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Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Recent econometric techniques for macroeconomic and …, (pp. 293-302). 2021

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (nonzero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012395490

Monetary and macroprudential policy complementarities: evidence from european credit registers

Altavilla, Carlo; Laeven, Luc; Peydró, José-Luis - 2020

Persistent link: https://www.econbiz.de/10012417097

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Research in international business and finance 52 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012543286

Assessing the efficacy, efficiency and potential side effects of the ECB's monetary policy instruments since 2014

Altavilla, Carlo; Lemke, Wolfgang; Linzert, Tobias; … - 2021

This paper summarises the work done by Eurosystem staff in the context of the Strategy Review Seminar on Monetary Policy Instruments. More specifically, it focuses on the efficacy, efficiency and potential side effects of the key monetary policy instruments employed by the European Central Bank...

Persistent link: https://www.econbiz.de/10012650793

The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 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/10012653308

The effects of the Covid-19 pandemic on stock markets, CDS and economic activity : time-varying evidence from the US and Europe

Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, … - 2021

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

Persistent link: https://www.econbiz.de/10012625628

Monetary and macroprudential policy complementarities : evidence from European credit registers

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

Persistent link: https://www.econbiz.de/10012819373

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

Fiscal multipliers in downturns and the effects of Euro Area consolidation

Gechert, Sebastian; Hughes Hallett, Andrew; Rannenberg, … - In: Applied economics letters 23 (2016) 16/18, pp. 1138-1140

Persistent link: https://www.econbiz.de/10011701716

Linkages between the US and European stock markets : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 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/10011343058