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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
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
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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
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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
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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
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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
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Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10012989633
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Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint
Legrenzi, Gabriella Deborah; Milas, Costas - 2021
We apply non-linear error-correction models to the empirical testing of the sustainability of the government’s intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels...
Persistent link: https://www.econbiz.de/10013316265
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10013317180
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On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
Pagan, Adrian; Pesaran, M. Hashem - 2021
-run restrictions than are needed because of a failure to fully utilize the cointegration information …
Persistent link: https://www.econbiz.de/10013317222
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Structural Vector Autoregressions with Nonnormal Residuals
Lanne, Markku; Luetkepohl, Helmut - 2021
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10013317658