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Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques

Caporale, Guglielmo Maria - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

Persistent link: https://www.econbiz.de/10012954348

Employment Growth, Inflation and Output Growth : Was Phillips Right? Evidence from a Dynamic Panel

Caporale, Guglielmo Maria - 2013

In this paper we analyse the short- and long-run relationship between employment growth, inflation and output growth in … causality tests. The empirical results strongly support the existence of a single cointegrating relationship between employment … growth, inflation and output growth with bidirectional causality between employment growth and inflation as well as output …

Persistent link: https://www.econbiz.de/10013092691

Fiscal Shocks and Real Exchange Rate Dynamics : Some Evidence for Latin America

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021

This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...

Persistent link: https://www.econbiz.de/10013316574

Fiscal Adjustments and Business Cycle Synchronization

Agnello, Luca - 2013

Using a panel of annual data for 20 countries we show that synchronized fiscal consolidation (stimulus) programmes in different countries make their business cycles more closely linked, especially in the case of fiscal adjustments lasting 2 or 3 years. We also find: (i) little evidence of...

Persistent link: https://www.econbiz.de/10013071388

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global …

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

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

Sources of Real Exchange Rate Volatility and International Financial Integration : A Dynamic GMM Panel Approach

Caporale, Guglielmo Maria - 2011

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...

Persistent link: https://www.econbiz.de/10013117985

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 techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

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

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

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013081704