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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange
Caporale, Guglielmo Maria - 2020
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …
Persistent link: https://www.econbiz.de/10012845690
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Herd behaviour in extreme market conditions : the case of the Athens stock exchange
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003769852
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US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …
Persistent link: https://www.econbiz.de/10014234020
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Fiscal shocks and real exchange rate dynamics : some evidence for Latin America
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - In: Journal of international money and finance 30 (2011) 5, pp. 709-723
Persistent link: https://www.econbiz.de/10009268779
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Fiscal shocks and real exchange rate dynamics : some evidence for Latin America
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641715
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Fiscal shocks and real exchange rate dynamics : some evidence for Latin America
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641983
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Fiscal Shocks and Real Exchange Rate Dynamics : Some Evidence for Latin America
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021
This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...
Persistent link: https://www.econbiz.de/10013316574
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Brexit and uncertainty in financial markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trani, … - 2018
Persistent link: https://www.econbiz.de/10011995622
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Financial integration in the GCC region : market size versus national effects
Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, … - 2018
Persistent link: https://www.econbiz.de/10011995788