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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
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - In: International review of financial analysis 33 (2014), pp. 87-103
Persistent link: https://www.econbiz.de/10010520069
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Exchange rate dynamics and monetary unions in Africa : a fractional integration and cointegration analysis
Balparda, Borja; Caporale, Guglielmo Maria; Carcel, Hector - 2015
Persistent link: https://www.econbiz.de/10010527158
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Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour
Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - In: African development review 26 (2014) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10011313843
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Long memory in Angolan macroeconomic series : mean reversion versus explosive behaviour
Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012
Persistent link: https://www.econbiz.de/10009573955
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
rates ; causality-in-variance ; cointegration …
Persistent link: https://www.econbiz.de/10009727058
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007 - 2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
Persistent link: https://www.econbiz.de/10009731958
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On the linkages between stock prices and exchange rates : evidence from the banking crisis of 2007 - 2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013
rates ; Causality-in-variance ; Cointegration …
Persistent link: https://www.econbiz.de/10009735730
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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