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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria - 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 rate changes is found in the US and in the opposite … direction in the euro area and Japan, whilst there is evidence of bidirectional feedback in Switzerland and Canada. The results …

Persistent link: https://www.econbiz.de/10013083442

Financial Development and Economic Growth : Evidence from Ten New EU Members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009

This paper reviews the main features of the banking and financial sector in ten new EU members, and then examines the relationship between financial development and economic growth in these countries by estimating a dynamic panel model over the period 1994-2007. The evidence suggests that the...

Persistent link: https://www.econbiz.de/10014201474

Islamic Banking, Credit and Economic Growth : Some Empirical Evidence

Caporale, Guglielmo Maria - 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/10013001561

Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

Persistent link: https://www.econbiz.de/10012960910

International Capital Markets Structure, Preferences and Puzzles : The US-China Case

Caporale, Guglielmo Maria - 2014

A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility...

Persistent link: https://www.econbiz.de/10013058944

Short-Term Price Overreaction : Identification, Testing, Exploitation

Caporale, Guglielmo Maria - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10013043917

Bank Lending Procyclicality and Credit Quality During Financial Crises

Caporale, Guglielmo Maria - 2013

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...

Persistent link: https://www.econbiz.de/10013079293

Persistence and Cycles in US Hours Worked

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012

This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

Persistent link: https://www.econbiz.de/10014171216

The PPP Hypothesis Revisited : Evidence Using a Multivariate Long-Memory Model

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - 2013

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...

Persistent link: https://www.econbiz.de/10014158955

Long-Term Price Overreactions : Are Markets Inefficient?

Caporale, Guglielmo Maria - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10013029864