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Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Caporale, Guglielmo Maria - 2015
We use a representative consumer model to analyse the relation between the transitory deviations of consumption from its common trend with aggregate wealth and labour income, cay, and the housing risk premium. The evidence based on data for 15 OECD countries shows that, if financial and housing...
Persistent link: https://www.econbiz.de/10013026047
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US disposable personal income and housing price index : a fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10008662898
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US disposable personal income and housing price index : a fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10008697849
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US disposable personal income and housing price index : a fractional integration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10009268974
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Re-examining the decline in the US saving rate : the impact of mortgage equity withdrawal
Caporale, Guglielmo Maria; Costantini, Mauro; Paradiso, … - In: Journal of international financial markets, … 26 (2013), pp. 215-225
Persistent link: https://www.econbiz.de/10010234911
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US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 2010
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10013137093
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US house prices by census division : persistence, trends and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...
Persistent link: https://www.econbiz.de/10013472362
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US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 2013
July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration …
Persistent link: https://www.econbiz.de/10013094212
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Are PPP tests erratically behaved? : Some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003391548
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Are PPP tests erratically behaved? : some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce … disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics …
Persistent link: https://www.econbiz.de/10003394591