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Islamic banking, credit and economic growth : some empirical evidence

Caporale, Guglielmo Maria; Helmi, Mohamad Husam - 2016

This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including both Islamic and conventional banks. Unlike previous studies,...

Persistent link: https://www.econbiz.de/10011416380

On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013

, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 … Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite … direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These …

Persistent link: https://www.econbiz.de/10009727058

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012138849

Europe agreements and trade balance : evidence from four new EU members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2011

This paper analyses the trade balance effects of Europe agreements (EA) between the EU-15 and four new EU members from Central and Eastern Europe (CEEC-4) using both static and dynamic panel data approaches. Specifically, the system Generalized Method of Moments (GMM, Blundell and Bond, 1998)...

Persistent link: https://www.econbiz.de/10009010184

Environmental regulation and competitiveness : evidence from Romania

Arouri, Mohamed; Caporale, Guglielmo Maria; Rault, … - 2012

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/10009581725

Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC,...

Persistent link: https://www.econbiz.de/10013041344

The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...

Persistent link: https://www.econbiz.de/10012653308

US policy responses to the Covid-19 pandemic and sectoral stock indices : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, … - 2021

This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...

Persistent link: https://www.econbiz.de/10012653343

The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

The Covid-19 pandemic, policy responses and stock markets in the G20

Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2021

This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or lockdown policies, our analysis is based on a...

Persistent link: https://www.econbiz.de/10012622463