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  1. Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/142794
    Schriftenreihe: DIW Discussion Papers ; 1590
    Schlagworte: Multipler Wechselkurs; Währungskorb; Strukturbruch; Nichtlineare Optimierung
    Weitere Schlagworte: (stw)Wechselkurssystem; (stw)Währungskorb; (stw)Strukturbruch; (stw)Nichtlineare Optimierung; (stw)ASEAN-Staaten; (stw)China; (stw)USA; jel:F31; jel:C22; ASEAN currencies; Chinese RMB; US dollar peg; fractional integration; breaks; Arbeitspapier; Graue Literatur
    Umfang: Online-Ressource
  2. Islamic banking, credit and economic growth
    some empirical evidence
    Autor*in: Caporale, Guglielmo Maria; Helmi, Mohamad Husam
    Erschienen: January 2016
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 16-02
    Umfang: 1 Online-Ressource (circa 29 Seiten)
  3. Long-term interest rates in Europe
    a fractional cointegration analysis
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: January 2016
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 16-03
    Umfang: 1 Online-Ressource (circa 20 Seiten)
  4. Macro news and exchange rates in the BRICS
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: February 2016
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 16-04
    Umfang: 1 Online-Ressource (circa 9 Seiten)
  5. The bank lending channel in a dual banking system
    evidence from Malaysia
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, Mohamad Husam; Ali, Faek Menla; Tajik, Mohammad
    Erschienen: March 2016
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 16-05
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  6. Exchange rates and macro news in emerging markets
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: March 2016
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Format: Online
    Schriftenreihe: Economics and finance working paper series ; no. 16-07
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  7. Calendar anomalies in the Ukrainian stock market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: April 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, München

    This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5877)
    Fernleihe:
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    This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; Halloween Effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the Turn of the Year and Halloween Effect for the PFTS index, and the Month of the Year Effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the Turn of the Year Effect for the PFTS index and the Month of the Year Effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/141854
    Schriftenreihe: Array ; no. 5877
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  8. Islamic banking, credit and economic growth
    some empirical evidence
    Autor*in: Caporale, Guglielmo Maria; Helmi, Mohamad Husam
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung, Berlin

    This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including bothIslamic and... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1541)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including bothIslamic and conventional banks. Unlike previous studies, it checks the robustness of the results by applying both time series and panel methods; moreover, it tests for both long- and short-run causality. In brief, the findings highlight significant differences between the two sets of countries reflecting the distinctive features of Islamic banks. Specifically, the time series analysis provides evidence of long-run causality running from credit to GDP in countries with Islamic banks only. This is confirmed by the panel causality tests, although in this case short-run causality in countries without Islamic banks is also found.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/126106
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1541
    Umfang: 1 Online-Ressource (27 Seiten)
  9. The bank lending channel in a dual banking system
    evidence from Malaysia
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, Mohamad Husam; Ali, Faek Menla; Tajik, Mohammad
    Erschienen: March 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, München

    This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
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    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5807)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression (TVAR) model is estimated to take into account possible nonlinearities in the relationship between bank lending and monetary policy under different economic conditions. The results indicate that Islamic credit is less responsive than conventional credit to interest rate shocks in both the high and low growth regimes. By contrast, the relative importance of Islamic credit shocks in driving output growth is much greater in the low growth regime, their effects being positive. These findings can be interpreted in terms of the distinctive features of Islamic banks.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/130425
    Schriftenreihe: Array ; no. 5807
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  10. Exchange rates and macro news in emerging markets
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: March 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, München

    This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5816)
    Fernleihe:
    keine Fernleihe

     

    This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causality-in-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/130433
    Schriftenreihe: Array ; no. 5816
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  11. The bank lending channel in a dual banking system
    evidence from Malaysia
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, Mohamad Husam; Ali, Faek Menla; Tajik, Mohammad
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung, Berlin

    This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1557)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression (TVAR) model is estimated to take into account possible nonlinearities in the relationship between bank lending and monetary policy under different economic conditions. The results indicate that Islamic credit is less responsive than conventional credit to interest rate shocks in both the high and low growth regimes. By contrast, the relative importance of Islamic credit shocks in driving output growth is much greater in the low growth regime, their effects being positive. These findings can be interpreted in terms of the distinctive features of Islamic banks.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/129748
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1557
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  12. Exchange rates and macro news in emerging markets
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung, Berlin

    This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1558)
    Fernleihe:
    keine Fernleihe

     

    This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results suggest limited dynamic linkages between the first moments compared to the second moments, causality-in-variance being found in a number of cases. The conditional correlations also provide evidence of co-movement. Finally, the recent global financial crisis appears to have had a significant impact.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/129749
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1558
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  13. Calendar anomalies in the Ukrainian stock market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1573)
    Fernleihe:
    keine Fernleihe

     

    This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; HalloweenEffect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the Turn of the Year and Halloween Effect for the PFTS index, and the Month of the Year Effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the Turn of the Year Effect for the PFTS index and the Month of the Year Effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/137587
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1573
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  14. Exchange rate linkages between the ASEAN currencies, the US Dollar and the Chinese RMB
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: July 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5995)
    Fernleihe:
    keine Fernleihe

     

    This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/145030
    Schriftenreihe: Array ; no. 5995
    Schlagworte: Wechselkurssystem; Währungskorb; Strukturbruch; Nichtlineare Optimierung; ASEAN-Staaten; China; USA
    Umfang: 1 Online-Ressource (circa 35 Seiten)
  15. Islamic banking, credit and economic growth
    some empirical evidence
    Autor*in: Caporale, Guglielmo Maria; Helmi, Mohamad Husam
    Erschienen: January 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, München

    This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including both Islamic and... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5716)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including both Islamic and conventional banks. Unlike previous studies, it checks the robustness of the results by applying both time series and panel methods; moreover, it tests for both long- and short-run causality. In brief, the findings highlight significant differences between the two sets of countries reflecting the distinctive features of Islamic banks. Specifically, the time series analysis provides evidence of long-run causality running from credit to GDP in countries with Islamic banks only. This is confirmed by the panel causality tests, although in this case short-run causality in countries without Islamic banks is also found.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/128414
    Schriftenreihe: Array ; no. 5716
    Umfang: 1 Online-Ressource (27 Seiten)
  16. Macro news and exchange rates in the BRICS
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: February 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, München

    This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
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    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5748)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/128446
    Schriftenreihe: Array ; no. 5748
    Umfang: 1 Online-Ressource (circa 9 Seiten)
  17. Macro news and exchange rates in the BRICS
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: 2016
    Verlag:  Deutsches Institut für Wirtschaftsforschung, Berlin

    This paper examines the effects of newspaper headlines on the exchange rates vis-à-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000-... mehr

    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1545)
    Fernleihe:
    keine Fernleihe

     

    This paper examines the effects of newspaper headlines on the exchange rates vis-à-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the possible impact of the recent financial crisis as well. The results differ across countries, but provide in a number of cases evidence of significant spillovers, whose strength appears to have increased during the crisis. Further, given the increasingly global role of these countries, their FX markets have become more responsive to foreign news.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/127441
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1545
    Umfang: 1 Online-Ressource (8 Seiten)
  18. The performance of banks in the MENA region during the global financial crisis
    Autor*in: Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita
    Erschienen: 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 14 (1580)
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    This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings suggest that during the crisis the former outperformed the latter in that region. As for the determinants of profitability, size does not appear to play a role, whilst the liquidity ratio and net interest revenues seem to have a negative and positive effect respectively; GDP has a positive effect in the case of domestic banks.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/142026
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1580
    Umfang: 1 Online-Ressource (circa 28 Seiten)
  19. Competitive devaluations in commodity-based economies
    Colombia and the Pacific Alliance Group
    Autor*in: Caporale, Guglielmo Maria; Costamagna, Rodrigo; Rossini, Gustavo
    Erschienen: May 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper investigates whether there is an S-Curve in Colombia using bilateral and disaggregated quarterly data for the period 1991-2014. More precisely, the short-run effects of a depreciation on the TB are analysed in 27 industries covered by the... mehr

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    This paper investigates whether there is an S-Curve in Colombia using bilateral and disaggregated quarterly data for the period 1991-2014. More precisely, the short-run effects of a depreciation on the TB are analysed in 27 industries covered by the PAG Free Trade Agreement. The S-Curve found in sectors representing 30% of total industrial production suggests that in these cases competitive devaluations have a positive effect on the TB in the short run. However, the regression analysis using both OLS and FE methods shows that sizable ones are needed to produce the desired effects on trade flows. Our findings have important policy implications: since only large competitive devaluations can restore TB equilibrium, industrial restructuring would appear to be a more sensible strategy, though this cannot be achieved in the short run and is instead a medium/long-term goal.

     
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    Format: Online
    Weitere Identifier:
    hdl: 10419/142027
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1581
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  20. Equity fund flows and stock market returns in the US before and after the global financial crisis
    a VAR-GARCH-in-mean analysis
    Autor*in: Babalos, Vassilios; Caporale, Guglielmo Maria; Spagnolo, Nicola
    Erschienen: May 25, 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with... mehr

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    The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a switch dummy for the global financial crisis is also included. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results.

     
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    Weitere Identifier:
    hdl: 10419/142029
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1583
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  21. The performance of banks in the MENA region during the global financial crisis
    Autor*in: Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita
    Erschienen: May 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings... mehr

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    This paper examines the impact of the global financial crisis on the banking sector in the Middle East and North Africa (MENA) region, as well as the main determinants of the profitability of both domestic and foreign banks. The empirical findings suggest that during the crisis the former outperformed the latter in that region. As for the determinants of profitability, size does not appear to play a role, whilst the liquidity ratio and net interest revenues seem to have a negative and positive effect respectively; GDP has a positive effect in the case of domestic banks.

     
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    Format: Online
    Weitere Identifier:
    hdl: 10419/144956
    Schriftenreihe: Array ; no. 5921
    Umfang: 1 Online-Ressource (circa 28 Seiten)
  22. Equity fund flows and stock market returns in the US before and after the global financial crisis
    a VAR-GARCH-in-mean Analysis
    Autor*in: Babalos, Vassilios; Caporale, Guglielmo Maria; Spagnolo, Nicola
    Erschienen: June 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with... mehr

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    DS 63 (5932)
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    The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a switch dummy for the global financial crisis is also included. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check we augment the model with a a set of macroeconomic control variables. Their inclusion does not affect the main results.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/144967
    Schriftenreihe: Array ; no.5932
    Umfang: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  23. Competitive devaluations in commodity-based economics
    Colombia and the Pacific Alliance Group
    Autor*in: Caporale, Guglielmo Maria; Costamagna, Rodrigo; Rossini, Gustavo
    Erschienen: May 2016
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper investigates whether there is an S-Curve in Colombia using bilateral and disaggregated quarterly data for the period 1991-2014. More precisely, the short-run effects of a depreciation on the TB are analysed in 27 industries covered by the... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
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    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (5907)
    Fernleihe:
    keine Fernleihe

     

    This paper investigates whether there is an S-Curve in Colombia using bilateral and disaggregated quarterly data for the period 1991-2014. More precisely, the short-run effects of a depreciation on the TB are analysed in 27 industries covered by the PAG Free Trade Agreement. The S-Curve found in sectors representing 30% of total industrial production suggests that in these cases competitive devaluations have a positive effect on the TB in the short run. However, the regression analysis using both OLS and FE methods shows that sizable ones are needed to produce the desired effects on trade flows. Our findings have important policy implications: since only large competitive devaluations can restore TB equilibrium, industrial restructuring would appear to be a more sensible strategy, though this cannot be achieved in the short run and is instead a medium/long-term goal.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Weitere Identifier:
    hdl: 10419/141884
    Schriftenreihe: Array ; no. 5907
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  24. Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional... mehr

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    This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.

     
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    Weitere Identifier:
    hdl: 10419/142794
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1590
    Schlagworte: Wechselkurssystem; Währungskorb; Strukturbruch; Nichtlineare Optimierung; ASEAN-Staaten; China; USA
    Umfang: 1 Online-Ressource (circa 37 Seiten)
  25. Analysing the determinants of credit risk for general insurance firms in the UK
    Autor*in: Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan
    Erschienen: 2016
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much... mehr

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    This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of insurance firms. The implications of these findings for regulators of GI firms under the coming Solvency II are discussed.

     
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    Weitere Identifier:
    hdl: 10419/142795
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1591
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen