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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817
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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...
Persistent link: https://www.econbiz.de/10014234020
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Assessing market (dis)integration in early modern China and Europe
Bernhofen, Daniel M.; Eberhardt, Markus; Liang, Yusheng; … - 2015
This paper challenges established claims of comparable degrees of market integration in Europe and China on the eve of … process of market disintegration in 221 prefectures of Qing China. Comparing our results with those for grain price panels …
Persistent link: https://www.econbiz.de/10011375678
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A tale of two surplus countries : China and Germany
Cheung, Yin-Wong; Steinkamp, Sven; Westermann, Frank - 2019
We analyze current account imbalances through the lens of the two largest surplus countries; China and Germany. We … observe two striking patterns visible since the 2007/8 Global Financial Crisis. First, while China has been gradually reducing … these two countries, there is a remarkable reversal in the patterns of exchange rate misalignment: China’s currency has …
Persistent link: https://www.econbiz.de/10012024585
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Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10011982404
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 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/10003891665
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Short and long-run behaviour of long-term sovereign bond yields
Afonso, António - 2010
This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...
Persistent link: https://www.econbiz.de/10008732265
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Liberalization and stock market co-movement between emerging economies
Beine, Michel (contributor); Candelon, Bertrand (contributor) - 2007
Persistent link: https://www.econbiz.de/10003620171
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Integrating with their feet : cross-border lending at the German-Austrian border
Fidrmuc, Jarko (contributor); Hainz, Christa (contributor) - 2008
Persistent link: https://www.econbiz.de/10003688885
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Labour market rigidities, financial integration and international risk sharing in the OECD
Fidrmuc, Jarko (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003498778