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Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10013317060

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

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

Caporale, Guglielmo Maria - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

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

Sustainability of German Fiscal Policy and Public Debt : Historical and Time Series Evidence for the Period 1850-2010

Burret, Heiko - 2013

cointegration and the estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject …

Persistent link: https://www.econbiz.de/10013085753

Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany

Buch, Claudia M. - 2013

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/10013090793

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries : Some Panel Evidence

Caporale, Guglielmo Maria - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10013155428

Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests

Caporale, Guglielmo Maria - 2017

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...

Persistent link: https://www.econbiz.de/10012953892

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

Cointegration of Matched Home Purchases and Rental Price Indexes -- Evidence from Singapore

Baltagi, Badi H. - 2015

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...

Persistent link: https://www.econbiz.de/10013011805

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