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On the persistence of UK inflation : a long-range dependence approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively … stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an …

Persistent link: https://www.econbiz.de/10011819378

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for...

Persistent link: https://www.econbiz.de/10014431268

Long memory and data frequency in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

Persistent link: https://www.econbiz.de/10011619676

A long-memory model for multiple cycles with an application to the S&P500

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024

from 1 January 1970 to 26 October 2023 as an illustration. The estimation results based on the first differenced logged …

Persistent link: https://www.econbiz.de/10014470433

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10011669019

Catching-up and inflation in Europe : Balassa-Samuelson, Engel's law and other Culprits

Égert, Balázs - 2010

This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special … focus on the new member countries of Central and Eastern Europe. Using an array of estimation methods, we show that the … Balassa-Samuelson effect is not an important driver of inflation rates. By contrast, we find that the initial price level and …

Persistent link: https://www.econbiz.de/10003982012

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

Persistent link: https://www.econbiz.de/10013285647

Persistence and long memory in monetary policy spreads

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

The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the...

Persistent link: https://www.econbiz.de/10012308499

The price puzzle revisited : can the cost channel explain a rise in inflation after a monetary policy shock?

Henzel, Steffen; Hülsewig, Oliver; Mayer, Eric; … - 2007

Persistent link: https://www.econbiz.de/10003499532

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2009

, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at … ; inflation …

Persistent link: https://www.econbiz.de/10003850335