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Unit roots and long-run causality : investigating the relationship between output, money and interest rates
Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112
Persistent link: https://www.econbiz.de/10001247848
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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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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
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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/10013231967
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Unit roots and long-run causality : the case of output and financial variables
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1995
Persistent link: https://www.econbiz.de/10000909158
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Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach
Beirne, John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641941
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Persistence in US interest rates : is it stable over time?
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003739798
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013141038
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Domestic and external factors in interest rate determination
Caporale, Guglielmo Maria; Pittis, Nikitas - 1994
Persistent link: https://www.econbiz.de/10000899880