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Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...

Persistent link: https://www.econbiz.de/10012199998

Where is the value added? : trade liberalization and production networks

Aichele, Rahel; Heiland, Inga - 2016

theory-based measures for production networks from a multi-sector gravity model with inter-sectoral linkages to analyze the …, calibrate it to the year 2000 using the World Input-Output Database, and perform a counterfactual analysis of China’s WTO … and for about 7% of the decline in this figure on the world level as observed between 2000 and 2007. Furthermore, our …

Persistent link: https://www.econbiz.de/10011517926

Going deep : the trade and welfare effects of TTIP

Aichele, Rahel; Felbermayr, Gabriel J.; Heiland, Inga - 2014

rest of the world relative to the status quo. However, there is substantial heterogeneity across the 134 geographical …

Persistent link: https://www.econbiz.de/10010469287

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10011387464

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10003965099

Employment growth, inflation and output growth : was Phillips right? ; evidence from a dynamic panel

Caporale, Guglielmo Maria; Škare, Marinko - 2011

growth, giving support to Phillips' Golden Triangle theory. …

Persistent link: https://www.econbiz.de/10009162091

Kyoto and carbon leakage : an empirical analysis of the carbon content of bilateral trade

Aichele, Rahel; Felbermayr, Gabriel - 2011

Has the Kyoto Protocol induced carbon leakage? We conduct the first empirical ex-post evaluation of the Protocol. We derive a theoretical gravity equation for the CO2 content of trade, which accounts for intermediate inputs, both domestic and imported. The structure of our new panel database of...

Persistent link: https://www.econbiz.de/10009383458

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 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/10009743845

Transatlantic free trade : the view point of Germany

Felbermayr, Gabriel; Aichele, Rahel - 2014

America would be the largest preferential trade agreement in the world. Encompassing almost half of world GDP, it will have …

Persistent link: https://www.econbiz.de/10010469280

Trade flows, private credit and the Covid-19 pandemic : panel evidence from 35 OECD countries

Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, … - 2021

This paper analyses the impact of the Covid-19 pandemic on exports and imports in the case of 35 OECD countries during the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In contrast to earlier studies, the empirical specification...

Persistent link: https://www.econbiz.de/10012668484