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Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 35 (2008) 3, pp. 241-253

Persistent link: https://www.econbiz.de/10003726470

Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates

Caporale, Guglielmo Maria (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003391466

Long memory at the long-run and the seasonal monthly frequencies in the US money stock

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied economics letters 13 (2006) 15, pp. 965-968

Persistent link: https://www.econbiz.de/10003402311

Unit roots and long-run causality : investigating the relationship between output, money and interest rates

Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112

Persistent link: https://www.econbiz.de/10001247848

Persistence and Cycles in the US Federal Funds Rate

Caporale, Guglielmo Maria - 2012

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10013097750