

This paper studies the optimal non linear income tax of couples. We build a general unitary model of labor supply and allow multidimensional heterogeneity in a discrete type framework. We concentrate our analysis on the resulting intra-family labor allocation of labor supplies and show that this...

Persistent link: https://www.econbiz.de/10012777292

Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

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