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Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: International review of financial analysis 45 (2016), pp. 180-188

Persistent link: https://www.econbiz.de/10011581967

A macroeconomic model of CETA's impact on Austria

Breuss, Fritz - 2017

generation) free trade agreement the EU has ever negotiated. It is a "mixed" agreement with EU and member countries competences …. Most elements of the agreement for which the EU has "exclusive competence", including the chapter on tariffs and non … prototype model and can easily be applied to other foreign trade agreements the EU is planning. A comparison shows that TTIP …

Persistent link: https://www.econbiz.de/10011631052

The Impact of the COVID-19 Pandemic on Persistence in the European Stock Markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 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/10013322780

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Persistent link: https://www.econbiz.de/10013013497

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

Persistent link: https://www.econbiz.de/10013014905

Was ECB's Monetary Policy Optimal?

Breuss, Fritz - 2004

Overall, the ECB managed monetary policy quite satisfactorily in the first phase of EMU. Nevertheless, this paper asks whether monetary policy could not have been improved. In the last three years, Euroland was confronted with the first external shock. Oil prices increased considerably, leading...

Persistent link: https://www.econbiz.de/10014070224

Was Ecb's Monetary Policy Optimal?

Breuss, Fritz - 2004

Persistent link: https://www.econbiz.de/10014070251

Benefits and Dangers of EU Enlargement

Breuss, Fritz - 2004

A new macroeconomic evaluation of EU enlargement is undertaken with a world macroeconomic model taking into account all … gain around ten times more from enlargement than the EU. Hungary and Poland can increase their real GDP by around 8 to 9 … percent over a ten year period, the Czech Republic gains a little bit less (5 to 6 percent). The EU on average would gain …

Persistent link: https://www.econbiz.de/10014070793

High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

Monetary and macroprudential policy complementarities : evidence from European credit registers

Altavilla, Carlo; Laeven, Luc; Peydró, José-Luis - 2021

Persistent link: https://www.econbiz.de/10012822129