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  1. A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates
    Autor*in: Barassi, Marco R.; Caporale, Guglielmo Maria; Hall, Stephen G.
    Erschienen: 2004

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    Schriftenreihe: Department of Economics discussion paper / the University of Birmingham ; 04-09
    Schlagworte: Zins; Zinsstruktur; Strukturbruch; Kausalanalyse; G7-Staaten
    Umfang: 29 S, graph. Darst
  2. Panel data tests of PPP
    a critical overview
    Autor*in: Caporale, Guglielmo Maria
    Erschienen: 2004
    Verlag:  Inst. für Höhere Studien, Wien

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    Schriftenreihe: Reihe Ökonomie ; 159
    Schlagworte: Kaufkraftparität; Einheitswurzeltest; Kointegration; Varianzanalyse
    Umfang: 39 S
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  3. Parameter instability and forecasting performance
    a Monte Carlo study
    Autor*in: Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 2004
    Verlag:  Inst. für Höhere Studien, Wien

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    Schriftenreihe: Reihe Ökonomie ; 160
    Schlagworte: Monte-Carlo-Simulation; Prognoseverfahren; Schätztheorie; Korrelation
    Umfang: 16 S
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  4. Long-run and cyclical dynamics in the US stock market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: 2004
    Verlag:  Inst. für Höhere Studien, Wien

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    Schriftenreihe: Reihe Ökonomie ; 155
    Schlagworte: Aktienmarkt; Zeitreihenanalyse; Einheitswurzeltest; USA
    Umfang: 29 S, graph. Darst
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  5. Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of structural invariance
    some Monte Carlo evidence
    Autor*in: Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 2004
    Verlag:  Inst. für Höhere Studien, Wien

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    Schriftenreihe: Reihe Ökonomie ; 157
    Schlagworte: Monte-Carlo-Simulation; Kointegration; Statistischer Test; Strukturbruch
    Umfang: 25 S
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  6. Long-run and cyclical dynamics in the US stock market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: 2004
    Verlag:  IHS, Wien

    This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero... mehr

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    This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We consider inflation, real risk-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing exclusively on the long-run frequency, the estimated order of integration varies considerably, but nonstationarity is found only for the price/dividend ratio. When the cyclical component is also taken into account, most series appear to be stationary and to exhibit long memory. Further, mean reversion occurs. Finally, the fractional (at zero and cyclical) models are shown to forecast more accurately than rival ones based on fractional and integer differentiation exclusively at the zero frequency. -- stock market ; fractional cycles ; long memory ; Gegenbauer processes

     
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    hdl: 10419/72287
    Schriftenreihe: Reihe Ökonomie / Institut für Höhere Studien ; 155
    Schlagworte: Aktienmarkt; Zeitreihenanalyse; Einheitswurzeltest; USA
    Umfang: Online-Ressource (29 S.), graph. Darst.
  7. Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance
    some Monte Carlo evidence /
    Autor*in: Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 2004
    Verlag:  IHS, Wien

    This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform... mehr

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    This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or nonpredetermined regressors even if over-specified. In this case, the empirical sizes of both tests are close to the nominal ones, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included in the set of parameters shifting, especially towards the end of the sample. -- CUSUM and CUSUM-of-squares tests ; parameter instability ; structural invariance ; marginal and conditional processes ; ADL model

     
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    hdl: 10419/72284
    Schriftenreihe: Reihe Ökonomie / Institut für Höhere Studien ; 157
    Schlagworte: Monte-Carlo-Simulation; Kointegration; Statistischer Test; Strukturbruch
    Umfang: Online-Ressource (25 S.)
  8. Panel data tests of PPP
    a critical overview
    Autor*in: Caporale, Guglielmo Maria; Cerrato, Mario
    Erschienen: 2004
    Verlag:  IHS, Wien

    This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors.... mehr

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    This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct for the bias resulting from homogeneous cross-sectional dependence is not effective; more worryingly, it introduces cross-correlation when it is not already present. Third, standard corrections for the case of heterogeneous cross-sectional dependence do not generally produce consistent estimators. Fourth, if there is between-group correlation in the innovations, the SURE estimator is affected by similar problems to FGLS methods, and does not necessarily outperform OLS. Finally, cointegration between different groups in the panel could also be a source of size distortions. We offer some empirical guidelines to deal with these problems, but conclude that panel methods are unlikely to solve the PPP puzzle. -- Purchasing Power Parity (PPP) ; panel unit root and cointegration tests ; cross-sectional dependence

     
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    hdl: 10419/72259
    Schriftenreihe: Reihe Ökonomie / Institut für Höhere Studien ; 159
    Schlagworte: Kaufkraftparität; Einheitswurzeltest; Kointegration; Varianzanalyse
    Umfang: Online-Ressource (39 S.)
  9. Parameter instability and forecasting performance
    a Monte Carlo study
    Autor*in: Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 2004
    Verlag:  IHS, Wien

    This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when... mehr

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    This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM, this loss being an increasing function of the degree of persistence and of the variance of the process driving the slope coefficient. A loss is also incurred when a TVCM different from the correct one is specified, the resulting forecasts being even less accurate than those of a FCM. However, the loss can be minimised by selecting a TVCM which, although incorrect, nests the true one, more specifically an AR(1) model with a constant. Finally, there is hardly any loss resulting from using a TVCM when the underlying DGP is characterised by fixed coefficients. --fixed coefficient models ; time varying parameter models ; forecasting

     
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    hdl: 10419/72302
    Schriftenreihe: Reihe Ökonomie / Institut für Höhere Studien ; 160
    Schlagworte: Monte-Carlo-Simulation; Prognoseverfahren; Schätztheorie; Korrelation
    Umfang: Online-Ressource (16 S.)
  10. Testing unemployment theories
    a multivariate long memory approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, Yuliya
    Erschienen: 2014
    Verlag:  CESifo, München

    This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long... mehr

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    This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary depending on whether the former or the latter approach is followed. Specifically, when taking a univariate approach, the unit root null cannot be rejected in case of the UK and Japanese unemployment series, and some degree of mean reversion (d < 1) is found in the case of the US unemployment rate. When applying multivariate methods instead, higher orders of integration are still found for the UK and Japanese series, but the NAIRU hypothesis cannot be rejected in the case of the US.

     
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    hdl: 10419/89743
    Schriftenreihe: Array ; 4570
    Umfang: Online-Ressource (17 S.), graph. Darst.
  11. Long memory in UK real GDP, 1851 - 2013
    an ARFIMA-FIGARCH analysis
    Autor*in: Caporale, Guglielmo Maria; Škare, Marinko
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-14
    Umfang: Online-Ressource (19 S.), graph. Darst.
  12. Oil price uncertainty and sectoral stock returns in China
    a time-varying approach
    Autor*in: Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-15
    Umfang: Online-Ressource (26 S.), graph. Darst.
  13. Macro news and stock returns in the euro area
    a VAR-GARCH-in-mean analysis
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-16
    Umfang: Online-Ressource (18 S.), graph. Darst.
  14. Macro news and stock returns in the euro area
    a VAR-GARCH-in-mean analysis
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  DIW, Berlin

    This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The... mehr

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    This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a decrease in stock returns. Markets are particularly responsive to negative news, and the reaction is bigger in the PIIGS countries, and during the recent crisis period.

     
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    hdl: 10419/103372
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1399
    Umfang: Online-Ressource (18 S.)
  15. Short-term price overreaction
    identification, testing, exploitation
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: 2014
    Verlag:  DIW, Berlin

    This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is... mehr

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    This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but it is profitable in the case of the US stock market. By contrast, a strategy exploiting the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.

     
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    hdl: 10419/104726
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1423
    Umfang: Online-Ressource (27 S.), graph. Darst.
  16. Macro news and bond yield spreads in the euro area
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-20
    Umfang: Online-Ressource (25 S.)
  17. Short-term price overreactions
    identification, testing, exploitation
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-21
    Umfang: Online-Ressource (27 S.), graph. Darst.
  18. Short-term price overreactions
    identification, testing, exploitation
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: 2014
    Verlag:  CESifo, München

    This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is... mehr

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    This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but it is profitable in the case of the US stock market. By contrast, a strategy exploiting the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.

     
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    hdl: 10419/105119
    Schriftenreihe: Array ; 5066
    Umfang: Online-Ressource (27 S.)
  19. Macro news and bond yield spreads in the euro area
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  DIW, Berlin

    This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the... mehr

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    This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999-2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarised as follows. Negative news have significant positive effects on yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility, the effects being more pronounced in the case of negative news and bigger in the most recent crisis period, especially in the PIIGS countries. Further, the conditional correlations between yield spreads and negative news are significant and positive, and their increase in absolute value during the financial crisis (especially in the PIIGS countries) indicates a higher sensitivity of yield spreads to negative releases.

     
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    hdl: 10419/103352
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1413
    Umfang: Online-Ressource (25 S.), graph. Darst.
  20. Macro news and bond yield spreads in the Euro area
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  CESifo, München

    This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the... mehr

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    This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for the period 1999 - 2014. The econometric analysis is based on the estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility, the effects being more pronounced in the case of negative news and bigger in the most recent crisis period, especially in the PIIGS countries. Further, the conditional correlations between yield spreads and negative news are significant and positive, and their increase in absolute value during the financial crisis (especially in the PIIGS countries) indicates a higher sensitivity of yield spreads to negative releases.

     
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    hdl: 10419/103125
    Schriftenreihe: Array ; 5008
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  21. International capital markets structure, preferences and puzzles
    the US-China case
    Autor*in: Caporale, Guglielmo Maria; Donadelli, Michael; Varani, Alessia
    Erschienen: 2014
    Verlag:  DIW, Berlin

    A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the... mehr

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    A canonical two country-two good model with standard preferences does not address three classic international macroeconomic puzzles as well as two well-known asset pricing puzzles. Specifically, under financial autarky, it does not account for the high real exchange rate (RER) volatility relative to consumption volatility (RER volatility puzzle), the negative RER-consumption differentials correlation (Backus-Smith anomaly), the relatively low cross- country consumption correlation (consumption correlation puzzle), the low risk-free rate (risk-free rate puzzle) and the high equity risk premium (equity premium puzzle) in the data. In this paper, we show that instead a two country-two good model with recursive preferences, international complete markets and correlated long-run innovations can address all five puzzles for a relatively large range of parameter values, specifically in the case of the US and China. Therefore, in contrast to other IBC models, its performance does not rely on any financial market imperfections.

     
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    hdl: 10419/93068
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1362
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  22. Youth unemployment in Europe
    persistence and macroeconomic determinants
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: 2014
    Verlag:  CESifo, München

    This paper investigates the statistical features and the macroeconomic determinants of youth unemployment in a number of European countries. First, it explores its short and long memory properties by estimating both autoregressive and fractional... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    This paper investigates the statistical features and the macroeconomic determinants of youth unemployment in a number of European countries. First, it explores its short and long memory properties by estimating both autoregressive and fractional integration models. This type of analysis sheds light on the degree of persistence of the series, and on whether policy actions are required for highly persistent series. Second, it investigates the main determinants of youth unemployment in Europe by estimating fractional cointegration models. The evidence suggests that this series is highly persistent in all the countries examined, and that in some of them there is a statistically significant long-run equilibrium relationship linking it to macroeconomic variables such as GDP and inflation.

     
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    Schriftenreihe: Array ; 4696
    Umfang: Online-Ressource (19 S.)
  23. International capital markets structure, preferences and puzzles
    the US-China case
    Autor*in: Caporale, Guglielmo Maria; Donadelli, Michael; Varani, Alessia
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-02
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  24. Oil price uncertainty and sectoral stock returns in China
    a time-varying approach
    Autor*in: Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola
    Erschienen: 2014
    Verlag:  CESifo, München

    This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests... mehr

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks.

     
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    hdl: 10419/102182
    Schriftenreihe: Array ; 4881
    Umfang: Online-Ressource ([1], 26 S.), graph. Darst.
  25. A non-linear analysis of Gibson's paradox in the Netherlands, 1800 - 2012
    Autor*in: Caporale, Guglielmo Maria; Škare, Marinko
    Erschienen: 2014
    Verlag:  Brunel Univ. West London, Brunel Business School, Uxbridge

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    Schriftenreihe: Economics and finance working paper series / Brunel University West London, Brunel Business School ; 14-06
    Umfang: Online-Ressource (33 S.), graph. Darst.