Narrow search
Showing 1 - 10 of 447
Cover Image
Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749
Persistent link: https://www.econbiz.de/10013455611
Cover Image
Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
. The analysis is conducted for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and … near future, namely central banks are perceived as more credible when sticking to their goal of keeping inflation at a low …, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of …
Persistent link: https://www.econbiz.de/10012508617
Cover Image
Modelling African inflation rates : non-linear deterministic terms and long-range dependence
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2014
Persistent link: https://www.econbiz.de/10010364599
Cover Image
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/10011392136
Cover Image
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
Cover Image
African growth, non-linearities and strong dependence : an empirical study
Balparda, Borja; Caporale, Guglielmo Maria; Gil-Alaña, … - 2015
Persistent link: https://www.econbiz.de/10010527217
Cover Image
Modelling African inflation rates : nonlinear deterministic terms and long-range dependence
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: Applied economics letters 22 (2015) 4/6, pp. 421-424
Persistent link: https://www.econbiz.de/10010507895
Cover Image
The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015
Persistent link: https://www.econbiz.de/10011448197
Cover Image
Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices
Caporale, Guglielmo Maria - 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/10012866377
Cover Image
The EMBI in Latin America : Fractional Integration, Non-Linearities and Breaks
Caporale, Guglielmo Maria - 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/10013009842