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Revisiting the long-run relationship between real exchange rates and real interest differentials : a productivity differential approach

Caporale, Guglielmo Maria; Pittis, Nikitas - 1998

Persistent link: https://www.econbiz.de/10000667260

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2001

Persistent link: https://www.econbiz.de/10001606213

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...

Persistent link: https://www.econbiz.de/10009614880

Functional shocks to inflation expectations and real interest rates and their macroeconomic effects

Anderl, Christina; Caporale, Guglielmo Maria - 2023

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations … on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear … and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand …

Persistent link: https://www.econbiz.de/10014364953