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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012582090

Monetary policy and the exchange rate during the Asian crisis : identification through heteroscedasticity

Caporale, Guglielmo Maria (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001535797

Excess returns in the EMS : do "weak" currencies still exit after the widening of the fluctuation bands?

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000914037

Modelling the Sterling-Deutschemark exchange rate : non-linear dependence and thick tails

Caporale, Guglielmo Maria; Pittis, Nikitas - 1994

Persistent link: https://www.econbiz.de/10000914052

Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000897287

Parameter instability, superexogeneity and the monetary model of the exchange rate

Caporale, Guglielmo Maria; Pittis, Nikitas - 1998

Persistent link: https://www.econbiz.de/10000978635

Cointegration and predictability of asset prices

Caporale, Guglielmo Maria; Pittis, Nikitas - 1998

Persistent link: https://www.econbiz.de/10000978641

Sterling's relationship with the Deutschmark : a probabilistic reduction approach

Caporale, Guglielmo Maria - In: Exchange rate policy in Europe, (pp. 45-59). 1997

Persistent link: https://www.econbiz.de/10001298342

Cointegration and predictability of asset prices

Caporale, Guglielmo Maria - In: Journal of international money and finance 17 (1998) 3, pp. 441-453

Persistent link: https://www.econbiz.de/10001246598

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