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Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012024535

Inflation in the G7 countries : persistence and structural breaks

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

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or...

Persistent link: https://www.econbiz.de/10012226769

Gender unemployment catching-up : empirical evidence from Italian regions

Belloc, Marianna; Tilli, Riccardo - 2010

We study the persistence of the gender unemployment gap in the Italian regions in the 1992-2009 period. Results from unit-root tests analysis with structural break suggest that the process of gender catching-up in the unemployment rates is occurring in most of the regions but at different pace....

Persistent link: https://www.econbiz.de/10008807628

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

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

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://www.econbiz.de/10013417630

The sustainability of fiscal policy in Italy : a long-term perspective

Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta - 2012

debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of … budget constraint ; unit roots ; cointegration ; fiscal sustainability ; economic history …

Persistent link: https://www.econbiz.de/10009535101

Sustainability of German fiscal policy and public debt : historical and time series evidence for the period 1850-2010

Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - 2013

analysis, we conduct formal tests on fiscal sustainability, including tests on stationarity and cointegration and the …

Persistent link: https://www.econbiz.de/10009709423

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10011392612

US house prices by census division : persistence, trends and structural breaks

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

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...

Persistent link: https://www.econbiz.de/10013472362

Competition for natural resources and the hold-up problem

Hefeker, Carsten; Kessing, Sebastian - 2016

We study the role of competition for the hold-up problem in foreign direct investment in resource-based industries. The … host country government is not only unable to commit not to expropriate investment ex post, but is also unable to commit to … higher investment levels and increases host country revenues, but hurts pro.ts of international investors. …

Persistent link: https://www.econbiz.de/10011547727

The local power of the IPS test with both initial conditions and incidental trends

Lahiri, Kajal; Liang, Zhongwen; Peng, Huaming - 2017 - This version: Nov. 8, 2016

This paper investigates the asymptotic local power of the the averaged t-test of Im, Pesaran and Shin (2003, IPS hereafter) in the presence of both initial explosive conditions and incidental trends. By utilizing the least squares detrending methods, it is found that the initial condition plays...

Persistent link: https://www.econbiz.de/10011597286

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