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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
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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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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
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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
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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
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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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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
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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