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Guglielmo Maria Caporale

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christina Anderl & Guglielmo Maria Caporale, 2022. "Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence," CESifo Working Paper Series 9839, CESifo.

    Cited by:

    1. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).

  2. Christina Anderl & Guglielmo Maria Caporale, 2022. "Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts," CESifo Working Paper Series 9687, CESifo.

    Cited by:

    1. Christina Anderl & Guglielmo Maria Caporale, 2022. "Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence," CESifo Working Paper Series 9839, CESifo.

  3. Guglielmo Maria Caporale & Anamaria Diana Sova & Robert Sova, 2022. "The Covid-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model," CESifo Working Paper Series 9848, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Anamaria Diana Sova & Robert Sova, 2022. "The Covid-19 Pandemic and European Trade Patterns: A Sectoral Analysis," CESifo Working Paper Series 10115, CESifo.

  4. Guglielmo Maria Caporale & Juan Infante & Luis A. Gil-Alana & Raquel Ayestaran, 2022. "Inflation Persistence in Europe: The Effects of the Covid-19 Pandemic and of the Russia-Ukraine War," CESifo Working Paper Series 10071, CESifo.

    Cited by:

    1. Raquel Ayestarán & Juan Infante & Juan José Tenorio & Luis Alberiko Gil-Alana, 2023. "Evidence of Inflation Using Harmonized Consumer Price Indices in Some Euro Countries: France, Germany, Italy, and Spain, along with the Euro Zone," Mathematics, MDPI, vol. 11(10), pages 1-12, May.

  5. Christina Anderl & Guglielmo Maria Caporale, 2022. "Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations," CESifo Working Paper Series 9544, CESifo.

    Cited by:

    1. N. Mirza & B. Naqvi & S.K.A. Rizvi & S. Boubaker, 2023. "Exchange Rate Pass-through and Inflation Targeting Regime under Energy Price Shocks," Post-Print hal-04435474, HAL.
    2. Ben Cheikh, Nidhaleddine & Ben Zaied, Younes & Ben Ameur, Hachmi, 2023. "Recent developments in exchange rate pass-through: What have we learned from uncertain times?," Journal of International Money and Finance, Elsevier, vol. 131(C).
    3. Christina Anderl & Guglielmo Maria Caporale, 2023. "Functional Shocks to Inflation Expectations and Real Interest Rates and Their Macroeconomic Effects," CESifo Working Paper Series 10656, CESifo.
    4. Kwon, Janghan & Shin, Woongjae, 2023. "Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea," Economics Letters, Elsevier, vol. 230(C).

  6. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022. "Persistence in the Passion Investment Market," CESifo Working Paper Series 9586, CESifo.

    Cited by:

    1. Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.

  7. Guglielmo Maria Caporale & Anamaria Sova & Robert Sova, 2021. "Trade Flows, Private Credit and the Covid-19-Pandemic: Panel Evidence from 35 OECD Countries," CESifo Working Paper Series 9400, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Anamaria Diana Sova & Robert Sova, 2022. "The Covid-19 Pandemic and European Trade Patterns: A Sectoral Analysis," CESifo Working Paper Series 10115, CESifo.
    2. Guglielmo Maria Caporale & Anamaria Diana Sova & Robert Sova, 2022. "The Covid-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model," CESifo Working Paper Series 9848, CESifo.

  8. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2021. "The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20," CESifo Working Paper Series 9299, CESifo.

    Cited by:

    1. Yu, Xiaoling & Xiao, Kaitian, 2023. "COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    2. Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios & James Mitchell & Aristeidis Raftapostolos, 2023. "Deep Neural Network Estimation in Panel Data Models," Papers 2305.19921, arXiv.org.

  9. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields," CESifo Working Paper Series 8976, CESifo.

    Cited by:

    1. Zou, Fei & Huang, Lingyu & Ghaemi Asl, Mahdi & Delnavaz, Mohammad & Tiwari, Sunil, 2023. "Natural resources and green economic recovery in responsible investments: Role of ESG in context of Islamic sustainable investments," Resources Policy, Elsevier, vol. 86(PA).

  10. Guglielmo Maria Caporale & Alex Plastun, 2021. "Witching Days and Abnormal Profits in the US Stock Market," CESifo Working Paper Series 9360, CESifo.

    Cited by:

    1. Alex Plastun & Ludmila Khomutenko & Serhii Bashlai, 2022. "Is There Any Witching in the Cryptocurrency Market?," JRFM, MDPI, vol. 15(2), pages 1-14, February.

  11. Guglielmo Maria Caporale & Luis A. Gil-Alana & Maria Malmierca, 2021. "Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries," CESifo Working Paper Series 8889, CESifo.

    Cited by:

    1. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    2. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    3. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.

  12. Guglielmo Maria Caporale & Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah, 2021. "US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach," CESifo Working Paper Series 9386, CESifo.

    Cited by:

    1. Graziano, Elvira Anna & Fattobene, Lucrezia & Ricci, Ornella & Scimone, Xenia, 2023. "Market reactions to Recovery Fund press releases during COVID-19: An event-study analysis," Economics Letters, Elsevier, vol. 230(C).
    2. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.

  13. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2021. "Persistence in ESG and Conventional Stock Market Indices," CESifo Working Paper Series 9098, CESifo.

    Cited by:

    1. Kohnert, Dirk, 2023. "Moral Money in Sub-Saharan Africa? On ensuring ethics to drive sustainable investment," MPRA Paper 117779, University Library of Munich, Germany.
    2. Kohnert, Dirk, 2023. "La monnaie morale en Afrique subsaharienne ? Garantir l'éthique pour favoriser l'investissement durable [Moral Money in Sub-Saharan Africa? On ensuring ethics to drive sustainable investment]," MPRA Paper 117780, University Library of Munich, Germany.

  14. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2021. "The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets during the Covid-19 Pandemic," CESifo Working Paper Series 9163, CESifo.

    Cited by:

    1. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Gil-Alana, Luis Alberiko, 2022. "The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Juan Carlos Cuestas & Mercedes Monfort, 2022. "Fiscal consumption and private consumption in Europe: what have we learned?," Working Papers 2022/05, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.

  15. Guglielmo Maria Caporale & Anamaria Sova & Robert Sova, 2020. "The Direct and Indirect Effects of Financial Development on International Trade: Evidence from the CEEC-6," CESifo Working Paper Series 8585, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Anamaria Diana Sova & Robert Sova, 2022. "The Covid-19 Pandemic and European Trade Flows: Evidence from a Dynamic Panel Model," CESifo Working Paper Series 9848, CESifo.
    2. Saida Daly & Mohamed Abdouli, 2023. "The Nexus between Environmental Quality, Economic Growth, and Trade Openness in Saudi Arabia (1990-2017)," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 579-598, July.
    3. Guglielmo Maria Caporale & Anamaria Sova & Robert Sova, 2021. "Trade Flows, Private Credit and the Covid-19-Pandemic: Panel Evidence from 35 OECD Countries," CESifo Working Paper Series 9400, CESifo.

  16. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2020. "Inflation in the G7 Countries: Persistence and Structural Breaks," CESifo Working Paper Series 8349, CESifo.

    Cited by:

    1. Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).

  17. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Non-Linearities and Persistence in US Long-Run Interest Rates," CESifo Working Paper Series 8744, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields," CESifo Working Paper Series 8976, CESifo.
    2. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.

  18. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.

    Cited by:

    1. Dai, Xingyu & Dai, Peng-Fei & Wang, Qunwei & Ouyang, Zhi-Yi, 2023. "The impact of energy-exporting countries’ EPUs on China’s energy futures investors: Risk preference, investment position and investment horizon," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Sheng, Xin & Gupta, Rangan & Cepni, Oguzhan, 2022. "Persistence of state-level uncertainty of the United States: The role of climate risks," Economics Letters, Elsevier, vol. 215(C).
    3. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    4. Rababa’a, Abdel Razzaq Al & Alomari, Mohammad & Rehman, Mobeen Ur & McMillan, David & Hendawi, Raed, 2022. "Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management," Research in International Business and Finance, Elsevier, vol. 61(C).
    5. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).

  19. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.

    Cited by:

    1. McCully, Tuuli, 2023. "Drivers of portfolio flows into Chinese debt securities amidst China's bond market development," BOFIT Discussion Papers 8/2023, Bank of Finland Institute for Emerging Economies (BOFIT).

  20. Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.

  21. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.

    Cited by:

    1. Disli, Mustafa & Abd Rabbo, Fatima & Leneeuw, Thibault & Nagayev, Ruslan, 2022. "Cryptocurrency comovements and crypto exchange movement: The relocation of Binance," Finance Research Letters, Elsevier, vol. 48(C).

  22. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.

    Cited by:

    1. Lee A. Smales, 2021. "Volatility Spillovers among Cryptocurrencies," JRFM, MDPI, vol. 14(10), pages 1-12, October.
    2. Ziyao Wang & Yufei Xia & Yating Fu & Ying Liu, 2023. "Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
    3. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Gil-Alana, Luis Alberiko, 2022. "The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. André D. Gimenes & Jéfferson A. Colombo & Imran Yousaf, 2023. "Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
    5. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    6. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    7. Yousaf, Imran & Goodell, John W., 2023. "Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT," Finance Research Letters, Elsevier, vol. 54(C).
    8. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    9. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    10. Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Xuan Vinh Vo, 2022. "Liquidity connectedness in cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    11. Tian, Shu & Zhao, Bo & Olivares, Resi Ong, 2023. "Cybersecurity risks and central banks’ sentiment on central bank digital currency: Evidence from global cyberattacks," Finance Research Letters, Elsevier, vol. 53(C).
    12. Milunovich, George & Lee, Seung Ah, 2022. "Measuring the impact of digital exchange cyberattacks on Bitcoin Returns," Economics Letters, Elsevier, vol. 221(C).
    13. BRIK, Hatem & El OUAKDI, Jihene & FTITI, Zied, 2022. "Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics," Research in International Business and Finance, Elsevier, vol. 62(C).
    14. Ye, Wuyi & Li, Mingge & Wu, Yuehua, 2022. "A novel estimation of time-varying quantile correlation for financial contagion detection," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    15. Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
    16. Bazán-Palomino, Walter, 2022. "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 49(C).
    17. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
    18. Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    19. Yousaf, Imran & Goodell, John W., 2023. "Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks," Finance Research Letters, Elsevier, vol. 54(C).

  23. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Market Risk Premium: Evidence across Countries," CESifo Working Paper Series 8211, CESifo.

    Cited by:

    1. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    2. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
    3. Kunal Saha & Vinodh Madhavan & G. R. Chandrashekhar, 2022. "Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(2), pages 347-359, April.

  24. Guglielmo Maria Caporale & Woo-Young Kang, 2019. "On the preferences of CoCo bond buyers and sellers," CESifo Working Paper Series 7551, CESifo.

    Cited by:

    1. Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).

  25. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019. "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series 7537, CESifo.

    Cited by:

    1. Sayuri Shirai & Eric Alexander Sugandi, 2019. "Cross-Border Portfolio Investment and Financial Markets Development in the Asia and Pacific Region," International Business Research, Canadian Center of Science and Education, vol. 12(5), pages 14-33, May.

  26. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.

    Cited by:

    1. Fatemeh Salimi, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," Working Papers halshs-03007904, HAL.
    2. Fatemeh Salimi Namin, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," AMSE Working Papers 2037, Aix-Marseille School of Economics, France.
    3. Inzamam Ul Haq & Apichit Maneengam & Supat Chupradit & Wanich Suksatan & Chunhui Huo, 2021. "Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review," Risks, MDPI, vol. 9(9), pages 1-24, September.

  27. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2019. "Non-Linearities, Cyber Attacks and Cryptocurrencies," CESifo Working Paper Series 7692, CESifo.

    Cited by:

    1. Lars Hornuf & Paul P. Momtaz & Rachel J. Nam & Ye Yuan, 2023. "Cybercrime on the Ethereum Blockchain," CESifo Working Paper Series 10598, CESifo.
    2. Mircea Constantin Șcheau & Simona Liliana Crăciunescu & Iulia Brici & Monica Violeta Achim, 2020. "A Cryptocurrency Spectrum Short Analysis," JRFM, MDPI, vol. 13(8), pages 1-16, August.
    3. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    4. Raza, Syed Ali & Shah, Nida & Guesmi, Khaled & Msolli, Badreddine, 2022. "How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques," Finance Research Letters, Elsevier, vol. 47(PA).
    5. Martin Eling & Kwangmin Jung, 2022. "Heterogeneity in cyber loss severity and its impact on cyber risk measurement," Risk Management, Palgrave Macmillan, vol. 24(4), pages 273-297, December.
    6. Kazeem Abimbola Sanusi & Zandri Dickason-Koekemoer, 2022. "Cryptocurrency Returns, Cybercrime and Stock Market Volatility: GAS and Regime Switching Approaches," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 52-64, November.
    7. Ozili, Peterson K, 2021. "Central bank digital currency can lead to the collapse of cryptocurrency," MPRA Paper 111218, University Library of Munich, Germany.
    8. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber-Attacks, Cryptocurrencies, and Cyber Security," CESifo Working Paper Series 8124, CESifo.
    9. Yousaf, Imran & Goodell, John W., 2023. "Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT," Finance Research Letters, Elsevier, vol. 54(C).
    10. Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021. "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    11. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    12. Goodell, John W., 2020. "COVID-19 and finance: Agendas for future research," Finance Research Letters, Elsevier, vol. 35(C).
    13. Tian, Shu & Zhao, Bo & Olivares, Resi Ong, 2023. "Cybersecurity risks and central banks’ sentiment on central bank digital currency: Evidence from global cyberattacks," Finance Research Letters, Elsevier, vol. 53(C).
    14. Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2020. "The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies," Finance Research Letters, Elsevier, vol. 35(C).
    15. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    16. Imran Yousaf & Shoaib Ali & Elie Bouri & Anupam Dutta, 2021. "Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market," SAGE Open, , vol. 11(3), pages 21582440211, July.
    17. Atef Ghalwesh & Shimaa Ouf & Amr Sayed, 2020. "A Proposed System for Securing Cryptocurrency Via the Integration of Internet of Things with Blockchain," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 166-173.

  28. Guglielmo Maria Caporale & Luis A. Gil-Alana & Manuel Monge, 2019. "Energy Consumption in the GCC Countries: Evidence on Persistence," CESifo Working Paper Series 7470, CESifo.

    Cited by:

    1. Mohammad Imdadul Haque, 2021. "Oil price shocks and energy consumption in GCC countries: a system-GMM approach," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(6), pages 9336-9351, June.

  29. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019. "Persistence, non-linearities and structural breaks in European stock market indices," CESifo Working Paper Series 7667, CESifo.

    Cited by:

    1. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    2. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields," CESifo Working Paper Series 8976, CESifo.
    4. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    5. Chang, Chiu-Lan & Fang, Ming, 2022. "The connectedness between natural resource commodities and stock market indices: Evidence from the Chinese economy," Resources Policy, Elsevier, vol. 78(C).
    6. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.

  30. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2019. "Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange," CESifo Working Paper Series 7984, CESifo.

    Cited by:

    1. Zhuhua Jiang & Walid Mensi & Seong-Min Yoon, 2023. "Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks," Sustainability, MDPI, vol. 15(3), pages 1-15, January.

  31. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2019. "CO2 Emissions and GDP: Evidence from China," CESifo Working Paper Series 7881, CESifo.

    Cited by:

    1. Błażej Suproń & Janusz Myszczyszyn, 2023. "Impact of Renewable and Non-Renewable Energy Consumption and CO 2 Emissions on Economic Growth in the Visegrad Countries," Energies, MDPI, vol. 16(20), pages 1-20, October.

  32. Guglielmo Maria Caporale & Alex Plastun, 2019. "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series 7917, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2020. "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series 8783, CESifo.
    2. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    3. Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022. "Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    4. Reganti Lavanya & Rajesh Mamilla, 2023. "Bibliometric Characteristics of Cryptocurrency through Citation Network Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(2), pages 46-74, June.
    5. Tom Liu & Stefan Zohren, 2023. "Multi-Factor Inception: What to Do with All of These Features?," Papers 2307.13832, arXiv.org.
    6. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
    7. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
    8. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    9. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).

  33. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2019. "Financial integration in the GCC region: market size versus national effects," CESifo Working Paper Series 7686, CESifo.

    Cited by:

    1. Khamdan Rifa'i, 2023. "The Economic Impact of the US Unconventional Monetary Policy, Global Commodity Shocks, and Oil Price Shocks on ASEAN 3," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 616-624, September.
    2. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
    3. Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.

  34. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "The Impact of Business and Political News on the GCC Stock Markets," CESifo Working Paper Series 7353, CESifo.

    Cited by:

    1. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
    2. Hayet Soltani & Mouna Boujelbène Abbes, 2023. "The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 94-115, March.
    3. Al-Maadid, Alanoud & Alhazbi, Saleh & Al-Thelaya, Khaled, 2022. "Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Stephens, John & Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2023. "The reaction of the financial market to the January 6 United States Capitol attack: An intraday study," Finance Research Letters, Elsevier, vol. 56(C).
    5. Fedorova, E. & Pyltsin, I. & Kovalchuk, Yu. & Drogovoz, P., 2022. "News and social networks of Russian companies: Degree of influence on the securities market," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 32-52.
    6. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Aqila Rafiuddin & Jennifer Daffodils & Jesus Cuauhtemoc Tellez Gaytan & Gyanendra Singh Sisodia, 2021. "Trend of Oil Prices, Gold, GCC Stocks Market during Covid-19 Pandemic: A Wavelet Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 560-572.

  35. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.

    Cited by:

    1. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Elsayed, Ahmed H. & Gozgor, Giray & Lau, Chi Keung Marco, 2022. "Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties," International Review of Financial Analysis, Elsevier, vol. 81(C).
    3. Kumah, Seyram Pearl & Odei-Mensah, Jones, 2021. "Are Cryptocurrencies and African stock markets integrated?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 330-341.
    4. Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
    5. Jules Clement Mba & Sutene Mwambi, 2020. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 199-214, June.
    6. Larisa V. Sannikova, 2022. "Risks of Using Cryptoassets in Russia and the Potential for Mitigation," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 124-138, December.
    7. Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
    8. Ke, Rui & Yang, Luyao & Tan, Changchun, 2022. "Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach," Finance Research Letters, Elsevier, vol. 49(C).
    9. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Post-Print halshs-04250269, HAL.
    10. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    11. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
    12. Amaro, Raphael & Pinho, Carlos, 2022. "Energy commodities: A study on model selection for estimating Value-at-Risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 5-27.
    13. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    14. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    15. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2019. "Non-Linearities, Cyber Attacks and Cryptocurrencies," CESifo Working Paper Series 7692, CESifo.
    16. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    17. Mariya Gubareva & Benjamin Keddad, 2022. "Emerging markets financial sector debt: A Markov‐switching study of interest rate sensitivity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3851-3863, October.
    18. Xun Huang & Huiyue Tang, 2022. "Measuring multi‐volatility states of financial markets based on multifractal clustering model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 422-434, April.
    19. José Antonio Núñez-Mora & Roberto Joaquín Santillán-Salgado & Mario Iván Contreras-Valdez, 2022. "COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets," Mathematics, MDPI, vol. 10(9), pages 1-36, April.
    20. Grobys, Klaus & Junttila, Juha & Kolari, James W. & Sapkota, Niranjan, 2021. "On the stability of stablecoins," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 207-223.
    21. Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.
    22. Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
    23. Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021. "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    24. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    25. Siwen Zhou, 2021. "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, vol. 60(2), pages 557-606, February.
    26. Naeem, Muhammad & Tiwari, Aviral Kumar & Mubashra, Sana & Shahbaz, Muhammad, 2019. "Modeling volatility of precious metals markets by using regime-switching GARCH models," Resources Policy, Elsevier, vol. 64(C).
    27. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    28. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    29. Jihed Majdoub & Salim Ben Sassi & Azza Bejaoui, 2021. "Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 789-816, December.
    30. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
    31. Mensi, Walid & Ur Rehman, Mobeen & Maitra, Debasish & Hamed Al-Yahyaee, Khamis & Sensoy, Ahmet, 2020. "Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach," Research in International Business and Finance, Elsevier, vol. 53(C).
    32. Kurosaki, Tetsuo & Kim, Young Shin, 2022. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, vol. 45(C).
    33. Paola Stolfi & Mauro Bernardi & Davide Vergni, 2022. "Robust estimation of time-dependent precision matrix with application to the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    34. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
    35. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
    36. Fakhfekh, Mohamed & Jeribi, Ahmed, 2020. "Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH models," Research in International Business and Finance, Elsevier, vol. 51(C).
    37. Nikolaos A. Kyriazis, 2021. "A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets," JRFM, MDPI, vol. 14(7), pages 1-46, June.
    38. Zhang, Wei & Li, Yi, 2020. "Is idiosyncratic volatility priced in cryptocurrency markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    39. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    40. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    41. Jong-Min Kim & Chulhee Jun & Junyoup Lee, 2021. "Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility," Mathematics, MDPI, vol. 9(14), pages 1-16, July.
    42. Kejia Yan & Huqin Yan & Rakesh Gupta, 2022. "Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19?," JRFM, MDPI, vol. 15(3), pages 1-25, March.
    43. Feng Ma & Chao Liang & Yuanhui Ma & M.I.M. Wahab, 2020. "Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1277-1290, December.
    44. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    45. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    46. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    47. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
    48. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    49. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    50. Nagaraj Naik & Biju R. Mohan, 2021. "Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market," Mathematics, MDPI, vol. 9(14), pages 1-18, July.
    51. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
    52. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    53. Ahmed M. Khedr & Ifra Arif & Pravija Raj P V & Magdi El‐Bannany & Saadat M. Alhashmi & Meenu Sreedharan, 2021. "Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(1), pages 3-34, January.
    54. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2019. "A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series," Papers 1909.10957, arXiv.org, revised Jul 2021.
    55. Liu, Fang & Umair, Muhammad & Gao, Junjun, 2023. "Assessing oil price volatility co-movement with stock market volatility through quantile regression approach," Resources Policy, Elsevier, vol. 81(C).

  36. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018. "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series 7280, CESifo.

    Cited by:

    1. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
    2. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
    3. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    4. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    5. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.

  37. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series 7073, CESifo.

    Cited by:

    1. Aweng Peter Majok Garang & Hatice Erkekoglu, 2020. "Business Cycles Synchronisation and Symmetries in the Transition to East African Monetary Union," South African Journal of Economics, Economic Society of South Africa, vol. 88(4), pages 495-517, December.
    2. Ebenezer Olamide & Andrew Maredza & Kanayo Ogujiuba, 2022. "Monetary Policy, External Shocks and Economic Growth Dynamics in East Africa: An S-VAR Model," Sustainability, MDPI, vol. 14(6), pages 1-19, March.

  38. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Political Tension and Stock Markets in the Arabian Peninsula," CESifo Working Paper Series 7341, CESifo.

    Cited by:

    1. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    2. Ahmed H. Elsayed & Mohamad Husam Helmi, 2021. "Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk," Annals of Operations Research, Springer, vol. 305(1), pages 1-22, October.
    3. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2019. "Financial integration in the GCC region: market size versus national effects," CESifo Working Paper Series 7686, CESifo.

  39. Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo.

    Cited by:

    1. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    3. Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022. "Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    4. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    5. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
    6. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.
    7. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
    8. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    9. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    10. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    11. Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    12. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    13. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.

  40. Guglielmo Maria Caporale & Luis A. Gil-Alana & Tommaso Trani, 2018. "On the Persistence of UK Inflation: A Long-Range Dependence Approach," CESifo Working Paper Series 6968, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2020. "Inflation in the G7 Countries: Persistence and Structural Breaks," CESifo Working Paper Series 8349, CESifo.
    2. Gil-Alana, Luis A. & Trani, Tommaso, 2019. "The cyclical structure of the UK inflation rate: 1210–2016," Economics Letters, Elsevier, vol. 181(C), pages 182-185.
    3. Zhu, Sheng & Kavanagh, Ella & O'Sullivan, Niall, 2021. "Uncovering the implicit short-term inflation target of the Bank of England," International Economics, Elsevier, vol. 167(C), pages 120-135.

  41. Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    2. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.

  42. Guglielmo Maria Caporale & Luis A. Gil-Alana & Tommaso Trani, 2018. "Brexit and Uncertainty in Financial Markets," CESifo Working Paper Series 6874, CESifo.

    Cited by:

    1. Paul J. J. Welfens, 2019. "Lack of international risk management in BREXIT?," International Economics and Economic Policy, Springer, vol. 16(1), pages 103-160, March.
    2. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    3. Arthur Korus & Kaan Celebi, 2019. "The impact of Brexit news on British pound exchange rates," International Economics and Economic Policy, Springer, vol. 16(1), pages 161-192, March.
    4. Sarwar, Ghulam, 2020. "Interrelations in market fears of U.S. and European equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Andrikopoulos, Athanasios & Zheng, Min, 2023. "A dynamic analysis of the neglected firm effect," International Review of Financial Analysis, Elsevier, vol. 85(C).
    6. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
    7. Andrikopoulos, Athanasios & Dassiou, Xeni & Zheng, Min, 2020. "Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX," International Review of Financial Analysis, Elsevier, vol. 68(C).
    8. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
    9. Tihana Škrinjarić, 2019. "Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets," IJFS, MDPI, vol. 7(1), pages 1-14, January.
    10. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
    11. Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.

  43. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques," CESifo Working Paper Series 6482, CESifo.

    Cited by:

    1. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.
    2. Andrew Phiri, 2023. "Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(5), pages 4255-4284, October.
    3. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.

  44. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo.

    Cited by:

    1. Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020. "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers 2010.08890, arXiv.org, revised Dec 2020.
    2. Long Hai Vo & Duc Hong Vo, 2020. "Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data," Risks, MDPI, vol. 8(3), pages 1-16, August.
    3. Naveen Musunuru, 2019. "Modeling Long Range Dependence in Wheat Food Price Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(9), pages 1-46, September.
    4. Antoniades, I.P. & Brandi, Giuseppe & Magafas, L. & Di Matteo, T., 2021. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    5. Omane-Adjepong, Maurice & Boako, Gidoen & Alagidede, Paul, 2018. "Modelling heterogeneous speculation in Ghana’s foreign exchange market: Evidence from ARFIMA-FIGARCH and Semi-Parametric methods," MPRA Paper 86617, University Library of Munich, Germany.

  45. Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.

    Cited by:

    1. Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
    2. Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
    3. Gil Cohen, 2021. "Optimizing candlesticks patterns for Bitcoin's trading systems," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1155-1167, October.
    4. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Apostolos Ampountolas, 2023. "The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis," Papers 2307.09137, arXiv.org.
    6. Eric Ghysels & Giang Nguyen, 2019. "Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    7. Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    8. Natalya Apopo & Andrew Phiri, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," Working Papers 1904, Department of Economics, Nelson Mandela University, revised Jun 2019.
    9. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    10. Gil Cohen, 2021. "Optimizing Algorithmic Strategies for Trading Bitcoin," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 639-654, February.
    11. Yaya, OlaOluwa S & Ogbonna, Ephraim A, 2019. "Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?," MPRA Paper 91429, University Library of Munich, Germany.
    12. Gil Cohen, 2023. "Intraday algorithmic trading strategies for cryptocurrencies," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 395-409, July.
    13. Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.
    14. Long, Huaigang & Zaremba, Adam & Demir, Ender & Szczygielski, Jan Jakub & Vasenin, Mikhail, 2020. "Seasonality in the Cross-Section of Cryptocurrency Returns," Finance Research Letters, Elsevier, vol. 35(C).
    15. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
    16. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    17. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    18. Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021. "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
    19. Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023. "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Papers 2309.10546, arXiv.org.
    20. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    21. Aleksandra Rutkowska & Agata Kliber, 2021. "Say anything you want about me if you spell my name right: the effect of Internet searches on financial market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 633-664, June.
    22. Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    23. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    24. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
    25. Gregor Dorfleitner & Carina Lung, 2018. "Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 472-494, December.
    26. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    27. Shanaev, Savva & Ghimire, Binam, 2022. "A generalised seasonality test and applications for cryptocurrency and stock market seasonality," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 172-185.
    28. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
    29. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    30. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2017. "Beyond Bitcoin And Cash: Do We Like A Central Bank Digital Currency? A Financial And Political Economics Approach," BAFFI CAREFIN Working Papers 1765, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    31. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
    32. Yue, Wei & Zhang, Sijia & Zhang, Qiang, 2021. "Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective," Finance Research Letters, Elsevier, vol. 41(C).
    33. Isabela Ruiz Roque da Silva & Eli Hadad Junior & Pedro Paulo Balbi, 2022. "Cryptocurrencies trading algorithms: A review," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1661-1668, December.
    34. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    35. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    36. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    37. Gil Cohen, 2023. "Trading cryptocurrencies using algorithmic average true range systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 212-222, March.
    38. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    39. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    40. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.
    41. Qadan, Mahmoud & Aharon, David Y. & Eichel, Ron, 2022. "Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PA).
    42. Ma, Donglian & Tanizaki, Hisashi, 2019. "The day-of-the-week effect on Bitcoin return and volatility," Research in International Business and Finance, Elsevier, vol. 49(C), pages 127-136.
    43. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    44. Helder Sebastião & Pedro Godinho, 2021. "Forecasting and trading cryptocurrencies with machine learning under changing market conditions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
    45. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

  46. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2017. "Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets," CESifo Working Paper Series 6477, CESifo.

    Cited by:

    1. Nevi Danila, 2022. "Random Walk of Socially Responsible Investment in Emerging Market," Sustainability, MDPI, vol. 14(19), pages 1-13, September.

  47. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series 6534, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Tommaso Trani, 2018. "Brexit and Uncertainty in Financial Markets," Discussion Papers of DIW Berlin 1719, DIW Berlin, German Institute for Economic Research.
    2. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Tripathy, Trilochan, 2020. "Volatility persistence in the Russian stock market," Finance Research Letters, Elsevier, vol. 32(C).
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields," CESifo Working Paper Series 8976, CESifo.
    4. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    5. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2018. "Persistence of Economic Uncertainty: A Comprehensive Analysis," Working Papers 201810, University of Pretoria, Department of Economics.
    6. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    7. Wolfgang Schadner, 2019. "Risk-Neutral Momentum and Market Fear," Working Papers on Finance 1915, University of St. Gallen, School of Finance.
    8. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
    9. Vera-Valdés, J. Eduardo, 2022. "The persistence of financial volatility after COVID-19," Finance Research Letters, Elsevier, vol. 44(C).
    10. Schadner, Wolfgang, 2020. "An idea of risk-neutral momentum and market fear," Finance Research Letters, Elsevier, vol. 37(C).
    11. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    12. Han, Bingyan & Wong, Hoi Ying, 2021. "Merton’s portfolio problem under Volterra Heston model," Finance Research Letters, Elsevier, vol. 39(C).
    13. Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
    14. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).

  48. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.

    Cited by:

    1. Yaya O. S. & Akintande O. J. & Ogbonna A. E. & Adegoke H. M., 2019. "Cpi Inflation In Africa: Fractional Persistence, Mean Reversion And Nonlinearity," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 119-132, September.
    2. Ming-Hua Liu & Dimitris Margaritis & Yang Zhang, 2023. "The impact of regulation on credit card market competition: evidence from Australia," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 669-689, September.

  49. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," CESifo Working Paper Series 6811, CESifo.

    Cited by:

    1. Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
    2. Christoph J. Börner & Ingo Hoffmann & Jonas Krettek & Tim Schmitz, 2022. "Bitcoin: like a satellite or always hardcore? A core–satellite identification in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 310-321, July.
    3. Coskun, Yener & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOIuwa S., 2021. "Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours," MPRA Paper 109827, University Library of Munich, Germany.
    4. Lahmiri, Salim & Bekiros, Stelios, 2019. "Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 334-341.
    5. Khuntia, Sashikanta & Pattanayak, J.K., 2020. "Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume," Finance Research Letters, Elsevier, vol. 32(C).
    6. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    7. Elsayed, Ahmed H. & Gozgor, Giray & Lau, Chi Keung Marco, 2022. "Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties," International Review of Financial Analysis, Elsevier, vol. 81(C).
    8. Omane-Adjepong, Maurice & Ababio, Kofi Agyarko & Alagidede, Imhotep Paul, 2019. "Time-frequency analysis of behaviourally classified financial asset markets," Research in International Business and Finance, Elsevier, vol. 50(C), pages 54-69.
    9. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    10. Beneki, Christina & Koulis, Alexandros & Kyriazis, Nikolaos A. & Papadamou, Stephanos, 2019. "Investigating volatility transmission and hedging properties between Bitcoin and Ethereum," Research in International Business and Finance, Elsevier, vol. 48(C), pages 219-227.
    11. Brajaballav Kar & Chandrabhanu Das, 2022. "Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis," Springer Proceedings in Business and Economics, in: Rabi Narayan Subudhi & Sumita Mishra & Abu Saleh & Dariush Khezrimotlagh (ed.), Future of Work and Business in Covid-19 Era, pages 9-18, Springer.
    12. Smaniotto, Emanuelle Nava & Neto, Giacomo Balbinotto, 2022. "Speculative trading in Bitcoin: A Brazilian market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 47-54.
    13. Zbigniew Kurylek, 2020. "ICO Tokens as an Alternative Financial Instrument: A Risk Measurement," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 512-530.
    14. Tetsuya Takaishi & Takanori Adachi, 2020. "Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 145-154, March.
    15. Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022. "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PA).
    16. Randy Priem, 2020. "Distributed ledger technology for securities clearing and settlement: benefits, risks, and regulatory implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-25, December.
    17. Peng Xie & Jiming Wu & Hongwei Du, 2019. "The relative importance of competition to contagion: evidence from the digital currency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-19, December.
    18. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    19. Adela Socol, 2020. "Cryptocurrencies Between Utopia And Reality," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 200-207, October.
    20. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    21. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    22. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
    23. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
    24. Corzo Santamaría, Teresa & Martin-Bujack, Karin & Portela, Jose & Sáenz-Diez, Rocio, 2022. "Early market efficiency testing among hydrogen players," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 723-742.
    25. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    26. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    27. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    28. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    29. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
    30. Natalya Apopo & Andrew Phiri, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," Working Papers 1904, Department of Economics, Nelson Mandela University, revised Jun 2019.
    31. Ahmed, Walid M.A., 2020. "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, vol. 54(C).
    32. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
    33. Dingli Xi & Timothy Ian O'Brien & Elnaz Irannezhad, 2019. "Investigating the Investment Behaviors in Cryptocurrency," Papers 1912.03311, arXiv.org.
    34. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    35. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
    36. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    37. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2019. "Does twitter predict Bitcoin?," Economics Letters, Elsevier, vol. 174(C), pages 118-122.
    38. Ziaul Haque Munim & Mohammad Hassan Shakil & Ilan Alon, 2019. "Next-Day Bitcoin Price Forecast," JRFM, MDPI, vol. 12(2), pages 1-15, June.
    39. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    40. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    41. Hasan, Mudassar & Naeem, Muhammad Abubakr & Arif, Muhammad & Yarovaya, Larisa, 2021. "Higher moment connectedness in cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    42. Tetsuya Takaishi & Takanori Adachi, 2019. "Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study," Papers 1902.09253, arXiv.org.
    43. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2020. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether," Small Business Economics, Springer, vol. 55(4), pages 1113-1130, December.
    44. Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
    45. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
    46. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    47. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    48. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    49. Kyriazis, Nikolaos & Papadamou, Stephanos & Corbet, Shaen, 2020. "A systematic review of the bubble dynamics of cryptocurrency prices," Research in International Business and Finance, Elsevier, vol. 54(C).
    50. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    51. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    52. Guglielmo Maria Caporale & Alex Plastun, 2023. "Seven Pitfalls of Technical Analysis," CESifo Working Paper Series 10213, CESifo.
    53. Christoph J. Borner & Ingo Hoffmann & Jonas Krettek & Lars M. Kurzinger & Tim Schmitz, 2021. "On the Return Distributions of a Basket of Cryptocurrencies and Subsequent Implications," Papers 2105.12334, arXiv.org.
    54. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
    55. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    56. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
    57. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    58. Andrés García-Medina & Graciela González Farías, 2020. "Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-31, January.
    59. Syed Riaz Mahmood Ali, 2022. "Herding in different states and terms: evidence from the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 322-336, July.
    60. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    61. Lahmiri, Salim & Bekiros, Stelios, 2021. "The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    62. Yue, Yao & Li, Xuerong & Zhang, Dingxuan & Wang, Shouyang, 2021. "How cryptocurrency affects economy? A network analysis using bibliometric methods," International Review of Financial Analysis, Elsevier, vol. 77(C).
    63. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    64. Abubakr Naeem, Muhammad & Iqbal, Najaf & Lucey, Brian M. & Karim, Sitara, 2022. "Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    65. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
    66. Marta Maciejasz & Robert Poskart, 2022. "Percepcja kryptowalut przez młodych uczestników rynku finansowego na przykładzie Polski i Niemiec," Bank i Kredyt, Narodowy Bank Polski, vol. 53(6), pages 625-650.
    67. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    68. Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022. "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, vol. 61(C).
    69. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    70. Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2022. "Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," CESifo Working Paper Series 9950, CESifo.
    71. Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
    72. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
    73. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    74. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    75. Karasiński Jacek, 2023. "The adaptive market hypothesis and the return predictability in the cryptocurrency markets," Economics and Business Review, Sciendo, vol. 9(1), pages 94-118, April.
    76. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    77. Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    78. Gillaizeau, Marc & Jayasekera, Ranadeva & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata & Volokitina, Evgeniia, 2019. "Giver and the receiver: Understanding spillover effects and predictive power in cross-market Bitcoin prices," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 86-104.
    79. Christoph J. Borner & Ingo Hoffmann & Jonas Krettek & Lars M. Kurzinger & Tim Schmitz, 2021. "Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market," Papers 2105.12336, arXiv.org.
    80. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    81. Wajdi Moussa & Nidhal Mgadmi & Rym Regaïeg & Abdelhafidh Othmani, 2020. "Non-linear adjustment of the Bitcoin–US dollar exchange rate," Digital Finance, Springer, vol. 2(1), pages 143-158, September.
    82. Walid Mensi & Mobeen Ur Rehman & Muhammad Shafiullah & Khamis Hamed Al-Yahyaee & Ahmet Sensoy, 2021. "High frequency multiscale relationships among major cryptocurrencies: portfolio management implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
    83. Matthew F. Dixon & Cuneyt Gurcan Akcora & Yulia R. Gel & Murat Kantarcioglu, 2019. "Blockchain analytics for intraday financial risk modeling," Digital Finance, Springer, vol. 1(1), pages 67-89, November.
    84. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Ko, Hee-Un & Yoon, Seong-Min & Kang, Sang Hoon, 2020. "Why cryptocurrency markets are inefficient: The impact of liquidity and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    85. Huthaifa Alqaralleh & Alaa Adden Abuhommous & Ahmad Alsaraireh, 2020. "Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 346-356, July.
    86. Neto, David, 2021. "Are Google searches making the Bitcoin market run amok? A tail event analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    87. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
    88. Suardi, Sandy & Rasel, Atiqur Rahman & Liu, Bin, 2022. "On the predictive power of tweet sentiments and attention on bitcoin," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 289-301.
    89. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    90. Pele, Daniel Traian & Wesselhöfft, Niels & Härdle, Wolfgang Karl & Kolossiatis, Michalis & Yatracos, Yannis, 2019. "Phenotypic convergence of cryptocurrencies," IRTG 1792 Discussion Papers 2019-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    91. Atef Ghalwesh & Shimaa Ouf & Amr Sayed, 2020. "A Proposed System for Securing Cryptocurrency Via the Integration of Internet of Things with Blockchain," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 166-173.
    92. Pawan Kumar Singh & Alok Kumar Pandey & S. C. Bose, 2023. "A new grey system approach to forecast closing price of Bitcoin, Bionic, Cardano, Dogecoin, Ethereum, XRP Cryptocurrencies," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2429-2446, June.
    93. Dulani Jayasuriya Daluwathumullagamage & Alexandra Sims, 2021. "Fantastic Beasts: Blockchain Based Banking," JRFM, MDPI, vol. 14(4), pages 1-43, April.
    94. Chu, Jeffrey & Zhang, Yuanyuan & Chan, Stephen, 2019. "The adaptive market hypothesis in the high frequency cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 221-231.
    95. Zhang, Jiahang & Zhang, Chi, 2022. "Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter," Research in International Business and Finance, Elsevier, vol. 61(C).
    96. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    97. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    98. Klarin, Anton, 2020. "The decade-long cryptocurrencies and the blockchain rollercoaster: Mapping the intellectual structure and charting future directions," Research in International Business and Finance, Elsevier, vol. 51(C).

  50. Guglielmo Maria Caporale & Suman Lodh & Monomita Nandy, 2016. "The Performance of Banks in the MENA Region During the Global Financial Crisis," CESifo Working Paper Series 5921, CESifo.

    Cited by:

    1. Salma Louati & Younes Boujelbene, 2021. "Basel Regulations and Banks’ Risk-efficiency Nexus: Evidence from Dynamic Simultaneous-equation Models," Journal of African Business, Taylor & Francis Journals, vol. 22(4), pages 578-602, October.
    2. Ramlall, Indranarain, 2022. "Does geographical proximity matter in determining the profitability of banks?," Journal of Policy Modeling, Elsevier, vol. 44(6), pages 1251-1279.
    3. El Moussawi, Chawki & Mansour, Rana, 2022. "Competition, cost efficiency and stability of banks in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 143-170.
    4. Richard Oduro, 2024. "Impact of recapitalisation and dividend payout policies on financial sustainability of rural and community banks in Ghana," Future Business Journal, Springer, vol. 10(1), pages 1-18, December.
    5. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
    6. Ghosh, Saibal, 2019. "Loan delinquency in banking systems: How effective are credit reporting systems?," Research in International Business and Finance, Elsevier, vol. 47(C), pages 220-236.
    7. Duran, Hasan Engin & Ferreira-Lopes, Alexandra, 2022. "The Revival Of The Feldstein-Horioka Puzzle And Moderation Of Capital Flows After The Global Financial Crisis (2008/09)," Research in International Business and Finance, Elsevier, vol. 60(C).
    8. Sreemanta Sarkar & Debdas Rakshit, 2023. "Factors Influencing the Performance of Commercial Banks: A Dynamic Panel Study on India," FIIB Business Review, , vol. 12(1), pages 85-99, March.
    9. Ebrahimi, Sajad & Ebrahimnejad, Ali & Rastad, Mahdi, 2023. "Number of creditors and the real effects of credit supply disruptions," Emerging Markets Review, Elsevier, vol. 55(C).
    10. Sajad Ebrahimi & Ali Ebrahimnejad & Mahdi Rastad, 2019. "The Real Effects of Credit Supply Disruptions: The Case of 2011 Embezzlement Scandal in Iran," Working Papers 1316, Economic Research Forum, revised 21 Aug 2019.
    11. Omar Ghazy Aziz & Julie Knutsen, 2019. "The Banks Profitability and Economic Freedom Quality: Empirical Evidence from Arab Economies," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(11), pages 96-110, January.

  51. Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Nemla Ali & Coskun Akdeniz, 2016. "Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?," CESifo Working Paper Series 5965, CESifo.

    Cited by:

    1. Akosah, Nana Kwame & Alagidede, Imhotep Paul & Schaling, Eric, 2020. "Testing for asymmetry in monetary policy rule for small-open developing economies: Multiscale Bayesian quantile evidence from Ghana," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    2. Patricks Ogiji & Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2022. "Estimating asymmetries in monetary policy reaction function: an oil price augmented Taylor type rule for Nigeria under unconventional regime," Economic Change and Restructuring, Springer, vol. 55(3), pages 1655-1672, August.
    3. Ruch,Franz Ulrich, 2021. "Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies," Policy Research Working Paper Series 9711, The World Bank.
    4. Xiaoyu Zhang & Fanghui Pan, 2019. "The Dependence of China’s Monetary Policy Rules on Interest Rate Regimes: Empirical Analysis Based on a Pseudo Output Gap," Sustainability, MDPI, vol. 11(9), pages 1-15, May.
    5. Akyurek, Cem & Kutan, Ali M. & Yilmazkuday, Hakan, 2011. "Can inflation targeting regimes be effective in developing countries? The Turkish experience," Journal of Asian Economics, Elsevier, vol. 22(5), pages 343-355, October.
    6. Joseph Agyapong, 2021. "Application of Taylor Rule Fundamentals in Forecasting Exchange Rates," Economies, MDPI, vol. 9(2), pages 1-27, June.
    7. Gil, Pedro Mazeda & Iglésias, Gustavo & Guimarães, Luís, 2023. "Endogenous growth and monetary policy: How do interest-rate feedback rules shape nominal and real transitional dynamics?," Journal of International Money and Finance, Elsevier, vol. 138(C).
    8. Martin Feldkircher & Elizaveta Lukmanova & Gabriele Tondl, 2019. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," Department of Economics Working Papers wuwp289, Vienna University of Economics and Business, Department of Economics.
    9. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Helmi, Mohamad Husam & Menla Ali, Faek & Tajik, Mohammad, 2020. "The bank lending channel in the Malaysian Islamic and conventional banking system," Global Finance Journal, Elsevier, vol. 45(C).
    10. Teti̇k, Metin, 2020. "Testing of leader-follower interaction between fed and emerging countries’ central banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    11. Montes, Gabriel Caldas & Ferreira, Caio Ferrari, 2020. "Does monetary policy credibility mitigate the fear of floating?," Economic Modelling, Elsevier, vol. 84(C), pages 76-87.
    12. Syarifuddin, Ferry, 2020. "Macroeconomic Consequences of Foreign Exchange Futures Market for Inflation Targeting Economies," MPRA Paper 104810, University Library of Munich, Germany.
    13. Li, Shuai & Zhan, Shuwei & Zhan, Shurui & Zhan, Minghua, 2023. "How does financial development change the effect of the bank lending channel of monetary policy in developing countries?—Evidence from China," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 502-519.
    14. Oriola, Hugo, 2023. "Political monetary cycles: An empirical study," European Journal of Political Economy, Elsevier, vol. 79(C).
    15. Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
    16. Hiroyuki Taguchi & Ganbayar Gunbileg, 2020. "Monetary Policy Rule and Taylor Principle in Mongolia: GMM and DSGE Approaches," IJFS, MDPI, vol. 8(4), pages 1-16, November.
    17. Tetik Metin & Yıldırım Mustafa Ozan, 2021. "Distortionary effects of economic crises on policy coordination in Turkey: Threshold GMM approach," Economics and Business Review, Sciendo, vol. 7(3), pages 83-102, September.
    18. Nidhal Mgadmi & Slim Chaouachi & Wajdi Moussa & Azza Bejaoui, 2021. "Does the Tunisian Central Bank follow an augmented nonlinear Taylor rule?," SN Business & Economics, Springer, vol. 1(1), pages 1-15, January.
    19. Umit Bulut, 2019. "Does the Central Bank of the Republic of Turkey Respond Asymmetrically to Inflation and Output?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 13(4), pages 381-400, November.
    20. Syarifuddin, Ferry & Izzulhaq, Syahid, 2020. "The Effectiveness of Futures-based Foreign Exchange Intervention: Comparative Studies of Brazil and India," MPRA Paper 104709, University Library of Munich, Germany.
    21. Iddrisu, Abdul-Aziz & Alagidede, Imhotep Paul, 2020. "Monetary policy and food inflation in South Africa: A quantile regression analysis," Food Policy, Elsevier, vol. 91(C).
    22. Christina Anderl & Guglielmo Maria Caporale, 2023. "Time-Varying Parameters in Monetary Policy Rules: A GMM Approach," CESifo Working Paper Series 10451, CESifo.
    23. Helena Glebocki Keefe, 2020. "The impact of exchange rate volatility on inflation targeting monetary policy in emerging and advanced economies," International Finance, Wiley Blackwell, vol. 23(3), pages 417-433, December.
    24. Donato Masciandaro, 2023. "How Elastic and Predictable Money Should Be: Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993-2023)," BAFFI CAREFIN Working Papers 23196, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    25. Klose, Jens, 2023. "Estimated monetary policy rules for the ECB with granular variations of forecast horizons for inflation and output," Economic Modelling, Elsevier, vol. 127(C).
    26. Trinil Arimurti & Bruce Morley, 2020. "Do Capital Flows Matter for Monetary Policy Setting in Inflation Targeting Economies?," JRFM, MDPI, vol. 13(7), pages 1-15, June.
    27. Oscar Afonso & Pedro G. Lima, 2023. "Effects of monetary policy on the skill premium and the growth rate in a directed technical change model with heterogeneous cash‐in‐advance constraints," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4020-4036, October.
    28. El Alaoui, Abdelkader O. & Jusoh, Hashim Bin & Yussof, Sheila Ainon & Hanifa, Mohamed Hisham, 2019. "Evaluation of monetary policy: Evidence of the role of money from Malaysia," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 119-128.
    29. utku altunöz, 2022. "Describing of central banks’ monetary policy in the context to linear and nonlinear taylor rule: the case of Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4641-4662, December.
    30. Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers 2018-31, Department of Economics and Business Economics, Aarhus University.
    31. Nikola Fabris & Milena Lazić, 2022. "Evaluating the Role of the Exchange Rate in Monetary Policy Reaction Function of Advanced and Emerging Market Economies," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(2), pages 77-96.
    32. Elsayed, Ahmed H. & Naifar, Nader & Nasreen, Samia, 2023. "Financial stability and monetary policy reaction: Evidence from the GCC countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 396-405.
    33. Abdul‐Aziz Iddrisu & Imhotep Paul Alagidede, 2020. "Is the interest rate setting behaviour of the Bank of Ghana constrained by high debt levels?," African Development Review, African Development Bank, vol. 32(3), pages 459-471, September.
    34. Ümit BULUT, 2019. "The Monetary Policy Reaction Function in Turkey: Evidence from Fourier-Based Time Series Methods," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 69(2), pages 159-173, December.

  52. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Macro News and Exchange Rates in the BRICS," CESifo Working Paper Series 5748, CESifo.

    Cited by:

    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Gkillas, Konstantinos & Konstantatos, Christoforos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2021. "Do economic news releases affect tail risk? Evidence from an emerging market," Finance Research Letters, Elsevier, vol. 40(C).
    3. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    4. Demir, Ender & Ersan, Oguz, 2017. "Economic policy uncertainty and cash holdings: Evidence from BRIC countries," Emerging Markets Review, Elsevier, vol. 33(C), pages 189-200.
    5. Evžen Kocenda & Michala Moravcová, 2018. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," CESifo Working Paper Series 7239, CESifo.
    6. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    7. Yin, Libo, 2020. "Can the intermediary capital risk predict foreign exchange rates?," Finance Research Letters, Elsevier, vol. 37(C).
    8. Jolanta Pasionek, 2020. "Countries of BRICS group on Forex market," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 19(1), pages 99-117, March.
    9. Svatopluk Kapounek & Zuzana Kucerova & Evzen Kocenda, 2020. "Selective Attention in Exchange Rate Forecasting," KIER Working Papers 1035, Kyoto University, Institute of Economic Research.
    10. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    11. Ekinci, Cumhur & Akyildirim, Erdinc & Corbet, Shaen, 2019. "Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 155-164.
    12. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

  53. Guglielmo Maria Caporale & Mohamad Husam Helmi, 2016. "Islamic Banking, Credit and Economic Growth: Some Empirical Evidence," CESifo Working Paper Series 5716, CESifo.

    Cited by:

    1. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Hkiri, Besma & Hela, Ben Hamida & Khan, Muhammad Asif, 2021. "On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    2. Mensi, Walid & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2020. "Impact of Islamic banking development and major macroeconomic variables on economic growth for Islamic countries: Evidence from panel smooth transition models," Economic Systems, Elsevier, vol. 44(1).
    3. Isaac Appiah‐Otoo & Na Song, 2022. "Finance‐growth nexus: New insight from Ghana," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2682-2723, July.
    4. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    5. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Helmi, Mohamad Husam & Menla Ali, Faek & Tajik, Mohammad, 2020. "The bank lending channel in the Malaysian Islamic and conventional banking system," Global Finance Journal, Elsevier, vol. 45(C).
    6. Muhammad Zahid Siddique, 2022. "Modern money and Islamic banking in the light of Islamic law of riba," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 993-1008, January.
    7. Peter Nderitu Githaiga & Josephat Cheboi Yegon & Joyce Kimosop Komen, 2019. "Does the ‘Process’ of Process Capital Matter to Performance? Evidence from Kenyan Commercial Banks," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 10(2), pages 37-46, May.
    8. Muhamad Abduh & Witrie Annisa Buys & Sumayyah Abdul Aziz, 2022. "Exploring the Relationship between Islamic Financial Development, Energy Consumption, and Environmental Quality," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 426-430, March.
    9. Hüseyin İlker Erçen & Hüseyin Özdeşer & Turgut Türsoy, 2022. "The Impact of Macroeconomic Sustainability on Exchange Rate: Hybrid Machine-Learning Approach," Sustainability, MDPI, vol. 14(9), pages 1-19, April.
    10. Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Mohammad Tajik, 2016. "The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia," CESifo Working Paper Series 5807, CESifo.
    11. Sadia Yasmin & Mohammad Ayaz & Muhammad Ather Ashraf, 2022. "Accelerating Industrial Output Growth through Islamic Bank Decomposed Financing Optimization in Malaysia," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 4(4), pages 544-560, December.
    12. Mohammad Nayeem Abdullah & Emon Kalyan Chowdhury & Rahat Bari Tooheen, 2022. "Determinants of capital structure in banking sector: a Bangladesh perspective," SN Business & Economics, Springer, vol. 2(12), pages 1-19, December.
    13. Ferry Syarifuddin, 2022. "Is Islamic Banks Better Than Conventional Banks In The Time Of Uncertainty?," Working Papers WP/06/2022, Bank Indonesia.
    14. Elsayed, Ahmed H. & Ahmed, Habib & Husam Helmi, Mohamad, 2023. "Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    15. Juhro, Solikin M. & Syarifuddin, Ferry & Sakti, Ali, 2022. "Inclusive Welfare: On The Role of Islamic Public-Social Finance and Monetary Economics," MPRA Paper 113788, University Library of Munich, Germany.
    16. Assad Ullah & Xinshun Zhao & Muhammad Abdul Kamal & Adeel Riaz & Bowen Zheng, 2021. "Exploring asymmetric relationship between Islamic banking development and economic growth in Pakistan: Fresh evidence from a non‐linear ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6168-6187, October.

  54. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Exchange Rates and Macro News in Emerging Markets," CESifo Working Paper Series 5816, CESifo.

    Cited by:

    1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
    2. Corbet, Shaen & Dunne, John James & Larkin, Charles, 2019. "Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States," Research in International Business and Finance, Elsevier, vol. 48(C), pages 321-334.
    3. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 914-927.
    4. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    5. Jeffrey A. Frankel & Ayako Saiki, 2017. "Does It Matter If Statistical Agencies Frame the Month’s CPI Reporton a 1-Month or 12-month Basis?," NBER Working Papers 23754, National Bureau of Economic Research, Inc.
    6. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    7. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
    8. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    9. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    10. Munazza Jabeen & Abdul Rashid & Hajra Ihsan, 2022. "The news effects on exchange rate returns and volatility: Evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 745-769, January.
    11. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).

  55. Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016. "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," CESifo Working Paper Series 5971, CESifo.

    Cited by:

    1. Patrycja Chodnicka -Jaworska & Piotr Jaworski, 2019. "Insurance Companies – What Determinates Their Credit Ratings," Faculty of Management Working Paper Series 52019, University of Warsaw, Faculty of Management.
    2. David Mhlanga, 2021. "Financial Inclusion in Emerging Economies: The Application of Machine Learning and Artificial Intelligence in Credit Risk Assessment," IJFS, MDPI, vol. 9(3), pages 1-16, July.

  56. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2016. "Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB," Bank of Finland Research Discussion Papers 20/2016, Bank of Finland.

    Cited by:

    1. Siklos, Pierre L., 2018. "Boom-and-bust cycles in emerging markets: How important is the exchange rate?," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 172-187.
    2. Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. Guo, Dong & Zhou, Peng, 2021. "The Rise of a New Anchor Currency in RCEP? A Tale of Three Currencies," Cardiff Economics Working Papers E2021/23, Cardiff University, Cardiff Business School, Economics Section.
    4. Marinakis, Yorgos D. & White, Reilly & Walsh, Steven T., 2020. "Lotka–Volterra signals in ASEAN currency exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    5. Jianxu Liu & Mengjiao Wang & Songsak Sriboonchitta, 2019. "Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach," Sustainability, MDPI, vol. 11(19), pages 1-20, October.
    6. Dayong Zhang & Wanli Zhao & Fei Wu & Qiang Ji, 2020. "Financial Integration in Asia: A Systemic View on Currency Markets," Asian Economic Papers, MIT Press, vol. 19(2), pages 41-58, Summer.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019. "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series 7537, CESifo.

  57. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2016. "Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB," Bank of Finland Research Discussion Papers 20/2016, Bank of Finland.

    Cited by:

    1. Siklos, Pierre L., 2018. "Boom-and-bust cycles in emerging markets: How important is the exchange rate?," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 172-187.
    2. Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. Guo, Dong & Zhou, Peng, 2021. "The Rise of a New Anchor Currency in RCEP? A Tale of Three Currencies," Cardiff Economics Working Papers E2021/23, Cardiff University, Cardiff Business School, Economics Section.
    4. Marinakis, Yorgos D. & White, Reilly & Walsh, Steven T., 2020. "Lotka–Volterra signals in ASEAN currency exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    5. Jianxu Liu & Mengjiao Wang & Songsak Sriboonchitta, 2019. "Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach," Sustainability, MDPI, vol. 11(19), pages 1-20, October.
    6. Dayong Zhang & Wanli Zhao & Fei Wu & Qiang Ji, 2020. "Financial Integration in Asia: A Systemic View on Currency Markets," Asian Economic Papers, MIT Press, vol. 19(2), pages 41-58, Summer.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019. "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series 7537, CESifo.

  58. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series 5932, CESifo.

    Cited by:

    1. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Keith Fitzgerald & Jacopo Bedogni, 2019. "Examining the Volatility of Ireland’s Tax Base in the Paradigm of Modern Portfolio Theory," The Economic and Social Review, Economic and Social Studies, vol. 50(3), pages 429-458.

  59. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.
    2. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
    3. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.

  60. Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Mohammad Tajik, 2016. "The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia," CESifo Working Paper Series 5807, CESifo.

    Cited by:

    1. Meslier, Céline & Risfandy, Tastaftiyan & Tarazi, Amine, 2017. "Dual market competition and deposit rate setting in Islamic and conventional banks," Economic Modelling, Elsevier, vol. 63(C), pages 318-333.
    2. Meslier, Céline & Risfandy, Tastaftiyan & Tarazi, Amine, 2020. "Islamic banks’ equity financing, Shariah supervisory board, and banking environments," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).

  61. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo.
    2. Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
    3. Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.
    4. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.
    5. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

  62. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.

    Cited by:

    1. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    2. Maria I. Kyriakou & Athanasios Koulakiotis & Apostolos Kiohos & Vassilios Babalos, 2023. "Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 66(4), pages 939-962, May.
    3. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
    4. Seifoddini , Jalal & Rahnamay Roodposhti , Fraydoon & Nikoomaram , Hashem, 2015. "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(4), pages 29-50, October.
    5. Ouatik El-Alaoui, AbdelKader & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2018. "Does low leverage minimise the impact of financial shocks? New optimisation strategies using Islamic stock screening for European portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 160-184.
    6. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
    7. Eurico Ferreira, 2019. "ECB, BoE and Fed Monetary-Policy announcements: price and volume effects on European securities markets," Working Papers w201914, Banco de Portugal, Economics and Research Department.
    8. Maria-Eleni K. Agoraki & Dimitris A. Georgoutsos & Georgios P. Kouretas, 2019. "Capital Markets Integration and Cointegration: Testing for the Correct Specification of Stock Market Indices," JRFM, MDPI, vol. 12(4), pages 1-20, December.
    9. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis," Finance Research Letters, Elsevier, vol. 46(PB).
    10. Thomas Johann & Stefan Scharnowski & Erik Theissen & Christian Westheide & Lukas Zimmermann, 2019. "Liquidity in the German Stock Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 71(4), pages 443-473, October.
    11. Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
    12. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.
    13. Yensen Ni & Yirung Cheng & Yulu Liao & Paoyu Huang, 2022. "Does board structure affect stock price overshooting informativeness measured by stochastic oscillator indicators?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2290-2302, April.

  63. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015. "Spillovers between Food and Energy Prices and Structural Breaks," CESifo Working Paper Series 5282, CESifo.

    Cited by:

    1. Sun, Yunpeng & Gao, Pengpeng & Raza, Syed Ali & Shah, Nida & Sharif, Arshian, 2023. "The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach," Energy, Elsevier, vol. 270(C).
    2. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
    3. Afees A. Salisu & Kingsley Obiora, 2021. "COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    4. Vo, Long Hai & Le, Thai-Ha, 2021. "Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample," Energy Economics, Elsevier, vol. 100(C).
    5. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
    6. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
    7. Tiwari, Aviral Kumar & Nasreen, Samia & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2020. "Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals," Energy Economics, Elsevier, vol. 85(C).
    8. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
    9. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    10. Algieri, Bernardina & Leccadito, Arturo, 2019. "Ask CARL: Forecasting tail probabilities for energy commodities," Energy Economics, Elsevier, vol. 84(C).
    11. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
    12. Navid Kargar Dehbidi & Mansour Zibaei & Mohammad Hassan Tarazkar, 2022. "The effect of climate change and energy shocks on food security in Iran's provinces," Regional Science Policy & Practice, Wiley Blackwell, vol. 14(2), pages 417-437, April.
    13. Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
    14. Taghizadeh-Hesary, Farhad & Rasoulinezhad, Ehsan & Yoshino, Naoyuki, 2018. "Volatility Linkages between Energy and Food Prices: Case of Selected Asian Countries," ADBI Working Papers 829, Asian Development Bank Institute.
    15. Amrouk, El Mamoun & Grosche, Stephanie-Carolin & Heckelei, Thomas, 2017. "An analysis of the interdependence between cash crop and staple food futures prices," Discussion Papers 265665, University of Bonn, Institute for Food and Resource Economics.
    16. Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
    17. Sima Siami-Namini, 2019. "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices," Applied Economics and Finance, Redfame publishing, vol. 6(4), pages 41-61, July.
    18. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
    19. Gilbert, Christopher L., 2018. "A Model of Grains Prices with Application to the Impact of Biofuels," 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK 273492, Agricultural Economics Society.
    20. Iglesias-Casal, Ana & López-Penabad, María-Celia & López-Andión, Carmen & Maside-Sanfiz, José Manuel, 2020. "Diversification and optimal hedges for socially responsible investment in Brazil," Economic Modelling, Elsevier, vol. 85(C), pages 106-118.
    21. Sonal Devesh & Abdullah M. Asrul Affendi, 2021. "Modelling the Impact of Oil Price on Food Imports: Case of Oman," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 113-120.
    22. Cheng, Sheng & Cao, Yan, 2019. "On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework," Energy Economics, Elsevier, vol. 81(C), pages 422-432.
    23. Christopher L. Gilbert & Harriet Kasidi Mugera, 2020. "Competitive Storage, Biofuels and the Corn Price," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(2), pages 384-411, June.
    24. Azeez, Rasheed Oluwaseyi, 2018. "Oil price volatility spillover effects on food prices in Nigeria," MPRA Paper 93188, University Library of Munich, Germany.
    25. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    26. Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021. "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 212-220.
    27. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
    28. Afees A. Salisu & Raymond Swaray, 2017. "Forecasting the return volatility of energy prices: A GARCH MIDAS approach," Working Papers 029, Centre for Econometric and Allied Research, University of Ibadan.
    29. Agus Widarjono & Indah Susantun & Sarastri M. Ruchba & Ari Rudatin, 2020. "Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 255-263.
    30. Restrepo, Natalia & Uribe, Jorge M. & Manotas, Diego, 2018. "Financial risk network architecture of energy firms," Applied Energy, Elsevier, vol. 215(C), pages 630-642.
    31. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    32. Sun, Yanpeng & Mirza, Nawazish & Qadeer, Abdul & Hsueh, Hsin-Pei, 2021. "Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?," Resources Policy, Elsevier, vol. 72(C).
    33. Miroslava Ivanova & Lilko Dospatliev, 2023. "Effects of Diesel Price on Changes in Agricultural Commodity Prices in Bulgaria," Mathematics, MDPI, vol. 11(3), pages 1-22, January.
    34. Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
    35. Karel Janda & Ladislav Kristoufek, 2019. "The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    36. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach," Working Papers 202179, University of Pretoria, Department of Economics.
    37. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
    38. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
    39. Salisu, Afees A. & Vo, Xuan Vinh & Lawal, Adedoyin, 2021. "Hedging oil price risk with gold during COVID-19 pandemic," Resources Policy, Elsevier, vol. 70(C).
    40. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
    41. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
    42. Taghizadeh-Hesary, Farhad & Rasoulinezhad, Ehsan & Yoshino, Naoyuki, 2019. "Energy and Food Security: Linkages through Price Volatility," Energy Policy, Elsevier, vol. 128(C), pages 796-806.
    43. Dervis Kirikkaleli & Ibrahim Darbaz, 2021. "The Causal Linkage between Energy Price and Food Price," Energies, MDPI, vol. 14(14), pages 1-13, July.
    44. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
    45. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    46. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
    47. Candelise, Chiara & Saccone, Donatella & Vallino, Elena, 2021. "An empirical assessment of the effects of electricity access on food security," World Development, Elsevier, vol. 141(C).
    48. Siami-Namini, Sima & Hudson, Darren, 2017. "Volatility Spillover Between Oil Prices, Us Dollar Exchange Rates And International Agricultural Commodities Prices," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252845, Southern Agricultural Economics Association.
    49. Shokoohi, Zeinab & Saghaian, Sayed, 2022. "Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model," Energy, Elsevier, vol. 255(C).
    50. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    51. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
    52. Zhang, Dayong & Broadstock, David C., 2020. "Global financial crisis and rising connectedness in the international commodity markets," International Review of Financial Analysis, Elsevier, vol. 68(C).
    53. Dahl, Roy Endré & Oglend, Atle & Yahya, Muhammad, 2020. "Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture," Journal of Commodity Markets, Elsevier, vol. 20(C).
    54. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
    55. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
    56. Aviral Kumar Tiwari & Rabeh Khalfaoui & Sakiru Adebola Solarin & Muhammad Shahbaz, 2018. "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Post-Print hal-03797590, HAL.

  64. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2015. "The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 5407, CESifo.

    Cited by:

    1. Apergis, Nicholas & Gupta, Rangan & Lau, Chi Keung Marco & Mukherjee, Zinnia, 2018. "U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 521-530.
    2. Jesús Clemente & Angelina Lázaro-Alquézar & Antonio Montañés, 2020. "Does the Great Recession Contribute to the Convergence of Health Care Expenditures in the US States?," IJERPH, MDPI, vol. 17(2), pages 1-7, January.
    3. Murthy, Vasudeva N.R. & Okunade, Albert A., 2016. "Determinants of U.S. health expenditure: Evidence from autoregressive distributed lag (ARDL) approach to cointegration," Economic Modelling, Elsevier, vol. 59(C), pages 67-73.
    4. Nicholas Apergis & Tsangyao Chang & Christina Christou & Rangan Gupta, 2017. "Convergence of Health Care Expenditures Across the US States: A Reconsideration," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 133(1), pages 303-316, August.
    5. Nicholas Apergis & Rangan Gupta & Chi Keung Marco Lau & Zinnia Mukherjee, 2016. "An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure," Working Papers 201618, University of Pretoria, Department of Economics.
    6. Mulatu F. Zerihun & Juncal Cunado & Rangan Gupta, 2017. "Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(2), pages 527-542, March.
    7. Mehdi Barati & Hadiseh Fariditavana, 2020. "Asymmetric effect of income on the US healthcare expenditure: evidence from the nonlinear autoregressive distributed lag (ARDL) approach," Empirical Economics, Springer, vol. 58(4), pages 1979-2008, April.

  65. Guglielmo Maria Caporale & Anamaria Sova & Robert Sova, 2015. "Trade Flows and Trade Specialisation: The Case of China," CESifo Working Paper Series 5217, CESifo.

    Cited by:

    1. Laurent Didier, 2017. "South-South Trade and Geographical Diversification of Intra-SSA Trade: Evidence from BRICs," African Development Review, African Development Bank, vol. 29(2), pages 139-154, June.
    2. Mahdi Ghodsi, 2018. "The Impact of Chinese Technical Barriers to Trade on its Manufacturing Imports," FIW Working Paper series 186, FIW.
    3. Abeliansky, Ana Lucia & Martínez-Zarzoso, Inmaculada, 2018. "The relationship between the Chinese "going out" strategy and international trade," Economics Discussion Papers 2018-20, Kiel Institute for the World Economy (IfW Kiel).
    4. Inmaculada Martínez‐Zarzoso & Robert Rudolf, 2020. "The trade facilitation impact of the Chinese diaspora," The World Economy, Wiley Blackwell, vol. 43(9), pages 2411-2436, September.
    5. Nasrullah, Muhammad & Chang, Liu & Khan, Khalid & Rizwanullah, Muhammad & Zulfiqar, Farah & Ishfaq, Muhammad, 2020. "Determinants of forest product group trade by gravity model approach: A case study of China," Forest Policy and Economics, Elsevier, vol. 113(C).
    6. Jacopo Timini & Ayman El-Dahrawy Sánchez-Albornoz, 2019. "The impact of China on Latin America: trade and foreign direct investment channels," Economic Bulletin, Banco de España, issue JUN.
    7. Kuldeep Kumar LOHANI, 2020. "Static and dynamic analysis of intra-industry trade of BRICS countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(625), W), pages 107-130, Winter.
    8. Keddad, Benjamin & Sato, Kiyotaka, 2022. "The influence of the renminbi and its macroeconomic determinants: A new Chinese monetary order in Asia?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    9. Timini, Jacopo & Conesa, Marina, 2019. "Chinese Exports and Non-Tariff Measures: Testing for Heterogeneous Effects at the Product Level," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 34(2), pages 327-345.
    10. Baiardi, Donatella & Bianchi, Carluccio, 2019. "At the roots of China's striking performance in textile exports: A comparison with its main Asian competitors," China Economic Review, Elsevier, vol. 54(C), pages 367-389.
    11. D. Baiardi & C. Bianchi, 2018. "At the roots of China's striking performance in textile exports: a comparison with its main Asian competitors," Economics Department Working Papers 2018-EP03, Department of Economics, Parma University (Italy).
    12. Dmitriy Izotov, 2018. "Influence of Foreign Economic Activity on the Economic Growth of Russian Regions," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 1450-1462.
    13. Jing Fang & Jinghua Ou & Shujie Yao, 2022. "On COVID‐19 pandemic and China’s foreign trade," The World Economy, Wiley Blackwell, vol. 45(11), pages 3507-3533, November.
    14. Shahriar, Saleh & Qian, Lu & Kea, Sokvibol, 2018. "China's economic integration with the Greater Mekong Sub-region: An empirical analysis by a panel dynamic gravity model," Economics Discussion Papers 2018-44, Kiel Institute for the World Economy (IfW Kiel).
    15. Keddad, Benjamin, 2016. "How do the Renminbi and other East Asian currencies co-move?," MPRA Paper 83782, University Library of Munich, Germany.
    16. Mahdi Ghodsi, 2020. "The impact of Chinese technical barriers to trade on its manufacturing imports when exporters are heterogeneous," Empirical Economics, Springer, vol. 59(4), pages 1667-1698, October.
    17. Koçak, Emrah & Önderol, Seyit & Khan, Kamran, 2021. "Structural change, modernization, total factor productivity, and natural resources sustainability: An assessment with quantile and non-quantile estimators," Resources Policy, Elsevier, vol. 74(C).
    18. Bataa, Erdenebat & Osborn, Denise R. & Sensier, Marianne, 2018. "China's increasing global influence: Changes in international growth linkages," Economic Modelling, Elsevier, vol. 74(C), pages 194-206.
    19. Inga Ivanova & Oivind Strand & Duncan Kushnir & Loet Leydesdorff, 2015. "The Efficiency of Triple-Helix Relations in Innovation Systems: Measuring the Connection between a Country’S Net Income and its Knowledge Base," HSE Working papers WP BRP 55/STI/2015, National Research University Higher School of Economics.
    20. Wrobel, Ralph, 2020. "The "China Effect": Changes in international trade patterns as reasons for rising "Anti-Globalism"," Discourses in Social Market Economy 2020-1, OrdnungsPolitisches Portal (OPO).
    21. Nasir Iqbal & Saima Nawaz, 2017. "Pakistan’s Bilateral Trade under MFN and SAFTA: Do Institutional and Non-Institutional Arrangements Matter?," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 56(1), pages 59-78.
    22. Putu Mahardika Adi Saputra, 2019. "Dynamic Perspective of Trade Balance: Evidence from Southeast Asia before the Global Financial Crisis of 2008," GATR Journals jber170, Global Academy of Training and Research (GATR) Enterprise.
    23. Martina Basarac Sertić & Anita Čeh Časni & Valentina Vučković, 2017. "The impact of China's imports on European Union industrial employment," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 25(1), pages 91-109, January.
    24. Ortuzar, Iban & Serrano, Ana & Xabadia, Àngels, 2023. "Macroeconomic impacts of water allocation under droughts. Accounting for global supply chains in a multiregional context," Ecological Economics, Elsevier, vol. 211(C).
    25. Degong Ma & Chun Lei & Farid Ullah & Raza Ullah & Qadar Bakhsh Baloch, 2019. "China’s One Belt and One Road Initiative and Outward Chinese Foreign Direct Investment in Europe," Sustainability, MDPI, vol. 11(24), pages 1-13, December.

  66. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin 1444, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    2. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
    3. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.
    4. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
    5. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
    6. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.
    7. Zvonko Merkaš & Vlasta Roška, 2021. "The Impact of Unsystematic Factors on Bitcoin Value," JRFM, MDPI, vol. 14(11), pages 1-17, November.

  67. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015. "Macro News and Commodity Returns," CESifo Working Paper Series 5551, CESifo.

    Cited by:

    1. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach," Working Papers 201817, University of Pretoria, Department of Economics.
    2. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
    3. Tanin, Tauhidul Islam & Sarker, Ashutosh & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2021. "Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 214-235.
    4. Osamah Al-Khazali & Elie Bouri & David Roubaud, 2018. "The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin," Economics Bulletin, AccessEcon, vol. 38(1), pages 373-382.
    5. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
    6. Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021. "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
    7. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    8. Walid Bahloul & Rangan Gupta, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
    9. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. Siwen Zhou, 2021. "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, vol. 60(2), pages 557-606, February.
    11. Wen, Shaobo & An, Haizhong & Huang, Shupei & Liu, Xueyong, 2019. "Dynamic impact of China's stock market on the international commodity market," Resources Policy, Elsevier, vol. 61(C), pages 564-571.
    12. Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
    13. Jianhua Ding & Turen Guo & Bin Guo, 2018. "Fat Tails, Value at Risk, and the Palladium Returns," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(2), pages 95-103, May.
    14. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
    15. Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
    16. Diandian Ma & Benfu Lv & Xuerong Li & Xiuting Li & Shuqin Liu, 2023. "Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.
    17. Mukherjee, Abhiroop & Panayotov, George & Shon, Janghoon, 2021. "Eye in the sky: Private satellites and government macro data," Journal of Financial Economics, Elsevier, vol. 141(1), pages 234-254.
    18. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
    19. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
    20. Hua, Renhai & Liu, Qingfu & Tse, Yiuman & Yu, Qin, 2023. "The impact of natural disaster risk on the return of agricultural futures," Journal of Asian Economics, Elsevier, vol. 87(C).
    21. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 204-229, December.

  68. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015. "The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks," CESifo Working Paper Series 5630, CESifo.

    Cited by:

    1. Montes, Gabriel Caldas & Nicolay, Rodolfo & Pereira, Flavio, 2022. "Does fiscal sentiment matter for sovereign risk?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 18-30.
    2. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    3. Francisco López-Herrera & Domingo Rodríguez Benavides & César Gurrola Ríos, 2019. "Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 527-540, Agosto 20.
    4. Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.

  69. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.

    Cited by:

    1. Suxiao Li & Jakob de Haan & Bert Scholtens, 2018. "Are International Fund Flows Related to Exchange Rate Dynamics?," Open Economies Review, Springer, vol. 29(1), pages 31-48, February.
    2. Chikashi Tsuji, 2017. "How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 342-351, December.

  70. Guglielmo Maria Caporale & Suman Lodh & Monomita Nandy, 2015. "How Has the Global Financial Crisis Affected Syndicated Loan Terms in Emerging Markets? Evidence from China," CESifo Working Paper Series 5353, CESifo.

    Cited by:

    1. Fang, Heyang & Zhang, Yifei, 2019. "Political Tensions and Corporate Cross-border Financing: Evidence from the China-U.S. Trade War," MPRA Paper 95494, University Library of Munich, Germany.
    2. Luqiao Zhang & Biao Mi & Yun Shen & Liang Han, 2023. "When in Rome, do as the Romans do: loan syndication in a state-dominated market," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1469-1494, May.
    3. Michael Machokoto & Geofry Areneke & Davis Nyangara, 2021. "Financial conservatism, firm value and international business risk: Evidence from emerging economies around the global financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4590-4608, July.

  71. Guglielmo Maria Caporale & Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2015. "Loan Loss Provision: Some Empirical Evidence for Italian Banks," CESifo Working Paper Series 5253, CESifo.

    Cited by:

    1. Ozili, Peterson Kitakogelu, 2021. "Bank earnings management using loan loss provisions: comparing the UK, France, South Africa and Egypt," MPRA Paper 108506, University Library of Munich, Germany.
    2. Ozili, Peterson K & Outa, Erick R, 2018. "Bank Income Smoothing in South Africa: Role of Ownership, IFRS and Economic fluctuation," MPRA Paper 102567, University Library of Munich, Germany.
    3. Gropp, Reint E. & Park, Kyounghoon, 2016. "To Separate or not to Separate Investment from Commercial Banking? An Empirical Analysis of Attention Distortion under Multiple Tasks," IWH Discussion Papers 2/2016, Halle Institute for Economic Research (IWH).
    4. Tito Tomas Siueia & Jianling Wang, 2017. "Loan Loss Provisions, Income Smooth, Signaling, Capital Management and Pro-Cyclicality: Empirical Evidence from Mozambique¡¯s Commercial Banks," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 48-63, November.
    5. Amina Malik & Haroon Aziz & Buerhan Saiti & Shahab Ud Din, 2021. "The Impact of Earnings variability and Regulatory Measures on Income Smoothing: Evidence from Panel Regression," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 183-201.
    6. Ozili, Peterson K, 2018. "Banking Stability Determinants in Africa," MPRA Paper 101825, University Library of Munich, Germany.

  72. Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2014. "Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach," CESifo Working Paper Series 4881, CESifo.

    Cited by:

    1. Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
    2. Xinheng Liu & Shuxian Li & Chengbo Fu & Xu Gong & Chen Fan, 2024. "The oil price plummeted in 2014–2015: Is there an effect on Chinese firms' labour investment?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 943-960, January.
    3. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    4. Narjess Bouslama, 2023. "Interdependence between the BRICS Stock Markets and the Oil Price since the Onset of Financial and Economic Crises," JRFM, MDPI, vol. 16(7), pages 1-22, June.
    5. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    6. Chowdhury, Kushal Banik & Garg, Bhavesh, 2023. "Fresh evidence on the oil-stock interactions under heterogeneous market conditions," Finance Research Letters, Elsevier, vol. 54(C).
    7. He, Zhifang, 2020. "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 131-153.
    8. Oloko, Tirimisiyu F., 2018. "Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria," Research in International Business and Finance, Elsevier, vol. 45(C), pages 219-232.
    9. Rida Waheed & Chen Wei & Suleman Sarwar & Yulan Lv, 2018. "Impact of oil prices on firm stock return: industry-wise analysis," Empirical Economics, Springer, vol. 55(2), pages 765-780, September.
    10. Diaz, Elena Maria & Molero, Juan Carlos & Perez de Gracia, Fernando, 2016. "Oil price volatility and stock returns in the G7 economies," Energy Economics, Elsevier, vol. 54(C), pages 417-430.
    11. Dutta, Anupam & Bouri, Elie & Noor, Md Hasib, 2018. "Return and volatility linkages between CO2 emission and clean energy stock prices," Energy, Elsevier, vol. 164(C), pages 803-810.
    12. Khaled Guesmi & Zied Fiti & Ilyes Abid & Gazi Salah Uddin, 2016. "On the Time Varying Relationship between Oil Price and G7 Equity index: a Multivariate Approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 67-79, June.
    13. Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
    14. Xiaojuan He & Dervis Kirikkaleli & Melike Torun & Zecheng Li, 2021. "Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests," SAGE Open, , vol. 11(4), pages 21582440211, October.
    15. Hamdi, Besma & Aloui, Mouna & Alqahtani, Faisal & Tiwari, Aviral, 2019. "Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis," Energy Economics, Elsevier, vol. 80(C), pages 536-552.
    16. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2021. "Exploring shock and volatility transmission between oil and Chinese industrial raw materials," Resources Policy, Elsevier, vol. 70(C).
    17. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
    18. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
    19. Xiao, Jihong & Zhou, Min & Wen, Fengming & Wen, Fenghua, 2018. "Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index," Energy Economics, Elsevier, vol. 74(C), pages 777-786.
    20. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
    21. Seval Mutlu Camoglu, 2021. "The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(1), pages 17-33, June.
    22. Parminder KAUR & Ravi SINGLA, 2023. "Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 145-164, March.
    23. Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias, 2016. "The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 356-363.
    24. Yufeng Chen & Wenqi Li & Xi Jin, 2018. "Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-62, December.
    25. Zhang, Jin & Xie, Mingjia, 2016. "China's oil product pricing mechanism: What role does it play in China's macroeconomy?," China Economic Review, Elsevier, vol. 38(C), pages 209-221.
    26. Evangelos Kyritsis and Apostolos Serletis, 2019. "Oil Prices and the Renewable Energy Sector," The Energy Journal, International Association for Energy Economics, vol. 0(The New E).
    27. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    28. Thiem, Christopher, 2017. "Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework," Ruhr Economic Papers 674, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    29. Sarwar, Suleman & Tiwari, Aviral Kumar & Tingqiu, Cao, 2020. "Analyzing volatility spillovers between oil market and Asian stock markets," Resources Policy, Elsevier, vol. 66(C).
    30. Liu, Feng & Shao, Shuai & Zhang, Chuanguo, 2020. "How do China's petrochemical markets react to oil price jumps? A comparative analysis of stocks and commodities," Energy Economics, Elsevier, vol. 92(C).
    31. Zhang, Xiang & Zhang, Zongyi & Zhou, Han, 2020. "Oil price uncertainty and cash holdings: Evidence from China," Energy Economics, Elsevier, vol. 87(C).
    32. Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
    33. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    34. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
    35. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    36. Cui xiaozhong, & Yen-Ku, Kuo & Maneengam, Apichit & Cong, Phan The & Quynh, Nguyen Ngoc & Ageli, Mohammed Moosa & Wisetsri, Worakamol, 2022. "Covid-19 and oil and gold price volatilities: Evidence from China market," Resources Policy, Elsevier, vol. 79(C).
    37. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
    38. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    39. T.-H. Le & Sabri Boubaker & M.T. Bui & D. Park, 2023. "On the Volatility of WTI Crude Oil Prices: A Time-Varying Approach with Stochastic Volatility," Post-Print hal-04433059, HAL.
    40. Vesarach Aumeboonsuke, 2021. "Commodity Prices and the Stock Market in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 34-40.
    41. Ekhlas Al-hajj & Usama Al-Mulali & Sakiru Adebola Solarin, 2021. "Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia," Economic Change and Restructuring, Springer, vol. 54(1), pages 199-217, February.
    42. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
    43. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
    44. Śmiech, Sławomir & Papież, Monika & Rubaszek, Michał & Snarska, Małgorzata, 2021. "The role of oil price uncertainty shocks on oil-exporting countries," Energy Economics, Elsevier, vol. 93(C).
    45. Ren, Xiaohang & Qin, Jianing & Jin, Chenglu & Yan, Cheng, 2022. "Global oil price uncertainty and excessive corporate debt in China," Energy Economics, Elsevier, vol. 115(C).
    46. Dutta, Anupam, 2018. "A note on the implied volatility spillovers between gold and silver markets," Resources Policy, Elsevier, vol. 55(C), pages 192-195.
    47. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2018. "The interactions between OPEC oil price and sectoral stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 631-641.
    48. Zhang, Chuanguo & Mou, Xinjie & Ye, Shuping, 2022. "How do dynamic jumps in global crude oil prices impact China's industrial sector?," Energy, Elsevier, vol. 249(C).
    49. Abhibasu Sen & Prof. Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
    50. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
    51. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.
    52. Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, vol. 8(8), pages 1-19, August.
    53. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
    54. Felix Chukwubuzo Alio & Victor O. Okolo & Obiamaka P. Egbo & Hillary Chijindu Ezeaku, 2019. "Energy Prices and the Nigerian Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 9(6), pages 33-37.
    55. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    56. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1286061-128, January.
    57. Yang, Baochen & Song, Xinyu, 2023. "Does oil price uncertainty matter in firm innovation? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    58. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
    59. Melike E. Bildirici & Memet Salman & Özgür Ömer Ersin, 2022. "Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method," Mathematics, MDPI, vol. 10(21), pages 1-16, October.
    60. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    61. Song, Xinyu & Yang, Baochen, 2022. "Oil price uncertainty, corporate governance and firm performance," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 469-487.
    62. Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
    63. Tumala, Mohammed M. & Salisu, Afees A. & Gambo, Ali I., 2023. "Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 707-717.
    64. Thomas C. Chiang & Yuanqing Zhang, 2018. "An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data," IJFS, MDPI, vol. 6(2), pages 1-22, March.
    65. Wei, Yanfeng & Guo, Xiaoying, 2017. "Oil price shocks and China's stock market," Energy, Elsevier, vol. 140(P1), pages 185-197.
    66. Basit Ali & Dilawar Khan & Muhammad Shafiq & Róbert Magda & Judit Oláh, 2022. "The Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan: Evidence from the Non-Linear ARDL Approach," Economies, MDPI, vol. 10(2), pages 1-15, February.
    67. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023. "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , vol. 13(3), pages 21582440231, July.
    68. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    69. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
    70. Alsalman, Zeina, 2016. "Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model," Energy Economics, Elsevier, vol. 59(C), pages 251-260.
    71. Suleman Sarwar & Rida Waheed & Mehnoor Amir & Muqaddas Khalid, 2018. "Role of Energy on Economy The Case of Micro to Macro Level Analysis," Economics Bulletin, AccessEcon, vol. 38(4), pages 1905-1926.
    72. Zhifang He & Jiaqi Chen & Fangzhao Zhou & Guoqing Zhang & Fenghua Wen, 2022. "Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1154-1172, January.
    73. Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).
    74. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    75. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
    76. Zhang, Xiaoyu & Zhou, Jinlan & Du, Xiaodong, 2022. "Impact of oil price uncertainty shocks on China’s macro-economy," Resources Policy, Elsevier, vol. 79(C).
    77. Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    78. Guru, Biplab Kumar & Pradhan, Ashis Kumar & Bandaru, Ramakrishna, 2023. "Volatility contagion between oil and the stock markets of G7 countries plus India and China," Resources Policy, Elsevier, vol. 81(C).
    79. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
    80. Fan, Zhenjun & Zhang, Zongyi & Zhao, Yanfei, 2021. "Does oil price uncertainty affect corporate leverage? Evidence from China," Energy Economics, Elsevier, vol. 98(C).
    81. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2020. "Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets," Energy, Elsevier, vol. 207(C).
    82. Li, Li & Chen, Hongyi & Xiang, Jingjie, 2023. "Oil price uncertainty, financial distress and real economic activities: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    83. Woo, Chiew Eng & Kun, Sek Siok, 2019. "Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 23-41.
    84. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Do Oil Prices Affect Kuwait Sectoral Stock Prices? Non-Linear Cointegration Evidence," Working Papers 1141, Economic Research Forum, revised 09 2003.
    85. Zeinedini, Sh & Karimi, M. Sh & Khanzadi, A., 2022. "Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach," Resources Policy, Elsevier, vol. 76(C).
    86. Sema Bayraktar & Thomas C. Chiang, 2017. "Comovements of Stock Markets between Turkey and Global Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 250-275, June.

  73. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014. "Youth Unemployment in Europe: Persistence and Macroeconomic Determinants," CESifo Working Paper Series 4696, CESifo.

    Cited by:

    1. Luis René Cáceres, 2021. "Youth Unemployment and Underdevelopment in Honduras," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(2), pages 1-61, February.
    2. Mihaela Simionescu & Javier Cifuentes-Faura, 2022. "Forecasting National and Regional Youth Unemployment in Spain Using Google Trends," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(3), pages 1187-1216, December.
    3. Riza Bayrak, Halim Tatli, 2018. "The Determinants of Youth Unemployment: A Panel Data Analysis of OECD Countries," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 15(2), pages 231-248, December.
    4. Tamar Pkhakadze, 2022. "Youth unemployment in the European Union and transition period - from education to the labour market," Technium Social Sciences Journal, Technium Science, vol. 35(1), pages 532-540, September.
    5. Juan Carlos Cuestas & Karsten Staehr & Javier Ordóñez, 2018. "Unit Labour Costs and the Dynamics of Output and Unemployment in the Southern European Crisis Countries," TUT Economic Research Series 41, Department of Finance and Economics, Tallinn University of Technology.
    6. Tamar Pkhakadze, 2022. "Improving Youth Unemployment Issues and Further Development of Youth Policies in the European Union member states," Technium Social Sciences Journal, Technium Science, vol. 34(1), pages 521-528, August.
    7. Iryna Lukianenko & Marianna Oliskevych, 2017. "Evidence of Asymmetries and Nonlinearity of Unemployment and Labour Force Participation Rate in Ukraine," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(5), pages 578-601.
    8. Bajram Ibraj, 2016. "Money Laundering in Albania for the Years 2008-2015," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 2, September.
    9. Floro Ernesto Caroleo & Elvira Ciociano & Sergio Destefanis, 2017. "Youth Labour-Market Performance, Institutions and Vet Systems: A Cross-Country Analysis," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 3(1), pages 39-69, March.
    10. Giovanni S. F. Bruno & Misbah Choudhry Tanveer & Enrico Marelli & Marcello Signorelli, 2017. "The short- and long-run impacts of financial crises on youth unemployment in OECD countries," Applied Economics, Taylor & Francis Journals, vol. 49(34), pages 3372-3394, July.
    11. Maria Laura Parisi & Enrico Marelli & Olga Demidova, 2015. "Labour Productivity of Young and Adult Temporary Workers and Youth Unemployment: a Cross-country Analysis," Discussion Papers 1_2015, CRISEI, University of Naples "Parthenope", Italy.
    12. Floro Ernesto Caroleo & Elvira Ciociano & Sergio Destefanis, 2017. "The role of the education systems and the labour market institutions in enhancing youth employment: a cross-country analysis," Discussion Papers 1_2017, CRISEI, University of Naples "Parthenope", Italy.
    13. Alexander McTier & Alan McGregor, 2018. "Influence of Work–Welfare Cycling and Labour Market Segmentation on Employment Histories of Young Long-Term Unemployed," Work, Employment & Society, British Sociological Association, vol. 32(1), pages 20-37, February.
    14. Urbánné Mező, Júlia & Udvari, Beáta, 2016. "Munkapiaci rugalmasság és ifjúsági foglalkoztathatóság [Labour-market flexibility and youth employment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 431-460.
    15. Iva Tomic, 2016. "What drives youth unemployment in Europe?," Working Papers 1601, The Institute of Economics, Zagreb.
    16. Wen-Yi Chen & Tsangyao Chang & Yu-Hui Lin, 2018. "Investigating the Persistence of Suicide in the United States: Evidence from the Quantile Unit Root Test," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 135(2), pages 813-833, January.
    17. SÁNTA Ádám Kálmán & KOZMÁNÉ CSIRMAZ Éva, 2020. "Employment-Related Habits Among Students Majoring In Tourism At The University Of Debrecen," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 109-121, July.
    18. Iva TOMIĆ, 2018. "What drives youth unemployment in Europe? Economic vs non‐economic determinants," International Labour Review, International Labour Organization, vol. 157(3), pages 379-408, September.

  74. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
    2. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
    3. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
    4. Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.
    5. Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022. "Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    6. Ivan Borisov Todorov & Fernando Sánchez Lasheras, 2023. "Stock Price Forecasting of IBEX35 Companies in the Petroleum, Electricity, and Gas Industries," Energies, MDPI, vol. 16(9), pages 1-21, April.
    7. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
    8. DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
    9. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
    10. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
    11. Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu, 2022. "Examining the overconfidence and overreaction in China’s carbon markets," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 472-489.
    12. Ivan Borisov Todorov & Fernando Sánchez Lasheras, 2022. "Forecasting Applied to the Electricity, Energy, Gas and Oil Industries: A Systematic Review," Mathematics, MDPI, vol. 10(21), pages 1-15, October.
    13. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
    14. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    15. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.

  75. Guglielmo Maria Caporale & Stefano Di Colli & Roberto Di Salvo & Juan Sergio Lopez, 2014. "Local Banking and Local Economic Growth in Italy: Some Panel Evidence," Discussion Papers of DIW Berlin 1409, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Giuseppe Terzo, 2022. "The economic impact of social entrepreneurship: an exploratory analysis of the linkage between social cooperation and local growth in Italy," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 76(3), pages 17-28, July-Sept.
    2. Ibrahim M. Awad & Mohammed S. Karaki, 2019. "The impact of bank lending on Palestine economic growth: an econometric analysis of time series data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-21, December.
    3. Yue Hu & Siwei Lu & Huiyuan Zhang & Guibo Liu & Jiangang Peng, 2021. "Empirical Analysis on the Performance of Rural Credit Cooperative’s Shareholding Reform Based on the Rationale of Isomorphic Incentive Compatibility," Sustainability, MDPI, vol. 13(5), pages 1-29, March.

  76. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," CESifo Working Paper Series 4849, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo.
    2. Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.
    3. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.
    4. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.

  77. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis," CESifo Working Paper Series 4912, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," Discussion Papers of DIW Berlin 1413, DIW Berlin, German Institute for Economic Research.
    2. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    3. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    4. Teplova, T. & Sokolova, T. & Tomtosov, A. & Buchko, D. & Nikulin, D., 2022. "The sentiment of private investors in explaining the differences in the trade characteristics of the Russian market stocks," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 53-84.
    5. Foroutan, Parisa & Lahmiri, Salim, 2022. "The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
    6. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    7. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
    8. Grigaliuniene, Zana & Celov, Dmitrij & Hartwell, Christopher A., 2020. "The more the Merrier? The reaction of euro area stock markets to new members," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    9. Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    10. Konstantinos Gkillas & Paraskevi Katsiampa & Dimitrios I. Vortelinos & Mark E. Wohar, 2023. "Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4037-4054, October.
    11. Cao, Zhen & Han, Liyan & Zhang, Qunzi, 2022. "Stock return predictability in China: Power of oil price trend," Finance Research Letters, Elsevier, vol. 47(PA).
    12. Salisu, Afees A. & Akanni, Lateef O. & Vo, Xuan Vinh, 2021. "Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 150-159.
    13. Gregori, Wildmer Daniel & Sacchi, Agnese, 2019. "Has the Grexit news affected euro area financial markets?," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 71-84.
    14. da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
    15. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    16. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    17. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.

  78. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," CESifo Working Paper Series 5008, CESifo.

    Cited by:

    1. González, Luis Otero & Razia, Alaa & Búa, Milagros Vivel & Sestayo, Rubén Lado, 2019. "Market structure, performance, and efficiency: Evidence from the MENA banking sector," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 84-101.
    2. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    3. Graham Bird & Wenti Du & Thomas Willett, 2017. "Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?," Open Economies Review, Springer, vol. 28(2), pages 273-295, April.
    4. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    5. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    6. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
    7. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
    8. Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    9. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
    10. Conterius, Simeon & Akimov, Alexandr & Su, Jen-Je & Roca, Eduardo, 2023. "Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 863-875.
    11. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    12. Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016. "Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions," Mo.Fi.R. Working Papers 134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    13. Gregori, Wildmer Daniel & Sacchi, Agnese, 2019. "Has the Grexit news affected euro area financial markets?," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 71-84.
    14. Boonman, Tjeerd & Litsios, Ioannis & Pilbeam, Keith & Pouliot, William, 2022. "Modelling the trade balance between the northern and southern eurozone using an intertemporal approach," Journal of International Money and Finance, Elsevier, vol. 121(C).
    15. da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
    16. Philipp Mohl & Gilles Mourre & Sven Langedijk & Martijn Hoogeland, 2021. "Does Media Visibility Make EU Fiscal Rules More Effective?," European Economy - Discussion Papers 155, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    17. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    18. Mohsin Waheed & Zulfiqar Hyder, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," SBP Working Paper Series 112, State Bank of Pakistan, Research Department.

  79. Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014. "International Capital Markets Structure, Preferences and Puzzles: The US-China Case," CESifo Working Paper Series 4669, CESifo.

    Cited by:

    1. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Kollmann, Robert, 2017. "Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel," CEPR Discussion Papers 11911, C.E.P.R. Discussion Papers.
    3. Kollmann, Robert, 2014. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," CEPR Discussion Papers 10232, C.E.P.R. Discussion Papers.
    4. Robert Kollmann, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," Working Papers ECARES ECARES 2016-13, ULB -- Universite Libre de Bruxelles.
    5. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    6. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    7. Robert Kollmann, 2017. "Explaining International Business Cycle Synchronization," 2017 Meeting Papers 1489, Society for Economic Dynamics.

  80. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Calisse, Frank, 2019. "The impact of long-range dependence in the capital stock on interest rate and wealth distribution," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203591, Verein für Socialpolitik / German Economic Association.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Trends and Cycles in Macro Series: The Case of US Real GDP," Discussion Papers of DIW Berlin 1695, DIW Berlin, German Institute for Economic Research.

  81. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," CESifo Working Paper Series 4752, CESifo.

    Cited by:

    1. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Price Gap Anomaly in the US Stock Market: The Whole Story," Working Papers 201963, University of Pretoria, Department of Economics.
    2. Umar, Zaghum & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson Ayobami & Gubareva, Mariya, 2021. "Media sentiment and short stocks performance during a systemic crisis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    3. V. Vismayaa & K. R. Pooja & A. Alekhya & C. N. Malavika & Binoy B. Nair & P. N. Kumar, 2020. "Classifier Based Stock Trading Recommender Systems for Indian stocks: An Empirical Evaluation," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 901-923, March.
    4. Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021. "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
    5. Su, Zhifang & Bao, Haohua & Li, Qifang & Xu, Boyu & Cui, Xin, 2022. "The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model," Finance Research Letters, Elsevier, vol. 47(PB).
    6. I. Marta Miranda García & María‐Jesús Segovia‐Vargas & Usue Mori & José A. Lozano, 2023. "Early prediction of Ibex 35 movements," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1150-1166, August.
    7. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    8. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.
    9. Maria Caporale, Guglielmo & Zakirova, Valentina, 2017. "Calendar anomalies in the Russian stock market," Russian Journal of Economics, Elsevier, vol. 3(1), pages 101-108.

  82. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2014. "Testing Unemployment Theories: A Multivariate Long Memory Approach," CESifo Working Paper Series 4570, CESifo.

    Cited by:

    1. Alexander Mikhailovich Batkovskiy & Viktor Antonovich Nesterov & Olga Olegovna Reshetova & Elena Georgievna Semenova & Alena Vladimirovna Fomina, 2017. "Dynamic Model of Optimal Production Control in a Hysteretic Behaviour of Economic Agents," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 355-379.
    2. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Fumitaka Furuoka & Luis A. Gil‐Alana, 2021. "A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 960-981, August.
    3. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    4. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    5. Niels Framroze Møller, 2019. "Decoding unemployment persistence: an econometric framework for identifying and comparing the sources of persistence with an application to UK macrodata," Empirical Economics, Springer, vol. 56(5), pages 1489-1514, May.
    6. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
    7. Saša Obradoviæ & Lela Ristiæ & Nemanja Lojanica, 2018. "Are unemployment rates stationary for SEE10 countries? Evidence from linear and nonlinear dynamics," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 559-583.

  83. Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Guglielmo Maria Caporale, 2014. "Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour," NCID Working Papers 01/2014, Navarra Center for International Development, University of Navarra.

    Cited by:

    1. C. P. Barros & João Ricardo Faria & Luis A. Gil-Alana, 2017. "The demand for money in Angola," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 408-420, April.
    2. Carlos Pestana Barros, 2016. "Country survey: Angola," Defence and Peace Economics, Taylor & Francis Journals, vol. 27(3), pages 423-432, June.

  84. Guglielmo Maria Caporale & Carlos Pestana Barros & Bruno Damasio, 2013. "Foreign direct investment in the Asian economies," NCID Working Papers 10/2013, Navarra Center for International Development, University of Navarra.

    Cited by:

    1. Hong Hiep Hoang & Michaël Goujon, 2018. "Determinants of Intra-Region and Extra-Region Foreign Direct Investment Inflow in ASEAN: A Spatial Econometric Analysis," Post-Print hal-01918889, HAL.

  85. Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2013. "Exchange Rate Uncertainty and International Portfolio Flows," CESifo Working Paper Series 4234, CESifo.

    Cited by:

    1. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    2. Odili Okwuchukwu, 2015. "Exchange Rate Volatility, Stock Market Performance and Foreign Direct Investment in Nigeria," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 5(2), pages 172-184, April.
    3. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," Discussion Papers of DIW Berlin 1519, DIW Berlin, German Institute for Economic Research.
    4. Shuping Li & Xinghua Liu & Chongren Wang, 2020. "The Influence of Internet Finance on the Sustainable Development of the Financial Ecosystem in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.
    5. David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).

  86. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2013. "The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model," Discussion Papers of DIW Berlin 1288, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.

  87. Guglielmo Maria Caporale & Stefano Di Colli & Juan Sergio Lopez, 2013. "Bank Lending Procyclicality and Credit Quality during Financial Crises," Discussion Papers of DIW Berlin 1309, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Solomon Y. Deku & Alper Kara & Artur Semeyutin, 2021. "The predictive strength of MBS yield spreads during asset bubbles," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 111-142, January.
    2. Krainer, Robert E., 2017. "Economic stability under alternative banking systems: Theory and policy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 107-118.
    3. Wang, Jiamei & Chen, Haibin & Zhang, Heng & Luo, Jianchao & Cheng, Mingwang & Zhang, Jiaping, 2022. "Property rights reform and capital adequacy ratios of rural credit cooperatives in China," Economic Modelling, Elsevier, vol. 106(C).
    4. Raffaella Barone, 2018. "The Italian CCB Reform and Usury Credit Risk: A Quantitative Analysis," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 4(3), pages 463-496, November.
    5. Pallavi Chavan & Leonardo Gambacorta, 2016. "Bank Lending and Loan Quality: The Case of India," Working Papers id:11521, eSocialSciences.
    6. Boufateh, Talel & Saadaoui, Zied, 2021. "The time-varying responses of financial intermediation and inflation to oil supply and demand shocks in the US: Evidence from Bayesian TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 102(C).
    7. Pallavi Chavan & Leonardo Gambacorta, 2019. "Bank lending and loan quality: an emerging economy perspective," Empirical Economics, Springer, vol. 57(1), pages 1-29, July.
    8. Dobromił Serwa & Piotr Wdowiński, 2017. "Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(4), pages 323-357, December.
    9. Saom Shawleen Anita & Nishat Tasnova & Nousheen Nawar, 2022. "Are non-performing loans sensitive to macroeconomic determinants? an empirical evidence from banking sector of SAARC countries," Future Business Journal, Springer, vol. 8(1), pages 1-16, December.
    10. Guglielmo Maria Caporale & Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2015. "Loan Loss Provision: Some Empirical Evidence for Italian Banks," Discussion Papers of DIW Berlin 1459, DIW Berlin, German Institute for Economic Research.
    11. Matteo Deleidi, 2019. "Endogenous money theory: horizontalists, structuralists and the credit market," Bulletin of Political Economy, Bulletin of Political Economy, vol. 13(1), pages 21-53, June.
    12. ROMAN Angela & BILAN Irina, 2015. "An Empirical Analysis Of The Macroeconomic Determinants Of Non-Performing Loans In Eu28 Banking Sector," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(2), pages 108-127.
    13. Matteo Alessi & Stefano Di Colli & Juan Sergio Lopez, 2014. "Loan Loss Provisioning and Relationship Banking in Italy: Practices and Empirical Evidence," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 111-129, June.

  88. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," CESifo Working Paper Series 4189, CESifo.

    Cited by:

    1. Mohsen Bahmani-Oskooee & Sujata Saha, 2019. "On the effects of policy uncertainty on stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 764-778, October.
    2. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    3. Shahid Raza & M. Ali Kemal, 2017. "Daily Stock Market Movements: From the Lens of News and Events," Working Papers id:12188, eSocialSciences.
    4. Kassouri YACOUBA & Halil ALTINTAS, 2019. "The Asymmetric Impact of Macroeconomic Shocks on Stock Returns in Turkey: A Nonlinear ARDL Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 98-116, June.
    5. Nusair, Salah A. & Olson, Dennis, 2022. "Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    6. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    7. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
    8. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    9. Kumeka, Terver Theophilus & Uzoma-Nwosu, Damian Chidozie & David-Wayas, Maria Onyinye, 2022. "The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies," Resources Policy, Elsevier, vol. 77(C).
    10. Alexandros Pasiouras & Theodoros Daglis, 2020. "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 352-361.
    11. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
    12. Ngo Thai Hung, 2022. "Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries," Global Business Review, International Management Institute, vol. 23(2), pages 259-286, April.
    13. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
    14. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    15. Rabia Luqman & Rehana Kouser, 2018. "Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL," JRFM, MDPI, vol. 11(3), pages 1-13, August.
    16. Amira Akl Ahmed & Rania Ihab Naguib, 2018. "DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(1), pages 14-28, January.
    17. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
    18. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
    19. Shahani, Rakesh & Paliwal, Riya, 2020. "An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods," MPRA Paper 103568, University Library of Munich, Germany.
    20. Xiyong Dong & Seong‐Min Yoon, 2018. "Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China," The World Economy, Wiley Blackwell, vol. 41(10), pages 2783-2803, October.
    21. Effiong, Ekpeno L., 2016. "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper 74336, University Library of Munich, Germany.
    22. Marie Ligocká & Tomáš Pražák & Daniel Stavárek, 2016. "The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 2015-2024.
    23. Andrea Bellucci & Gianluca Gucciardi, 2023. "A Turning Point for Banking: Unravelling the Changing Landscape of Banking Activity in Europe since the COVID-19 pandemic," Mo.Fi.R. Working Papers 183, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    24. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Chi‐Chuan Lee & Matthew Ntow‐Gyamfi, 2023. "Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 187-205, March.
    25. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    26. Andriansyah, Andriansyah & Messinis, George, 2019. "Stock Prices, Exchange Rates and Portfolio Equity Flows: A Toda-Yamamoto Panel Causality Test," MPRA Paper 97992, University Library of Munich, Germany.
    27. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(2), pages 228-255, February.
    28. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, vol. 30(C), pages 173-194.
    29. Shahzad, Syed Jawad Hussain & Rahman, Md Lutfur & Lucey, Brian M. & Uddin, Gazi Salah, 2021. "Re-examining the real option characteristics of gold for gold mining companies," Resources Policy, Elsevier, vol. 70(C).
    30. Dai, Zhifeng & Zhu, Huan & Dong, Xiaodi, 2020. "Forecasting Chinese industry return volatilities with RMB/USD exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    31. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    32. Patrick Kanda & Michael Burke & Rangan Gupta, 2017. "Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data," Working Papers 201778, University of Pretoria, Department of Economics.
    33. Sakarombe, Upenyu & Marimbe-Makoni, Rudo, 2020. "Stock Exchange Fungibility and Exchange Rate Volatility in Zimbabwe," MPRA Paper 102464, University Library of Munich, Germany, revised 2020.
    34. Bahmani-Oskooee, Mohsen & Saha, Sujata, 2016. "Asymmetry cointegration between the value of the dollar and sectoral stock indices in the U.S," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 78-86.
    35. Nguyen, Dat Thanh & Phan, Dinh Hoang Bach & Anglingkusumo, Reza & Sasongko, Aryo, 2021. "US government shutdowns and Indonesian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    36. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    37. Satish Kumar & Rabeh Khalfaoui & Aviral Kumar Tiwari, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Post-Print hal-03797578, HAL.
    38. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
    39. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    40. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2021. "How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    41. Shakizada Niyazbekova & Igor Grekov & Tatiana Blokhina, 2016. "The Influence Of Macroeconomic Factors To The Dynamics Of Stock Exchange In The Republic Of Kazakhstan," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 1263-1273.
    42. Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2023. "Partial quanto lookback options," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    43. Malik, Farooq, 2021. "Volatility spillover between exchange rate and stock returns under volatility shifts," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 605-613.
    44. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Vo, Xuan Vinh, 2022. "What drives cross-market correlations during the United States Q.E.?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    45. Rizwan Ali & Inayat Ullah Mangla & Ramiz Ur Rehman & Wuzhao Xue & Muhammad Akram Naseem & Muhammad Ishfaq Ahmad, 2020. "Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach," Risks, MDPI, vol. 8(3), pages 1-16, August.
    46. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
    47. Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018. "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 246-256.
    48. P. K. Mishra & S. K. Mishra, 2022. "Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 137-162, May.
    49. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2020. "The foreign exchange and stock market nexus: New international evidence," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 240-266.
    50. Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.
    51. Gholamreza Zamanian & Kamran Mahmodpour & Sepideh Yari, 2017. "Exchange Rate Uncertainty Effect on Export-Oriented Companies at Tehran Stock Exchange (Yield) Rate of Return: A Panel-Vector Autoregressive Model," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 207-213.
    52. Maud Korley & Evangelos Giouvris, 2021. "The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa," JRFM, MDPI, vol. 14(3), pages 1-30, March.
    53. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2016. "Stock markets and effective exchange rates in European countries: threshold cointegration findings," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 215-274, August.
    54. Wong, Hock Tsen, 2017. "Real exchange rate returns and real stock price returns," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 340-352.
    55. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
    56. Konstantinos N. Konstantakis & Ioannis G. Melissaropoulos & Theodoros Daglis & Panayotis G. Michaelides, 2023. "The euro to dollar exchange rate in the Covid‐19 era: Evidence from spectral causality and Markov‐switching estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2037-2055, April.
    57. Kassouri, Yacouba & Altıntaş, Halil, 2020. "Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira," Research in International Business and Finance, Elsevier, vol. 52(C).
    58. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    59. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
    60. Mollick, André Varella & Sakaki, Hamid, 2019. "Exchange rates, oil prices and world stock returns," Resources Policy, Elsevier, vol. 61(C), pages 585-602.
    61. Paulo Ferreira & Marcus Fernandes da Silva & Idaraí Santos de Santana, 2019. "Detrended Correlation Coefficients Between Exchange Rate (in Dollars) and Stock Markets in the World’s Largest Economies," Economies, MDPI, vol. 7(1), pages 1-11, February.
    62. I-Chun Tsai, 2022. "The connectedness between Hong Kong and China real estate markets: spillover effect and information transmission," Empirical Economics, Springer, vol. 63(1), pages 287-311, July.
    63. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
    64. Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
    65. Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020. "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, vol. 52(C).
    66. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
    67. Mohsen Bahmani-Oskooee & Sujata Saha, 2018. "On the relation between exchange rates and stock prices: a non-linear ARDL approach and asymmetry analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 112-137, January.
    68. Mirza Muhammad Naseer & Muhammad Asif Khan & József Popp & Judit Oláh, 2021. "Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector," JRFM, MDPI, vol. 14(5), pages 1-18, April.

  89. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series 4224, CESifo.

    Cited by:

    1. Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
    2. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    3. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
    4. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
    5. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    6. Matthieu Garcin, 2019. "Hurst Exponents And Delampertized Fractional Brownian Motions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-26, August.
    7. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
    8. Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
    9. Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
    10. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    11. Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
    12. Murugesan Selvam & Amirdha Vasani Sankarkumar & Balasundaram Maniam & Marxia Oli Sigo, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 97-109, March.
    13. Gao, Guangyuan & Ho, Kin-Yip & Shi, Yanlin, 2020. "Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    14. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
    15. Matthieu Garcin, 2018. "Hurst exponents and delampertized fractional Brownian motions," Working Papers hal-01919754, HAL.
    16. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016. "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers 201683, University of Pretoria, Department of Economics.
    17. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
    18. Omane-Adjepong, Maurice & Boako, Gidoen & Alagidede, Paul, 2018. "Modelling heterogeneous speculation in Ghana’s foreign exchange market: Evidence from ARFIMA-FIGARCH and Semi-Parametric methods," MPRA Paper 86617, University Library of Munich, Germany.
    19. Joseph Mawejje & Ezra Francis Munyambonera, 2016. "Tax Revenue Effects of Sectoral Growth and Public Expenditure in Uganda," South African Journal of Economics, Economic Society of South Africa, vol. 84(4), pages 538-554, December.

  90. Luca Agnello & Guglielmo Maria Caporale & Ricardo M. Sousa, 2013. "Fiscal Adjustments and Business Cycle Synchronization," CESifo Working Paper Series 4505, CESifo.

    Cited by:

    1. Castro, Vítor, 2017. "The impact of fiscal consolidations on the functional components of government expenditures," Economic Modelling, Elsevier, vol. 60(C), pages 138-150.
    2. Lukmanova, Elizaveta & Tondl, Gabriele, 2017. "Macroeconomic imbalances and business cycle synchronization. Why common economic governance is imperative for the Eurozone," Economic Modelling, Elsevier, vol. 62(C), pages 130-144.
    3. Dimitrios Asteriou & Argiro Moudatsou, 2015. "Business Cycle Synchronization in the Enlarged EU: The Role of Bilateral Trade and FDI," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 196-207, February.
    4. Vitor Castro, 2016. "On the behaviour of the functional components ofgovernment expenditures during fiscal consolidations," NIPE Working Papers 11/2016, NIPE - Universidade do Minho.

  91. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory in the Ukrainian Stock Market," Discussion Papers of DIW Berlin 1279, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
    2. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
    3. Pece Andreea Maria & Mihut Ioana Sorina & Oros Olivera Ecaterina, 2014. "The Impact Of The Financial Crisis On Long Memory: Evidence From European Banking Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 781-788, July.
    4. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.

  92. Guglielmo Maria Caporale & Roberta De Santis & Alessandro Girardi, 2013. "Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU," CESifo Working Paper Series 4172, CESifo.

    Cited by:

    1. Alejandro Jara & Néstor Romero, 2016. "Sincronía internacional de los precios de la vivienda," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 76-91, April.
    2. Ansgar Belke & Clemens Domnick, 2019. "Trade and capital flows: Substitutes or complements? An empirical investigation," ROME Working Papers 201904, ROME Network.
    3. Tomas Adam & Robert Ambrisko & Oxana Babecka Kucharcukova & Jan Babecky & Sona Benecka & Jan Bruha & Vilma Dingova & Dana Hajkova & Tomas Holub & Eva Hromadkova & David Kocourek & Lubos Komarek & Zlat, 2014. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2014," Occasional Publications - Edited Volumes, Czech National Bank, number as14 edited by Kamila Kulhava & Jakub Mateju, January.
    4. Cesaroni, T. & D'Elia, E. & De Santis, R., 2019. "Inequality in EMU: is there a core periphery dualism?," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    5. Tatiana Cesaroni & Roberta De Santis, 2015. "Current account “Core-periphery dualism” in the EMU," LEQS – LSE 'Europe in Question' Discussion Paper Series 90, European Institute, LSE.
    6. Vinokurov, Evgeny & Demidenko, Mikhail & Korshunov, Dmitry & Kovacs, Mihaly, 2017. "Customs unions, currency crises, and monetary policy coordination: The case of the Eurasian Economic Union," Russian Journal of Economics, Elsevier, vol. 3(3), pages 280-295.
    7. Bagnai, Alberto & Granville, Brigitte & Mongeau Ospina, Christian A., 2017. "Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model," Economic Modelling, Elsevier, vol. 64(C), pages 524-538.
    8. Ahlborn, Markus & Wortmann, Marcus, 2017. "Output gap similarities in Europe: Detecting country groups," University of Göttingen Working Papers in Economics 305, University of Goettingen, Department of Economics.
    9. Tatiana Cesaroni & Roberta De Santis, 2017. "Dynamics of net foreign asset components in the EMU," Working Papers 5, Department of the Treasury, Ministry of the Economy and of Finance.
    10. Alberto Bagnai & Brigitte Granville & Christian Alexander Mongeau Ospina, 2017. "Withdrawal of Italy from the Eurozone: stochastic simulations of a structural macroeconometric model," a/ Working Papers Series 1702, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    11. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Vojtech Belling & Sona Benecka & Jan Bruha & Kamil Galuscak & Tomas Holub & Eva Hromadkova & Lubos Komarek & Zlatuse Komarkova & Kamila Kulhava , 2015. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2015," Occasional Publications - Edited Volumes, Czech National Bank, number as15 edited by Kamila Kulhava & Lucie Matejkova, January.
    12. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2017. "Could the boom-bust in the eurozone periphery have been prevented?," NBP Working Papers 263, Narodowy Bank Polski.
    13. Philip Arestis & Peter Phelps, 2016. "Endogeneity Analysis of Output Synchronization in the Current and Prospective EMU," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 525-543, May.
    14. Alberto Coco & Andrea Silvestrini, 2017. "The nature and propagation of shocks in the euro area: a comparative SVAR analysis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 95-114.
    15. Tomas Adam & Oxana Babecka Kucharcukova & Jan Babecky & Jan Bruha & Tomas Holub & Eva Hromadkova & David Kocourek & Lubos Komarek & Zlatuse Komarkova & Kamila Kulhava & Petr Kral & Ivana Kubicova & Ji, 2013. "Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2013," Occasional Publications - Edited Volumes, Czech National Bank, number as13 edited by Jakub Mateju & Kamila Kulhava, January.
    16. Igor Velickovski & Aleksandar Stojkov & Ivana Rajkovic, 2017. "DIS Union of the Core and the Periphery," International Journal of Economics and Financial Issues, Econjournals, vol. 7(6), pages 159-174.
    17. Ahlborn, Markus & Wortmann, Marcus, 2018. "The core‒periphery pattern of European business cycles: A fuzzy clustering approach," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 12-27.
    18. Cesaroni, Tatiana & De Santis, Roberta, 2015. "Current Account �Core-Periphery Dualism� in the EMU," CEPS Papers 10317, Centre for European Policy Studies.

  93. Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna, 2013. "Long memory in the ukrainian stock market and financial crises," MPRA Paper 59061, University Library of Munich, Germany.

    Cited by:

    1. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2021. "Persistence in ESG and Conventional Stock Market Indices," CESifo Working Paper Series 9098, CESifo.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo.
    4. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.

  94. Vassilios, Babalos & Guglielmo-Maria, Caporale & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," MPRA Paper 37954, University Library of Munich, Germany.

    Cited by:

    1. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
    2. H. Pierre Hsieh & Imen Tebourbi & Wen‐Min Lu & Nai‐Yu Liu, 2020. "Mutual fund performance: The decision quality and capital magnet efficiencies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(5), pages 861-872, July.
    3. Antonella Basso & Stefania Funari, 2017. "The role of fund size in the performance of mutual funds assessed with DEA models," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 457-473, May.
    4. Tao, Ran & Su, Chi-Wei & Xiao, Yidong & Dai, Ke & Khalid, Fahad, 2021. "Robo advisors, algorithmic trading and investment management: Wonders of fourth industrial revolution in financial markets," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
    5. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Sevgi Eda Tuzcu & Emrah Ertugay, 2020. "Is size an input in the mutual fund performance evaluation with DEA?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 635-659, December.
    7. Farah Naz & Hafsa Khan & Muhammad Ishfaq Ahmad & Ramiz Ur Rehman & Muhammad Akram Naseem, 2019. "Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-21, September.
    8. Arjomandi, Amir & Valadkhani, Abbas & O’Brien, Martin, 2014. "Analysing banks’ intermediation and operational performance using the Hicks–Moorsteen TFP index: The case of Iran," Research in International Business and Finance, Elsevier, vol. 30(C), pages 111-125.
    9. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    10. Aminah Shari, 2015. "The Performance of Unit Trust Industry in Malaysia," Information Management and Business Review, AMH International, vol. 7(4), pages 46-54.

  95. Mohamed El Hedi Arouri & Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2012. "Environmental Regulation and Competitiveness: Evidence from Romania," CESifo Working Paper Series 3916, CESifo.

    Cited by:

    1. Edmond Noubissi & Boker Poumie & Hilaire Nkengfack, 2021. "Effect of environmental policies on exports from sub‐Saharan African countries," African Development Review, African Development Bank, vol. 33(4), pages 688-702, December.
    2. Wang, Ailun & Hu, Shuo & Lin, Boqiang, 2021. "Can environmental regulation solve pollution problems? Theoretical model and empirical research based on the skill premium," Energy Economics, Elsevier, vol. 94(C).
    3. Hille, Erik, 2014. "Pollution havens: International empirical evidence using a shadow price measure of climate policy stringency," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100551, Verein für Socialpolitik / German Economic Association.
    4. Ihor Nazarkevych & Olga Sych, 2023. "Taxation as a tool of implementation of the EU Green Deal in Ukraine," Regional Science Policy & Practice, Wiley Blackwell, vol. 15(1), pages 144-160, February.
    5. Feng Wei & Binyan Ding & Yu Kong, 2017. "Female Directors and Corporate Social Responsibility: Evidence from the Environmental Investment of Chinese Listed Companies," Sustainability, MDPI, vol. 9(12), pages 1-19, December.
    6. Yuan Wang & Junrui Zhang, 2023. "Corporate Governance, Media Coverage, and Corporate Environmental Protection Investment: Empirical Evidence from Listed Companies in China’s High-Pollution Industries," Sustainability, MDPI, vol. 15(11), pages 1-24, May.
    7. Thanh Tam Nguyen-Huu & Khac Minh Nguyen & Quoc Tran-Nam, 2022. "The role of environmental practices and innovation in total factor productivity convergence -Evidence from small-and medium-sized manufacturing enterprises in Vietnam," Post-Print hal-04248191, HAL.
    8. Liu, Guangqiang & Zhang, Lingyun & Xie, Ziqin, 2022. "Environmental taxes and corporate cash holdings: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    9. Suárez-Varela, Marta & Rodríguez-Crespo, Ernesto, 2022. "Is dirty trade concentrating in more polluting countries? Evidence from Africa," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 728-744.
    10. Wang, Qian & Zhu, Linke, 2021. "Environmental regulation, firm heterogeneity, and intra-industry reallocation," China Economic Review, Elsevier, vol. 68(C).
    11. Xinfeng Jiang & Ahsan Akbar, 2018. "Does Increased Representation of Female Executives Improve Corporate Environmental Investment? Evidence from China," Sustainability, MDPI, vol. 10(12), pages 1-19, December.
    12. Zhao, Aiwu & Wang, Jingyi & Sun, Zhenzhen & Guan, Hongjun, 2022. "Environmental taxes, technology innovation quality and firm performance in China—A test of effects based on the Porter hypothesis," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 309-325.
    13. Xin Liu & Zhiyong Kang, 2022. "Environmental Policy and Exports in China: An Analysis Based on the Top 10,000 Energy-Consuming Enterprises Program," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    14. Yen Nguyen & Son Le & Nam Ngo & Huyen Nguyen, 2023. "Impacts of FDI and Environmental Pollution in ASEAN Countries: The Role of Institutions," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 242-250, September.
    15. Xinfei Li & Baodong Cheng & Qiling Hong & Chang Xu, 2021. "Can a Win–Win Situation of Economy and Environment Be Achieved in Cities by the Government’s Environmental Regulations?," Sustainability, MDPI, vol. 13(11), pages 1-20, May.
    16. Neves, Sónia Almeida & Marques, António Cardoso & Patrício, Margarida, 2020. "Determinants of CO2 emissions in European Union countries: Does environmental regulation reduce environmental pollution?," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 114-125.
    17. Yantao Gao & Xilong Yao & Wenxi Wang & Xin Liu, 2019. "Dynamic effect of environmental tax on export trade: Based on DSGE mode," Energy & Environment, , vol. 30(7), pages 1275-1290, November.
    18. Chenruo Zhang & Yuchen Bi & Zijie Jiang & Xiaoru Shen, 2023. "Hometown CEOs and Pollution Emissions: Evidence from Chinese Listed Companies," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 13(6), pages 1-5.
    19. Juan Huang & Ziyi Wu, 2022. "Impact of Environmental Regulations on Export Trade—Empirical Analysis Based on Zhejiang Province," IJERPH, MDPI, vol. 19(19), pages 1-14, October.
    20. Zhao, Liange & Wang, Dongmei & Wang, Xueyuan & Zhang, Zhijian, 2023. "Impact of green finance on total factor productivity of heavily polluting enterprises: Evidence from green finance reform and innovation pilot zone," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 765-785.
    21. Li, Hai-ling & Zhu, Xue-hong & Chen, Jin-yu & Jiang, Fei-tao, 2019. "Environmental regulations, environmental governance efficiency and the green transformation of China's iron and steel enterprises," Ecological Economics, Elsevier, vol. 165(C), pages 1-1.
    22. Juan J. Martínez Hernández & Patricia S. Sánchez‐Medina & René Díaz‐Pichardo, 2021. "Business‐oriented environmental regulation: Measurement and implications for environmental policy and business strategy from a sustainable development perspective," Business Strategy and the Environment, Wiley Blackwell, vol. 30(1), pages 507-521, January.
    23. Yanyun Chen & Xinzi Kong & Fang Wang, 2023. "Carbon Emission, Air Pollution, and Total Factor Productivity: Evidence from Prefecture-Level Cities in China," SAGE Open, , vol. 13(4), pages 21582440231, November.
    24. Haiyan Yu & Shan Li & Yiyuan Liu & Qiuping Liu & Yuxin Lu, 2023. "Do International Trade Frictions Influence the Competitiveness of Entity Enterprises? Evidence from the Perspective of Financialization," SAGE Open, , vol. 13(4), pages 21582440231, December.
    25. Yuping Deng & Yanrui Wu & Helian Xu, 2019. "Environmental Regulation and Export Product Quality: Evidence from Chinese Firms," Economics Discussion / Working Papers 19-14, The University of Western Australia, Department of Economics.
    26. Du, Mengfan & Zhang, Yue-Jun, 2023. "The impact of producer services agglomeration on green economic development: Evidence from 278 Chinese cities," Energy Economics, Elsevier, vol. 124(C).
    27. Zhang, Xuehui & Tan, Jianhua & Chen, Yining & Chan, Kam C., 2021. "Does environmental law enforcement matter for financial reporting quality?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    28. Zinnia Mukherjee & Niloufer Sohrabji, 2022. "Environmental Regulation and Export Performance: Evidence from the USA," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 48(2), pages 198-225, April.

  96. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in the US Federal Funds Rate," CESifo Working Paper Series 4035, CESifo.

    Cited by:

    1. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    3. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Non-Linearities and Persistence in US Long-Run Interest Rates," CESifo Working Paper Series 8744, CESifo.
    5. Dutra, Tiago Mota & Dias, José Carlos & Teixeira, João C.A., 2022. "Measuring financial cycles: Empirical evidence for Germany, United Kingdom and United States of America," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 599-630.

  97. Guglielmo Maria Caporale & Alessandro Girardi, 2012. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," CESifo Working Paper Series 4006, CESifo.

    Cited by:

    1. Solomon Abayomi Olakojo, 2018. "Foreign Trade and International Financial Flows: Implications for Economic Stability in the Selected ECOWAS Countries," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 22(1), pages 63-103, Winter.
    2. Vianna, Andre C. & Mollick, Andre V., 2021. "Threshold effects of terms of trade on Latin American growth," Economic Systems, Elsevier, vol. 45(4).
    3. Flores, Jairo, 2016. "Transmisión de choques de política monetaria de EstadosUnidos sobre América Latina: Un enfoque GVAR," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 32, pages 35-54.
    4. Caporale, Guglielmo Maria & De Santis, Roberta & Girardi, Alessandro, 2015. "Trade intensity and output synchronisation: On the endogeneity properties of EMU," Journal of Financial Stability, Elsevier, vol. 16(C), pages 154-163.
    5. Shen, Jiancheng & Selover, David D. & Li, Chao & Yousefi, Hamed, 2022. "An ocean apart? The effects of US business cycles on Chinese business cycles," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 677-698.
    6. Saudi Arabian Monetary Authority, 2018. "Macroeconomic and distributional effects of globalisation," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and deglobalisation, volume 100, pages 311-319, Bank for International Settlements.
    7. Miles, William, 2017. "The impact of the US on Latin American business cycles: A new approach," Economic Systems, Elsevier, vol. 41(2), pages 320-331.

  98. Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012. "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," CESifo Working Paper Series 3897, CESifo.

    Cited by:

    1. Ali Güneş & Cengiz Tunç, 2021. "Saving Impact of Mortgage Payments: A Microlevel Study for the U.S. Households," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 335-360, September.
    2. Riccardo Bonis & Marco Marinucci, 2023. "A Short Note on Interest Rates and Household Wealth," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(2), pages 617-635, July.
    3. Riccardo Fiorentini, 2019. "The persisting US trade deficit Is protectionism the right answer?," Working Papers 03/2019, University of Verona, Department of Economics.
    4. Barrell, Ray & Costantini, Mauro & Meco, Iris, 2015. "Housing wealth, financial wealth, and consumption: New evidence for Italy and the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 316-323.

  99. Carlos Barros & Guglielmo Caporale, 2012. "Banking Consolidation in Nigeria," CEsA Working Papers 99, CEsA - Centre for African and Development Studies.

    Cited by:

    1. Ullah, Nazim & Abu Seman, Junaidah, 2018. "Merger and Acquisition in Banking Sector: A Review of the Literature," MPRA Paper 108575, University Library of Munich, Germany, revised 01 Jan 2018.
    2. Emeka W. Dumbili, 2013. "McDonaldization and Job Insecurity," SAGE Open, , vol. 3(2), pages 21582440134, June.
    3. Ozili, Peterson, K, 2016. "Bank Profitability and Capital Regulation: Evidence from Listed and non-Listed Banks in Africa," MPRA Paper 75856, University Library of Munich, Germany.
    4. Ullah, Nazim & Uddin, Akther, 2018. "Will financial distress lead to banks Merger and Acquisition in Bangladesh?," MPRA Paper 108576, University Library of Munich, Germany, revised 01 Jan 2018.
    5. Ibrahim Gerarh Umaru, 2013. "Isolating the ‘Pure’ Effect of the 2004/2005 Bank Consolidation Policy on Performance of Banks in Nigeria, Using the Chow Test (2000-2010)," Accounting and Finance Research, Sciedu Press, vol. 2(4), pages 1-47, November.

  100. Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012. "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin 1247, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Yaya KEHO, 2021. "Real Exchange Rate Dynamics and Trade Balance in WAEMU Countries: Evidence from Panel Nonlinear ARDL Approach," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 5(2), pages 1-22.
    2. Muhammad Omer & Junaid Kamal & Jakob Haan, 2023. "Does an exchange rate depreciation improve the trade balance of Pakistan?," International Journal of Economic Policy Studies, Springer, vol. 17(1), pages 163-185, February.
    3. Yaya Keho, 2021. "Real Exchange Rate and Trade Balance Dynamics in Cote d Ivoire," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 61-70.
    4. Gulzar Ali & Kaleem Ullah & Said Zamin Shah & Shaista Khan, 2022. "Testing Of Marshall-Lerner Condition: Evidence From Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 46-52, March.
    5. Dong, Fang, 2017. "Testing the Marshall-Lerner condition between the U.S. and other G7 member countries," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 30-40.
    6. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Bilateral Trade Elasticity: B&H versus its seven trade partners," MPRA Paper 72297, University Library of Munich, Germany.
    7. Abdulkadir Abdulrashid Rafindadi & Zarinah Yusof, 2014. "An Econometric Estimation and Prediction of the Effects of Nominal Devaluation on Real Devaluation: Does the Marshal-Lerner (M-L) Assumptions Fits in Nigeria?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 819-835.

  101. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in US Hours Worked," CESifo Working Paper Series 3767, CESifo.

    Cited by:

    1. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    2. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    3. Marczak, Martyna & Gómez, Víctor, 2012. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers 50-2012, University of Hohenheim, Center for Research on Innovation and Services (FZID).
    4. Shim, Myungkyu & Yang, Hee-Seung, 2016. "New stylized facts on occupational employment and their implications: Evidence from consistent employment data," Economic Modelling, Elsevier, vol. 59(C), pages 402-415.

  102. Carlos Pestana Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," CESifo Working Paper Series 3935, CESifo.

    Cited by:

    1. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Faculty Working Papers 20/12, School of Economics and Business Administration, University of Navarra.

  103. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence in Youth Unemployment," CESifo Working Paper Series 3961, CESifo.

    Cited by:

    1. Floro Ernesto Caroleo & Antonella Rocca & Paolo Mazzocchi & Claudio Quintano, 2020. "Being NEET in Europe Before and After the Economic Crisis: An Analysis of the Micro and Macro Determinants," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 149(3), pages 991-1024, June.

  104. Guglielmo Maria Caporale & Marinko Škare, 2011. "Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel," CESifo Working Paper Series 3502, CESifo.

    Cited by:

    1. Troug, Haytem Ahmed & Murray, Matt, 2015. "Quantitative Easing in Japan and the UK An Econometric Evaluation of the Impacts of Unconventional Monetary Policy on the Returns of Aggregate Output and Price Levels," MPRA Paper 68707, University Library of Munich, Germany.

  105. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2011. "Trade Specialisation and Economic Convergence: Evidence from two Eastern European Countries," DEGIT Conference Papers c016_071, DEGIT, Dynamics, Economic Growth, and International Trade.

    Cited by:

    1. Safet KURTOVIC & Blerim HALILI & Nehat MAXHUNI, 2017. "The effect of preferential tariffs of the EU: Some evidence from B&H," Journal of Economics and Political Economy, KSP Journals, vol. 4(3), pages 247-262, September.
    2. Fahimifard , Seyed Mohammad, 2013. "Studying Iranian Economic Integration with OIC Members Using Gravity Model," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(1), pages 169-181, January.
    3. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Liberalization of Trade with Leading Trade Partners: Some Evidence from Bosnia and Herzegovina," MPRA Paper 75053, University Library of Munich, Germany, revised 04 Nov 2016.
    4. Eleonora Cavallaro & Piero Esposito & Alessia Matano & Marcella Mulino, 2012. "Technological catching up, quality of exports and competitiveness: a sectoral perspective," Working Papers in Public Economics 158, University of Rome La Sapienza, Department of Economics and Law.
    5. Nuno Carlos LEITÃO & Marius-Razvan SURUGIU & Camelia SURUGIU, 2014. "Romanian intra-industry trade: a panel data approach," EuroEconomica, Danubius University of Galati, issue 2(33), pages 7-18, November.
    6. Dumitru Miron & Alina Mihaela Dima & Simona Vasilache, 2010. "Models Of The Intra-Regional Trade Influence On Economic Sustainable Development In Romania," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 12(27), pages 27-35, February.
    7. Marius-Razvan Surugiu & Camelia Surugiu, 2012. "Intra-industry trade in Romania: analysis of the automobile parts and accessories sector," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 4(1/2), pages 166-179.
    8. Irena Aokić & Zlatan Fröhlich & Ivana Rašić Bakarić, 2016. "The impact of the economic crisis on regional disparities in Croatia," Cambridge Journal of Regions, Economy and Society, Cambridge Political Economy Society, vol. 9(1), pages 179-195.

  106. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo.
    2. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
    3. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    4. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.

  107. Guglielmo Maria Caporale & Luis Alberiko Gil-Alaña, 2011. "Interest rate dynamics in Kenya," NCID Working Papers 10/2011, Navarra Center for International Development, University of Navarra.

    Cited by:

    1. Donald A. Otieno & Rose W. Ngugi & Nelson H. W. Wawire, 2017. "Effects of Interest Rate on Stock Market Returns in Kenya," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(8), pages 40-50, August.

  108. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.

    Cited by:

    1. Alessandro Girardi & Marco Ventura, 2021. "Measuring credit crunch in Italy: evidence from a survey-based indicator," Annals of Operations Research, Springer, vol. 299(1), pages 567-592, April.
    2. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
    3. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    4. Girardi, Alessandro & Ventura, Marco & Margani, Patrizia, 2018. "An Indicator of Credit Crunch using Italian Business Surveys," MPRA Paper 88839, University Library of Munich, Germany.
    5. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    6. Z. Sun & P. A. Hamill & Y. Li & Y. C. Yang & S. A. Vigne, 2019. "Did long-memory of liquidity signal the European sovereign debt crisis?," Annals of Operations Research, Springer, vol. 282(1), pages 355-377, November.
    7. O’Sullivan, Conall & Papavassiliou, Vassilios G., 2020. "On the term structure of liquidity in the European sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 114(C).
    8. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Department of Economics.
    9. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    10. Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica 75/2010, Università di Perugia, Dipartimento Economia.
    11. Wu, Lei & Liu, Chunlin & Meng, Qingbin & Zeng, Hongchao, 2018. "Price discovery in China's inter-bank bond market," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 84-98.
    12. Marcio Garcia & Marcelo Medeiros & Francisco Santos, 2014. "Price Discovery in Brazilian FX Markets," Textos para discussão 622, Department of Economics PUC-Rio (Brazil).
    13. Alessandro Girardi & Claudio Impenna, 2013. "Price Discovery In The Italian Sovereign Bonds Market: The Role Of Order Flow," Working Papers LuissLab 13108, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    14. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    15. Edson Kambeu, 2017. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 6(1), pages 141-148, January.
    16. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    17. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    18. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
    19. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    20. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).

  109. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Fiscal Spillovers in the Euro Area," CESifo Working Paper Series 3693, CESifo.

    Cited by:

    1. Piotr Ciżkowicz & Andrzej Rzońca & Rafał Trzeciakowski, 2015. "Membership in the Euro area and fiscal sustainability - Analysis through panel fiscal reaction functions," a/ Working Papers Series 1501, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    2. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
    3. Ansgar H. Belke & Thomas U. Osowski, 2019. "Measuring fiscal spillovers in EMU and beyond: A Global VAR approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 54-93, February.
    4. Paul De Grauwe & Yuemei Ji, 2012. "Self-Fulfilling Crises in the Eurozone. An Empirical Test," CESifo Working Paper Series 3821, CESifo.
    5. Kempa, Bernd & Khan, Nazmus Sadat, 2017. "Spillover effects of debt and growth in the euro area: Evidence from a GVAR model," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 102-111.
    6. Amélie Barbier-Gauchard & Thierry Betti, 2020. "Spillover effects of fiscal policy in a monetary union : Why do fiscal instruments matter ?," Post-Print hal-02545869, HAL.
    7. Tatiana Cesaroni & Roberta De Santis, 2015. "Current account “Core-periphery dualism” in the EMU," LEQS – LSE 'Europe in Question' Discussion Paper Series 90, European Institute, LSE.
    8. Lukmanova, Elizaveta & Tondl, Gabriele, 2017. "Macroeconomic imbalances and business cycle synchronization. Why common economic governance is imperative for the Eurozone," Economic Modelling, Elsevier, vol. 62(C), pages 130-144.
    9. Mihm, Benedikt, 2018. "Biased signaling and yardstick comparisons in a sovereign debt market," Journal of Economic Behavior & Organization, Elsevier, vol. 152(C), pages 36-46.
    10. De Grauwe, Paul & Ji, Yuemei, 2014. "How much Fiscal Discipline in a Monetary Union?," Journal of Macroeconomics, Elsevier, vol. 39(PB), pages 348-360.
    11. De Grauwe, Paul & Ji, Yuemei & Steinbach, Armin, 2017. "The EU debt crisis: Testing and revisiting conventional legal doctrine," International Review of Law and Economics, Elsevier, vol. 51(C), pages 29-37.
    12. Cavallari, Lilia & Romano, Simone, 2017. "Fiscal policy in Europe: The importance of making it predictable," Economic Modelling, Elsevier, vol. 60(C), pages 81-97.
    13. Javier J. Pérez & Rocío Prieto, 2014. "The structure of sub-natural public debt: Liquidity vs credit risk," Working Papers 1403, Banco de España.
    14. Suh, Sangwon, 2015. "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 45-65.
    15. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    16. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    17. De Grauwe, Paul & Ji, Yuemei, 2012. "Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone," CEPS Papers 6548, Centre for European Policy Studies.
    18. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.
    19. Vetlov, Igor & Attinasi, Maria Grazia & Lalik, Magdalena, 2017. "Fiscal spillovers in the euro area a model-based analysis," Working Paper Series 2040, European Central Bank.
    20. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
    21. Romano, Simone, 2018. "Fiscal foresight: Do expectations have cross-border effects?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 71-82.
    22. Caporale, Guglielmo Maria & De Santis, Roberta & Girardi, Alessandro, 2015. "Trade intensity and output synchronisation: On the endogeneity properties of EMU," Journal of Financial Stability, Elsevier, vol. 16(C), pages 154-163.
    23. INOUE Tomoo & OKIMOTO Tatsuyoshi, 2017. "Measuring the Effects of Commodity Price Shocks on Asian Economies," Discussion papers 17009, Research Institute of Economy, Trade and Industry (RIETI).
    24. De Grauwe, Paul & Ji, Yuemei, 2022. "The fragility of the Eurozone: Has it disappeared?," Journal of International Money and Finance, Elsevier, vol. 120(C).
    25. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.
    26. Fabrizio Carmignani, 2013. "Does the Long Arm of US Macroeconomic Policy Reach South Asia?," South Asian Journal of Macroeconomics and Public Finance, , vol. 2(2), pages 145-168, December.
    27. Van Hecke, Annelore, 2013. "Vertical debt spillovers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 468-492.
    28. Florence Bouvet & Ryan Brady & Sharmila King, 2013. "Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis," Social Sciences, MDPI, vol. 2(4), pages 1-23, December.
    29. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
    30. Markus Eller & Martin Feldkircher & Florian Huber, 2017. "How would a fiscal shock in Germany affect other European countries? Evidence from a Bayesian GVAR model with sign restrictions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 54-77.
    31. Cesaroni, Tatiana & De Santis, Roberta, 2015. "Current Account �Core-Periphery Dualism� in the EMU," CEPS Papers 10317, Centre for European Policy Studies.
    32. Paul De Grauwe & Yuemei Ji, 2014. "The Future of the Eurozone," Manchester School, University of Manchester, vol. 82(S1), pages 15-34, September.
    33. António Afonso & Frederico Silva Leal, 2017. "Sovereign yield spreads in the EMU: crisis and structural determinants," Working Papers Department of Economics 2017/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    34. Nils Redeker & Stefanie Walter, 2020. "We’d rather pay than change the politics of German non-adjustment in the Eurozone crisis," The Review of International Organizations, Springer, vol. 15(3), pages 573-599, July.

  110. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2011. "Europe Agreements and Trade Balance: Evidence from Four New EU Members," CESifo Working Paper Series 3340, CESifo.

    Cited by:

    1. Pierluigi Montalbano & Silvia Nenci, 2012. "Assessing the Trade Impact of the European Neighborhood Policy on EU-MED Free Trade Area," Departmental Working Papers of Economics - University 'Roma Tre' 0147, Department of Economics - University Roma Tre.
    2. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Liberalization of Trade with Leading Trade Partners: Some Evidence from Bosnia and Herzegovina," MPRA Paper 75053, University Library of Munich, Germany, revised 04 Nov 2016.
    3. Dimitrios Asteriou & Argiro Moudatsou, 2015. "Business Cycle Synchronization in the Enlarged EU: The Role of Bilateral Trade and FDI," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 196-207, February.

  111. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Persistence and Cyclical Dependence in the Monthly Euribor Rate," CESifo Working Paper Series 3653, CESifo.

    Cited by:

    1. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    3. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    4. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    5. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Non-Linearities and Persistence in US Long-Run Interest Rates," CESifo Working Paper Series 8744, CESifo.

  112. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo.

    Cited by:

    1. Diallo, Ibrahima Amadou, 2012. "The effects of real exchange rate volatility on productivity growth," MPRA Paper 36171, University Library of Munich, Germany.
    2. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
    3. Victor Shevchuk & Roman Kopych, 2021. "Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries," Risks, MDPI, vol. 9(5), pages 1-19, May.
    4. Manuel BENAZIC & Ines KERSAN-SKABIC, 2016. "The determinants of exchange rate in Croatia," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7, pages 125-150, June.

  113. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," CESifo Working Paper Series 3621, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers 32/2011, NIPE - Universidade do Minho.

  114. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," CESifo Working Paper Series 3601, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," NIPE Working Papers 33/2011, NIPE - Universidade do Minho.
    2. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2017. "Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 269-279.
    3. Tsangyao Chang & Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch, 2017. "Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio," Working Papers 201756, University of Pretoria, Department of Economics.
    4. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2021. "What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 81-107, January.
    5. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2018. "Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?," Working Papers 201859, University of Pretoria, Department of Economics.
    6. Christou, Christina & Gupta, Rangan & Jawadi, Fredj, 2021. "Does inequality help in forecasting equity premium in a panel of G7 countries?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    7. Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2019. "Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data," Working Papers 201942, University of Pretoria, Department of Economics.
    8. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2015. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 176-196, August.
    9. Feng-Li Lin & Mei-Chih Wang & Hsien-Hung Kung, 2020. "Housing and Stock Market Nexus in the US," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 114-130.
    10. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.
    11. Agnello, Luca & Castro, Vitor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2017. "Spillovers from the oil sector to the housing market cycle," Energy Economics, Elsevier, vol. 61(C), pages 209-220.
    12. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
    13. Lou, Jun & Wong, Tat Wing & Fung, Ka Wai Terence & Shaende, Jonas J. Nazimoff, 2021. "Stock and bond joint pricing, consumption surplus, and inflation news," Research in International Business and Finance, Elsevier, vol. 58(C).
    14. Muellbauer, John & Aron, Janine, 2012. "Wealth, Credit Conditions and Consumption: Evidence from South Africa," CEPR Discussion Papers 8800, C.E.P.R. Discussion Papers.
    15. Dalina Amonhaemanon, 2015. "The Impact of Stock Price and Real Estate Price Shocks on Consumption: The Thai Experience," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 137-148, January.

  115. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series 3015, CESifo.

    Cited by:

    1. Philipp Adämmer & Martin T. Bohl, 2015. "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers 4415, Center for Quantitative Economics (CQE), University of Muenster.
    2. Gilles de Truchis & Florent Dubois, 2014. "Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets," AMSE Working Papers 1445, Aix-Marseille School of Economics, France.
    3. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
    4. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 224-235.
    5. Philipp Adämmer & Martin T. Bohl & Christian Gross, 2016. "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 851-869, September.
    6. Mirella Damiani, 2010. "Labour regulation, corporate governance and varieties of capitalism," Quaderni del Dipartimento di Economia, Finanza e Statistica 76/2010, Università di Perugia, Dipartimento Economia.
    7. Silvério, Renan & Szklo, Alexandre, 2012. "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, vol. 34(6), pages 1799-1808.
    8. Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
    9. Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
    10. Osama Ahmed, 2021. "Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach," Mathematics, MDPI, vol. 9(2), pages 1-21, January.
    11. Alessandro Girardi & Claudio Impenna, 2013. "Price Discovery In The Italian Sovereign Bonds Market: The Role Of Order Flow," Working Papers LuissLab 13108, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    12. Mirella Damiani & Fabrizio Pompei & Andrea Ricci, 2011. "Temporary job protection and productivity growth in EU economies," Quaderni del Dipartimento di Economia, Finanza e Statistica 87/2011, Università di Perugia, Dipartimento Economia.
    13. Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
    14. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
    15. Davide Castellani & Fabio Pieri, 2011. "Foreign Investments and Productivity Evidence from European Regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 83/2011, Università di Perugia, Dipartimento Economia.
    16. Silvia Micheli, 2010. "Learning Curve and Wind Power," Quaderni del Dipartimento di Economia, Finanza e Statistica 81/2010, Università di Perugia, Dipartimento Economia.
    17. Ahmed, Osama, 2021. "Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 9(2).
    18. Francesco Venturini, 2011. "Product variety, product quality, and evidence of Schumpeterian endogenous growth: a note," Quaderni del Dipartimento di Economia, Finanza e Statistica 93/2011, Università di Perugia, Dipartimento Economia.
    19. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

  116. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.
    2. Girardi, Alessandro & Ventura, Marco & Margani, Patrizia, 2018. "An Indicator of Credit Crunch using Italian Business Surveys," MPRA Paper 88839, University Library of Munich, Germany.
    3. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    4. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    5. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).

  117. Burcu ERDOGAN & Guglielmo MARIA CAPORALE & Vladimir KUZIN, 2010. "Testing Stock Market Convergence: A Non-linear Factor Approach," EcoMod2010 259600051, EcoMod.

    Cited by:

    1. Guglielmo Maria Caporale & Kefei You, 2017. "Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests," Discussion Papers of DIW Berlin 1669, DIW Berlin, German Institute for Economic Research.
    2. Cavallaro, Eleonora & Villani, Ilaria, 2021. "Real income convergence and the patterns of financial integration in the EU," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    3. Nikolaos Antonakakis & Christina Christou & Juncal Cunado & Rangan Gupta, 2016. "Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area," Working Papers 201616, University of Pretoria, Department of Economics.
    4. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).
    5. Niţoi, Mihai & Pochea, Maria Miruna, 2016. "Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model," Economic Systems, Elsevier, vol. 40(2), pages 323-334.
    6. Olson, Dennis & Zoubi, Taisier, 2017. "Convergence in bank performance for commercial and Islamic banks during and after the Global Financial Crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 71-87.
    7. Fegheh Majidi , Ali & Mohammadi , Ahmad & Nanvay Sabegh , Behnaz, 2017. "An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(1), pages 73-88, January.
    8. Eleonora Cavallaro & Ilaria Villani, 2023. "Financial asymmetries, risk sharing and growth in the EU," Working Papers 2023.12, International Network for Economic Research - INFER.
    9. Sema Bayraktar & Thomas C. Chiang, 2017. "Comovements of Stock Markets between Turkey and Global Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 250-275, June.

  118. Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    2. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.
    3. Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2013. "Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 307-318, October.
    4. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    5. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    6. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
    7. Eisl, Alexander & Ochs, Christian & Staghøj, Jonas & Subrahmanyam, Marti G., 2022. "Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 140(C).

  119. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," CESifo Working Paper Series 3208, CESifo.

    Cited by:

    1. Fredj Jawadi & Richard Soparnot & Ricardo M. Sousa, 2017. "Assessing financial and housing wealth effects through the lens of a nonlinear framework," Post-Print hal-01650524, HAL.

  120. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2010. "EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?," CESifo Working Paper Series 3074, CESifo.

    Cited by:

    1. Vincenzo D’Apice & Giovanni Ferri & Punziana Lacitignola, 2016. "Rating Performance and Bank Business Models: Is There a Change with the 2007–2009 Crisis?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 2(3), pages 385-420, November.
    2. Pastor Monsálvez José Manuel & Fernández de Guevara Radoselovics Juan & Salvador Muñoz Carlos, 2012. "Impact of the Subprime Crisis on Bank Ratings: The Effect of the Hardening of Rating Policies and Worsening of Solvency," Working Papers 2012120, Fundacion BBVA / BBVA Foundation.
    3. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
    4. Indermit S Gill & Naotaka Sugawara & Juan Zalduendo, 2014. "The Center Still Holds: Financial Integration in the Euro Area," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 351-375, September.
    5. Ozturk, Huseyin & Namli, Ersin & Erdal, Halil Ibrahim, 2016. "Modelling sovereign credit ratings: The accuracy of models in a heterogeneous sample," Economic Modelling, Elsevier, vol. 54(C), pages 469-478.
    6. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
    7. Salvador, Carlos & Fernández de Guevara, Juan & Pastor, José Manuel, 2018. "The adjustment of bank ratings in the financial crisis: International evidence," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 289-313.
    8. Volkova, Olga (Волкова, Ольга) & Lvova, Irina (Львова, Ирина), 2016. "The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model [Влияние Финансовых Показателей На Международные Рейтинги Российских Банков]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 177-195, February.
    9. Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012. "Asymmetric benchmarking in bank credit rating," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 171-193.

  121. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Fractional Integration in High Frequency Financial Time Series," Discussion Papers of DIW Berlin 1016, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.

  122. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Discussion Papers of DIW Berlin 975, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.
    2. Trenca Ioan & Cociuba Mihail Ioan, 2011. "Modeling Romanian Exchange Rate Evolution With Garch, Tgarch, Garch- In Mean Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(special), pages 299-305, July.
    3. Bruno Versailles, 2012. "Market Intergration and Border Effects in Eastern Africa," CSAE Working Paper Series 2012-01, Centre for the Study of African Economies, University of Oxford.

  123. John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," CESifo Working Paper Series 3115, CESifo.

    Cited by:

    1. Michael Funke & Yu-Fu Chen & Aaron Mehrota, 2011. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21105, Hamburg University, Department of Economics.
    2. Cécile Bastidon & Nicolas Huchet & Yusuf Kocoðlu, 2013. "A Second Dip in the Euro Area Money Market in 2011? Interbank Risk Premia and the ECB Bonds and Money Markets Policy," The Journal of European Theoretical and Applied Studies, The Center for European Studies at Kirklareli University - Turkey, vol. 1(1), pages 11-52.
    3. Piotr Fiszeder & Ilona Pietryka, 2018. "Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis," Empirical Economics, Springer, vol. 55(2), pages 445-470, September.

  124. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models," Discussion Papers of DIW Berlin 1006, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Aliyev, Fuzuli & Ajayi, Richard & Gasim, Nijat, 2020. "Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    2. Fiordelisi, Franco & Ricci, Ornella & Santilli, Gianluca, 2023. "Environmental engagement and stock price crash risk: Evidence from the European banking industry," International Review of Financial Analysis, Elsevier, vol. 88(C).
    3. Battaglia, Francesca & Buchanan, Bonnie G. & Fiordelisi, Franco & Ricci, Ornella, 2021. "Securitization and crash risk: Evidence from large European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

  125. Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Stock Market Integration between three CEECs, Russia and the UK," CESifo Working Paper Series 2978, CESifo.

    Cited by:

    1. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2012. "The cross-country importance of global sentiments—evidence for smaller EU countries," International Economics and Economic Policy, Springer, vol. 9(3), pages 245-264, September.
    2. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    3. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    4. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    5. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
    6. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
    7. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
    8. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    9. Urazbaeva, A. R. & Voytenkov, V. A. & Groznykh, R. I., 2020. "The analysis of COVID-19 impact on the internet and telecommunications service sector through modelling the dependence of shares of Russian companies on the American stock market," R-Economy, Ural Federal University, Graduate School of Economics and Management, vol. 6(3), pages 162-170.
    10. Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
    11. Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.
    12. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014. "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 118-127.
    13. Izunna Anyikwa & Micheal Brookes & Pierre Le Roux, 2018. "African stock markets integration: an analysis of the relationship between major stock markets in Africa," Working Papers 1812, Department of Economics, Nelson Mandela University, revised Mar 2018.
    14. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
    15. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    16. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    17. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    18. Houda Rharrabti, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," Working Papers hal-04141380, HAL.
    19. Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege, 2017. "Detecting capital market convergence clubs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-14, June.
    20. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.
    21. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. RNuket Kirci Cevik & Sel Dibooglu & Ali M. Kutan, 2016. "Real and Financial Sector Studies in Central and Eastern Europe: A Review," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 2-31, February.
    23. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    24. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
    25. Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
    26. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
    27. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).

  126. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-Linear Factor Approach," CESifo Working Paper Series 2845, CESifo.

    Cited by:

    1. Nicholas Apergis & Christina Christou & James Payne, 2011. "Political and Institutional Factors in the Convergence of International Equity Markets: Evidence from the Club Convergence and Clustering Procedure," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 7-18, March.
    2. Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller, 2016. "Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States," Working papers 2016-19, University of Connecticut, Department of Economics.
    3. Simplice A. Asongu & Antonio R. Andrés, 2019. "Trajectories of Knowledge Economy in SSA and MENA countries," CEREDEC Working Papers 19/013, Centre de Recherche pour le Développement Economique (CEREDEC).
    4. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
    5. Apergis, Nicholas & Cooray, Arusha, 2014. "Tax revenues convergence across ASEAN, Pacific and Oceania countries: Evidence from club convergence," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 11-21.
    6. Vítor Manuel de Sousa Gabriel & David Rodeiro‐Pazos, 2018. "Do Short‐ and Long‐Term Environmental Investments Follow the Same Path?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(1), pages 14-28, January.
    7. Vítor Manuel de Sousa Gabriel & María Belén Lozano & Maria Fernanda Ludovina Inácio Matias, 2022. "The Low‐carbon Equity Market: A New Alternative for Investment Diversification?," Global Policy, London School of Economics and Political Science, vol. 13(1), pages 34-47, February.
    8. Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna, 2014. "The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 125-144.
    9. Nicholas Apergis & Christina Christou, 2016. "Energy productivity convergence: new evidence from club converging," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 142-145, February.
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    14. Elzbieta Szulc & Dagna Wleklinska, 2015. "Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 5-26.
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    17. Rughoo, Aarti & You, Kefei, 2016. "Asian financial integration: Global or regional? Evidence from money and bond markets," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 419-434.
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    Cited by:

    1. Arouri, Mohamed El Hedi & Ben Youssef, Adel & M'henni, Hatem & Rault, Christophe, 2012. "Energy consumption, economic growth and CO2 emissions in Middle East and North African countries," Energy Policy, Elsevier, vol. 45(C), pages 342-349.
    2. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    3. Mohsen Bahmani-Oskooee & Thouraya Hadj Amor & Ridha Nouira & Christophe Rault, 2019. "Political Risk and Real Exchange Rate: What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?," Post-Print hal-03533036, HAL.
    4. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo.
    5. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    6. Nicolas Moumni & Salma Dasser, 2020. "Moroccan Dirham Flexibilization and Equilibrium Exchange Rate: A Quest for Grail?," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 132-140.

  128. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo.

    Cited by:

    1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
    2. Ahmed, Abdullahi D. & Huo, Rui, 2021. "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, vol. 93(C).
    3. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    4. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    5. Mayuri Mukherjee & Saumitra N. Bhaduri, 2015. "Spillover Effects of Quantitative Easing," Review of Market Integration, India Development Foundation, vol. 7(2), pages 117-132, August.
    6. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    7. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    8. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
    9. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.
    10. David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
    11. Choi, Sun-Yong, 2022. "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    12. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    13. Liu, Xueyong & An, Haizhong & Huang, Shupei & Wen, Shaobo, 2017. "The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 374-383.
    14. Gilles Dufrénot & Benjamin Keddad & Alain Sand-Zantman, 2010. "Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets," Post-Print halshs-00952114, HAL.
    15. Su, Xianfang, 2020. "Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    16. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    17. Davide Ciferri & Maria Chiara D’Errico & Paolo Polinori, 2020. "Integration and convergence in European electricity markets," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 463-492, July.
    18. Rodrigo Alfaro A. & Rodrigo Cifuentes S., 2009. "FinanciaL Stability, Monetary Policy and Central Banking: an Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 5-10, August.
    19. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
    20. Meegan, Andrew & Corbet, Shaen & Larkin, Charles, 2018. "Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 128-148.
    21. Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    22. Mahmoud Haddad & Sam Hakim, 2017. "Measuring the Cost of Financial Integration in the GCC: Lessons from the Global Crisis," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 1-12, August.
    23. Guglielmo Maria Caporale & Nicola Spagnolo, 2023. "US Municipal Green Bonds and Financial Integration," CESifo Working Paper Series 10323, CESifo.
    24. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
    25. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    26. Chao Xu & Jinchuan Ke & Xiaojun Zhao & Xiaofang Zhao, 2020. "Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series," Sustainability, MDPI, vol. 12(12), pages 1-24, June.
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    28. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
    29. Neaime, Simon, 2016. "Financial crises and contagion vulnerability of MENA stock markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 14-35.
    30. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
    31. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
    32. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.
    33. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
    34. Razvan Stefanescu & Ramona Dumitriu, 2015. "Impact Of The Shocks From Nyse On The Romanian Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 371-376.
    35. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    36. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
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    38. Elsayed, Ahmed H. & Yarovaya, Larisa, 2019. "Financial stress dynamics in the MENA region: Evidence from the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 20-34.
    39. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
    40. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    41. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    42. Ahmed, Abdullahi D. & Huo, Rui, 2018. "China–Africa financial markets linkages: Volatility and interdependence," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1140-1164.
    43. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    44. Samuel Maveyraud & Antoine Parent, 2018. "The International Contagion of Short-Run Interest Rates During the Great Depression," Studies in Economic History, in: Hugh Rockoff & Isao Suto (ed.), Coping with Financial Crises, chapter 0, pages 17-46, Springer.
    45. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
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    47. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2019. "Financial integration in the GCC region: market size versus national effects," CESifo Working Paper Series 7686, CESifo.
    48. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
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    52. Teng Kee Tuan & Yen Siew Hwa & Chua Soo Yean, 2013. "Synchronisation of Stock Market Cycles: The Importance of Emerging and Developed Markets to ASEAN-5," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(4), pages 435-458.
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    Cited by:

    1. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "The Relationship between Prices and Output in the UK and the US," CESifo Working Paper Series 8970, CESifo.
    2. Ivan Kitov, 2012. "Why price inflation in developed countries is systematically underestimated," Papers 1206.0450, arXiv.org.
    3. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
    4. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2014. "Long- versus medium-run identification in fractionally integrated VAR models," University of Regensburg Working Papers in Business, Economics and Management Information Systems 122, University of Regensburg, Department of Economics.
    5. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022. "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, vol. 86(C).
    6. Gil-Alana, Luis A. & Mudida, Robert & Zerbo, Eleazar, 2021. "GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 175-190.
    7. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    8. Calisse, Frank, 2019. "The impact of long-range dependence in the capital stock on interest rate and wealth distribution," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203591, Verein für Socialpolitik / German Economic Association.
    9. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Trends and Cycles in Macro Series: The Case of US Real GDP," Discussion Papers of DIW Berlin 1695, DIW Berlin, German Institute for Economic Research.
    10. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.

  130. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.

    Cited by:

    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    3. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    4. Saurabh Ghosh, 2014. "Volatility spillover in the foreign exchange market: the Indian experience," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(1), pages 175-194, March.
    5. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
    6. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
    7. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
    8. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    9. Jan F. Kiviet & Zhenxi Chen, 2018. "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 151-196, May.
    10. Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    11. Guglielmo Maria Caporale & Nicola Spagnolo, 2023. "US Municipal Green Bonds and Financial Integration," CESifo Working Paper Series 10323, CESifo.
    12. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Does foreign portfolio investment strengthen stock-commodity markets connection?," Resources Policy, Elsevier, vol. 65(C).
    13. Györfy Lehel & Madaras Szilárd, 2019. "The Influence of Self-Employment on Early-Stage Entrepreneurship in Romania. A Global Entrepreneurship Monitor-Based Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 7(1), pages 23-35, December.
    14. Habibi, Hamidreza & Mohammadi, Hassan, 2022. "Return and volatility spillovers across the Western and MENA countries," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    15. Oikonomikou, Leoni Eleni, 2018. "Modeling financial market volatility in transition markets: a multivariate case," Research in International Business and Finance, Elsevier, vol. 45(C), pages 307-322.
    16. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    17. Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    18. Jorge M. Andraz & Nélia M. Norte & Hugo S. Gonçalves, 2016. "Do tourism spillovers matter in regional economic analysis? An application to Portugal," Tourism Economics, , vol. 22(5), pages 939-963, October.
    19. Gilles de Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," AMSE Working Papers 1346, Aix-Marseille School of Economics, France, revised Sep 2013.
    20. Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017. "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, vol. 65(C), pages 30-40.
    21. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
    22. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    23. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
    24. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    25. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
    26. Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
    27. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
    28. Marfatia, Hardik A., 2020. "Investors’ risk perceptions in the US and global stock market integration," Research in International Business and Finance, Elsevier, vol. 52(C).
    29. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    30. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    31. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
    32. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    33. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "When the United States and the People’s Republic of China Sneeze: International Real and Financial Spillovers in Asia," ADBI Working Papers 1288, Asian Development Bank Institute.
    34. Hardik A. Marfatia, 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 33-49, September.
    35. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    36. Shawkat Hammoudeh & Sang Hoon Kang & Walid Mensi & Duc Khuong Nguyen, 2016. "Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting," The World Economy, Wiley Blackwell, vol. 39(11), pages 1703-1727, November.
    37. Mahmud, Nurrul Iiyana & Masih, Mansur, 2016. "Are shariah (islamic) stock market returns stable ? evidence from the select islamic stock indices of emerging markets, USA, UK and Japan," MPRA Paper 101879, University Library of Munich, Germany.
    38. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    39. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2020. "Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 164-182.
    40. Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
    41. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    42. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
    43. He, Xiaojuan & Mishra, Shekhar & Aman, Ameenullah & Shahbaz, Muhammad & Razzaq, Asif & Sharif, Arshian, 2021. "The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach," Resources Policy, Elsevier, vol. 72(C).
    44. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    45. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    46. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
    47. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    48. Sameen Fatima & Christopher Gan & Baiding Hu, 2022. "Volatility Spillovers between Stock Market and Hedge Funds: Evidence from Asia Pacific Region," JRFM, MDPI, vol. 15(9), pages 1-39, September.
    49. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    50. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    51. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    52. Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
    53. Erten, Irem & Tuncel, Murat B. & Okay, Nesrin, 2012. "Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach," MPRA Paper 56190, University Library of Munich, Germany.
    54. Lidija Dedi & Burhan F. Yavas, 2016. "Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1266788-126, December.
    55. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    56. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    57. Azimova, Tarana, 2022. "Modelling volatility transmission in regional Asian stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    58. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    59. Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
    60. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    61. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
    62. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
    63. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
    64. Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
    65. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    66. Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    67. Debalke, Negash Mulatu, 2023. "Investigating Volatility Transmissions among Sovereign Bonds in African and Emerging Markets Using Multivariate GARCH Models," MPRA Paper 118447, University Library of Munich, Germany.
    68. Dufrénot, Gilles & Keddad, Benjamin, 2014. "Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 17-32.
    69. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    70. Alotaibi, Abdullah R. & Mishra, Anil V., 2015. "Global and regional volatility spillovers to GCC stock markets," Economic Modelling, Elsevier, vol. 45(C), pages 38-49.
    71. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
    72. Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: evidence on cointegration and portfolio diversification benefits," Greenwich Papers in Political Economy 11323, University of Greenwich, Greenwich Political Economy Research Centre.
    73. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.
    74. Mária Bohdalová & Michal Greguš, 2018. "China’S Market And Global Economic Factors," CBU International Conference Proceedings, ISE Research Institute, vol. 6(0), pages 58-61, September.
    75. Roni Bhowmik & Wang Shouyang & Abbas Ghulam, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    76. Wang, Jie & Xue, Weina & Song, Jiashan, 2022. "Economic policy uncertainty and industry risk on China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    77. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
    78. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    79. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
    80. Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
    81. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    82. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    83. Ana Carolina Costa Correa & Tabajara Pimenta Júnior & Luiz Eduardo Gaio, 2018. "Interdependence and asymmetries: Latin American ADRs and developed markets," Brazilian Business Review, Fucape Business School, vol. 15(4), pages 391-409, July.

  131. Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," CESifo Working Paper Series 2720, CESifo.

    Cited by:

    1. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Stephen M. Miller & Rangan Gupta, 2016. "Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data," Working papers 2016-12, University of Connecticut, Department of Economics.
    2. Yu-Fu Chen & Michael Funke, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," CESifo Working Paper Series 2759, CESifo.
    3. Neil Lawton & Liam A. Gallagher, 2020. "The negative side of inflation targeting: revisiting inflation uncertainty in the EMU," Applied Economics, Taylor & Francis Journals, vol. 52(29), pages 3186-3203, June.
    4. Ansgar Belke & Christian Dreger, 2015. "The transmission of oil and food prices to consumer prices," International Economics and Economic Policy, Springer, vol. 12(1), pages 143-161, March.
    5. Di Bartolomeo Giovanni & Giuli Francesco, 2009. "Fiscal and monetary interaction under monetary policy uncertainty," wp.comunite 0061, Department of Communication, University of Teramo.
    6. Jonathan A. Attey & Casper G. de Vries, 2016. "Monetary Policy in the Presence of Random Wage Indexation," Tinbergen Institute Discussion Papers 16-086/VI, Tinbergen Institute.
    7. Ciżkowicz, Piotr & Rzońca, Andrzej, 2010. "Inflation and corporate investment in selected OECD countries in the years 1960-2005 – an empirical analysis," MPRA Paper 29846, University Library of Munich, Germany.
    8. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
    9. Biagio Bossone, 2014. "Liquidity and capital under uncertainty and changing market sentiment: A simple analysis," Review of Financial Economics, John Wiley & Sons, vol. 23(2), pages 98-105, April.
    10. Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.
    11. Gary Koop & Luca Onorante, 2011. "Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters," Working Papers 1109, University of Strathclyde Business School, Department of Economics.
    12. Daniela Viorica & Danut Jemna & Carmen Pintilescu & Mircea Asandului, 2014. "The Relationship between Inflation and Inflation Uncertainty. Empirical Evidence for the Newest EU Countries," PLOS ONE, Public Library of Science, vol. 9(3), pages 1-11, March.
    13. Claudiu Tiberiu Albulescu & Cornel Oros, 2020. "Inflation, uncertainty, and labour market conditions in the US," Applied Economics, Taylor & Francis Journals, vol. 52(52), pages 5770-5782, November.
    14. Ran TAO & Zheng-Zheng LI & Xiao-Lin LI & Chi-Wei SU, 2018. "A Reexamination of Friedman-Ball’s Hypothesis in Slovakia - Evidence from Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 41-54, December.
    15. Tariq A.H. Al-Zuhd & Mohammad H. Saleh, 2017. "Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 198-203.
    16. Omotosho, Babatunde S. & Doguwa, Sani I., 2012. "Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective," MPRA Paper 96125, University Library of Munich, Germany.
    17. Steffen Henzel & Elisabeth Wieland, 2013. "Synchronization and Changes in International Inflation Uncertainty," CESifo Working Paper Series 4194, CESifo.
    18. Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2015. "Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?," Working Papers 2015025, The University of Sheffield, Department of Economics.
    19. Dejene Mamo Bekana, 2016. "What Causes Inflation in a Post Communist Economy? Evidence from Ethiopia," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(61), pages 3-46, September.
    20. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    21. Scott W. Hegerty, 2020. "Structural breaks and regional inflation convergence for five new Euro members," Economic Change and Restructuring, Springer, vol. 53(2), pages 219-239, May.
    22. Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook, 2017. "The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 377-386.
    23. Bossone, Biagio, 2014. "Liquidity and capital under uncertainty and changing market sentiment: A simple analysis," Review of Financial Economics, Elsevier, vol. 23(2), pages 98-105.
    24. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Stephen M. Miller & Rangan Gupta, 2019. "Time–frequency relationship between US inflation and inflation uncertainty: evidence from historical data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(5), pages 673-702, November.
    25. Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
    26. Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
    27. HAVVANUR FEYZA ERDEM & Rahmi Yamak, 2014. "The Relationship Between Inflation And Inflation Uncertainty In Turkey," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 246-254.
    28. Svetlana Makarova, 2018. "European Central Bank Footprints On Inflation Forecast Uncertainty," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 637-652, January.
    29. Moncarz, Pedro & Barone, Sergio & Calfat, Germán & Descalzi, Ricardo, 2014. "Poverty impacts of changes in the price of agricultural commodities: recent evidence for Argentina," IOB Working Papers 2014.09, Universiteit Antwerpen, Institute of Development Policy (IOB).
    30. Ahmad Zubaidi Baharumshah & Siew-Voon Soon, 2014. "Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(3), pages 370-386, May.
    31. Sonan Memon & Irfan A. Qureshi, 2021. "Income inequality and macroeconomic instability," Review of Development Economics, Wiley Blackwell, vol. 25(2), pages 758-789, May.
    32. Sauter, Oliver, 2012. "Assessing uncertainty in Europe and the US: is there a common uncertainty factor?," MPRA Paper 38031, University Library of Munich, Germany.
    33. Alessandra Canepa, & Menelaos G. Karanasos & Alexandros G. Paraskevopoulos,, 2019. "Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201911, University of Turin.
    34. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  132. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series 2618, CESifo.

    Cited by:

    1. Vincenzo D’Apice & Giovanni Ferri & Punziana Lacitignola, 2016. "Rating Performance and Bank Business Models: Is There a Change with the 2007–2009 Crisis?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 2(3), pages 385-420, November.
    2. Kimmel, Randall K. & Thornton, John H. & Bennett, Sara E., 2016. "Can statistics-based early warning systems detect problem banks before markets?," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 190-216.
    3. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2010. "EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?," Discussion Papers of DIW Berlin 1009, DIW Berlin, German Institute for Economic Research.
    4. Giovanni Ferri & Panu Kalmi & Eeva Kerola, 2014. "Organizational Structure and Exposure to Crisis among European Banks: Evidence from Rating Changes," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 35-55, June.
    5. Hu, Haoshen & Prokop, Jörg & Trautwein, Hans-Michael, 2022. "Transnational spillover effects of European sovereign rating signals on bank stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 171-182.
    6. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017. "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, vol. 49(2), pages 194-210.
    7. Zhivaikina, A. & Peresetsky, A., 2017. "Russian Bank Credit Ratings and Bank License Withdrawal 2012-2016," Journal of the New Economic Association, New Economic Association, vol. 36(4), pages 49-80.
    8. Carlos Pestana Barros & Emanuel Reis Leão & Nkanga Pedro João Macanda & Zorro Mendes, 2016. "A Bayesian Efficiency Analysis of Angolan Banks," South African Journal of Economics, Economic Society of South Africa, vol. 84(3), pages 484-498, September.
    9. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2013. "The impact of sovereign rating actions on bank ratings in emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 563-577.
    10. Alexander M. Karminsky & Ella Khromova, 2016. "Modelling banks’ credit ratings of international agencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(3), pages 341-363, December.
    11. Hu, Haoshen & Prokop, Jörg & Shi, Yukun & Trautwein, Hans-Michael, 2020. "The rating spillover from banks to sovereigns: An empirical investigation across the European Union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    12. Y. Sree Rama Murthy & Saeed Al-Muharrami, 2020. "Credit Rating Strategies: A Study of GCC Banks," SAGE Open, , vol. 10(4), pages 21582440209, December.
    13. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2015. "Does sovereign creditworthiness affect bank valuations in emerging markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 113-129.
    14. Meriläinen, Jari-Mikko & Junttila, Juha, 2020. "The relationship between credit ratings and asset liquidity: Evidence from Western European banks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    15. Valdir Domeneghetti & Fabiano Guasti Lima, 2019. "Strategic direction re-evaluation of bank ratings in Brazil," Economics Bulletin, AccessEcon, vol. 39(2), pages 1336-1347.
    16. Simona Galletta & Sebastiano Mazzù & Valeria Naciti, 2021. "Banks' business strategy and environmental effectiveness: The monitoring role of the board of directors and the managerial incentives," Business Strategy and the Environment, Wiley Blackwell, vol. 30(5), pages 2656-2670, July.
    17. Pompella, Maurizio & Dicanio, Antonio, 2017. "Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method," Economic Modelling, Elsevier, vol. 67(C), pages 34-44.
    18. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022. "Regulating rating agencies: A conservative behavioural change," Journal of Financial Stability, Elsevier, vol. 60(C).
    19. Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2021. "Am I riskier if I rescue my banks? Beyond the effects of bailouts," Journal of Financial Stability, Elsevier, vol. 56(C).
    20. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.

  133. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series 2648, CESifo.

    Cited by:

    1. Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen, 2018. "Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates," Documentos de Trabajo del ICAE 2018-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. M. Shelton Peiris & Manabu Asai, 2016. "Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited," Econometrics, MDPI, vol. 4(3), pages 1-21, September.
    3. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
    4. Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
    5. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
    6. Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E., 2018. "Cointegrated Dynamics for A Generalized Long Memory Process," Econometric Institute Research Papers EI 2018-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
    8. Beaumont, Paul & Smallwood, Aaron, 2019. "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper 96314, University Library of Munich, Germany.

  134. Antonios Antypas & Guglielmo Maria Caporale & Nikolaos Kourogenis & Nikitas Pittis, 2009. "Selectivity, Market Timing and the Morningstar Star-Rating System," CESifo Working Paper Series 2580, CESifo.

    Cited by:

    1. Otero-González, Luis & Durán-Santomil, Pablo, 2021. "Is quantitative and qualitative information relevant for choosing mutual funds?," Journal of Business Research, Elsevier, vol. 123(C), pages 476-488.

  135. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2009. "Financial Development and Economic Growth: Evidence from Ten New EU Members," Discussion Papers of DIW Berlin 940, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Mustafa Canakcıoglu, 2019. "Evaluation Of Banking Performance Of The Balkan Countries With An Integrated Mcdm Approach Consist Of Entropy And Ocra Techniques," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 13(1), pages 341-366.
    2. Asongu Simplice, 2013. "Finance and growth: New evidence from Meta-analysis," Working Papers of the African Governance and Development Institute. 13/029, African Governance and Development Institute..
    3. Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo.
    4. Ebru TOPCU Author- Workplace-Name: Nevsehir Haci Bektas Veli University, Department of Economics, Turkey, 2016. "Reexamining Finance-Growth Nexus: A New Literature Survey," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-7, august.
    5. Gorynia, Marian & Nowak, Jan & Trąpczyński, Piotr & Wolniak, Radosław, 2019. "Friend or Foe? On the role of institutional reforms in the investment development path of Central and East European economies," International Business Review, Elsevier, vol. 28(3), pages 575-587.
    6. Tanzeem HASNAT & Shahid ASHRAF & Umer J. BANDAY, 2016. "Growth-finance nexus: Empirical evidence from India," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 319-330, Autumn.
    7. Mukta Mani, 2016. "Financial Inclusion in South Asia—Relative Standing, Challenges and Initiatives," South Asian Survey, , vol. 23(2), pages 158-179, September.
    8. Yongming Shi & Khalid Ahmed & Sudharshan Reddy Paramati, 2021. "Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 560-572, January.
    9. Chimere O. Iheonu, 2019. "Governance and Domestic Investment in Africa," CEREDEC Working Papers 19/001, Centre de Recherche pour le Développement Economique (CEREDEC).
    10. Michael A Stemmer, 2017. "Revisiting Finance and Growth in Transition Economies - A Panel Causality Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01524462, HAL.
    11. Borlea Sorin Nicolae & Puscas Adriana & Mare Codruta & Achim Monica Violeta, 2016. "Direction of Causality Between Financial Development and Economic Growth. Evidence for Developing Countries," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 26(2), pages 1-22, June.
    12. Esra Soyu Yıldırım & Cuma Demirtaş & Munise Ilıkkan Özgür, 2022. "Causality Relationship Between Economic, Financial, Political Risk and Growth: The Case of Turkey," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(1), pages 165-186, January.
    13. Mathilde Maurel & Hugo Lapeyronie & Bogdan Meunier, 2016. "Impact of hard and soft infrastructure: Evidence from the EU partners, North Africa and CEECs," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01396058, HAL.
    14. Moyo, Clement & Dingela, Siyasanga & Kolisi, Nwabisa & Khobai, Hlalefang & Anyikwa, Izunna, 2017. "Renewable energy consumption and unemployment in South Africa," MPRA Paper 83279, University Library of Munich, Germany.
    15. Ketteni, Elena & Kottaridi, Constantina, 2019. "The impact of regulations on the FDI-growth nexus within the institution-based view: A nonlinear specification with varying coefficients," International Business Review, Elsevier, vol. 28(3), pages 415-427.
    16. Paola Bongini & Małgorzata Iwanicz-Drozdowska & Paweł Smaga & Bartosz Witkowski, 2017. "Financial Development and Economic Growth: The Role of Foreign-Owned Banks in CESEE Countries," Sustainability, MDPI, vol. 9(3), pages 1-25, March.
    17. (ed.), 0. "Research Handbook on Economic Diplomacy," Books, Edward Elgar Publishing, number 16053.
    18. Vlastimir Vukovic & Zoran Rajkovic, 2012. "Financial Sector Progress in Serbia Toward European Integration," Book Chapters, in: Paulino Teixeira & António Portugal Duarte & Srdjan Redzepagic & Dejan Eric (ed.), European Integration Process in Western Balkan Countries, edition 1, volume 1, chapter 28, pages 545-563, Institute of Economic Sciences.
    19. Alex Bara & Pierre LeRoux, 2018. "Technology, Financial Innovations and Bank Behavior in a Low Income Country," Journal of Economics and Behavioral Studies, AMH International, vol. 10(4), pages 221-234.
    20. Dombi, Akos & Grigoriadis, Theocharis, 2017. "Ancestry, Diversity & Finance: Evidence from Transition Economies," Discussion Papers 2017/4, Free University Berlin, School of Business & Economics.
    21. Najia Saqib, 2015. "Review of Literature on Finance-Growth Nexus," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 5(4), pages 1-11.
    22. Hui Wang & Huifang Liu, 2017. "An Empirical Research of FDI Spillovers and Financial Development Threshold Effects in Different Regions of China," Sustainability, MDPI, vol. 9(6), pages 1-21, June.
    23. Azem Duraku, 2018. "Public Revenues and Expenditures in Kosovo," European Journal of Marketing and Economics Articles, Revistia Research and Publishing, vol. 1, May - Aug.
    24. Joseph Keneck Massil & Sandrine Kablan & Jacques Bikai Landry, 2018. "Does Central Bank’s maturity matter for economic growth? [La maturité des Banques Centrales influence -t-elle la croissance économique ?]," Working Papers halshs-01828496, HAL.
    25. Akinci, Gönül Yüce & Akinci, Merter & Yilmaz, Ömer, 2014. "Financial Development-Economic Growth Nexus : A Panel Data Analysis Upon Oecd Countries," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 55(1), pages 33-50, June.
    26. Joseph Keneck Massil & Sandrine Kablan & Jacques Bikai Landry, 2019. "La maturité des Banques Centrales influence-t- elle la croissance économique ?," Erudite Working Paper 2019-08, Erudite.
    27. Soultanaeva, Albina, 2010. "Financial Intermediation and Economic Growth: Evidence from the Baltic countries," Umeå Economic Studies 817, Umeå University, Department of Economics.
    28. Edoardo Gaffeo & Petya Garalova, 2014. "On the finance-growth nexus: additional evidence from Central and Eastern Europe countries," Economic Change and Restructuring, Springer, vol. 47(2), pages 89-115, May.
    29. Sani Ibrahim, Saifullahi, 2013. "Does Rural Financial Development Spur Economic Growth? Evidence from Nigeria," MPRA Paper 87496, University Library of Munich, Germany.
    30. Michiel Bijlsma & Clemens Kool & Marielle Non, 2018. "The effect of financial development on economic growth: a meta-analysis," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6128-6148, December.
    31. Nasreen, Samia & Mahalik, Mantu Kumar & Shahbaz, Muhammad & Abbas, Qaisar, 2020. "How Do Financial Globalization, Institutions and Economic Growth Impact Financial Sector Development in European Countries?," MPRA Paper 100457, University Library of Munich, Germany, revised 16 May 2020.
    32. Javed AHMED & Malik Fahim BASHIR, 2016. "An empirical investigation of banking sector development and economic growth in a panel of selected SAARC countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(607), S), pages 65-72, Summer.
    33. Taofeek Olusola Ayinde & Olumuyiwa Ganiyu Yinusa, 2016. "Financial Development and Inclusive Growth in Nigeria: A Threshold Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 326-346, October.
    34. Leyla Yusifzada & Aytan Mammadova, 2015. "Financial intermediation and economic growth," William Davidson Institute Working Papers Series wp1091, William Davidson Institute at the University of Michigan.
    35. Kang‐Soek Lee & Richard A. Werner, 2023. "Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3960-3975, October.
    36. Mihai Nitoi & Cristi Spulbar, 2016. "The Relationship between Bank Efficiency and Risk and Productivity Patterns in the Romanian Banking System," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 39-53, March.
    37. Gergana Mihaylova-Borisova, 2023. "Determinants of Credits on Private Sector in CEE Countries," Economic Research Guardian, Weissberg Publishing, vol. 13(1), pages 2-15, June.
    38. Donny Tang, 2015. "Has the European Financial Integration Promoted the Economic Growth Among the New European Union Countries?," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    39. Çoban, Serap & Topcu, Mert, 2013. "The nexus between financial development and energy consumption in the EU: A dynamic panel data analysis," Energy Economics, Elsevier, vol. 39(C), pages 81-88.
    40. Taofeek Olusola Ayinde & Olumuyiwa Ganiyu Yinusa, 2016. "Financial Development and Inclusive Growth in Nigeria: A Threshold Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(5), pages 166-189, OCTOBER.
    41. Klara Zalesakova, 2022. "Stock market development as a leading indicator of future economic growth in the BRICS countries," MENDELU Working Papers in Business and Economics 2022-82, Mendel University in Brno, Faculty of Business and Economics.
    42. Kondrat Iryna & Kots Olha, 2018. "Evaluating the Nexus Between Financial Deepening and Economic Growth: Evidence from Ukraine," Financial Sciences. Nauki o Finansach, Sciendo, vol. 23(1), pages 49-64, March.
    43. Modebe Nwanneka Judith & Ezeaku Hillary Chijindu, 2016. "Relationship between Financial Development and Economic Growth in Nigeria: A Triangulation Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1842-1850.
    44. Kacper Grejcz & Zbigniew Żółkiewski, 2017. "Household wealth in Poland: the results of a new survey of household finance," Bank i Kredyt, Narodowy Bank Polski, vol. 48(3), pages 295-326.
    45. Dagim Taddese Bekele & Adisu Abebaw Degu, 2023. "The effect of financial sector development on economic growth of selected sub‐Saharan Africa countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2834-2842, July.
    46. Munyanyi, Musharavati Ephraim, 2017. "The dynamic relationship between financial development and economic growth: New evidence from Zimbabwe," MPRA Paper 80401, University Library of Munich, Germany.
    47. Charles O Manasseh & Felicia C Abada & Ebelechukwu L Okiche & Ogochukwu Okanya & Ifeoma C Nwakoby & Peter Offu & Anuli R Ogbuagu & Chiedozie O Okafor & Paul C Obidike & Nnenna G Nwonye, 2022. "External debt and economic growth in Sub-Saharan Africa: Does governance matter?," PLOS ONE, Public Library of Science, vol. 17(3), pages 1-28, March.

  136. Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR, 2009. "International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries," William Davidson Institute Working Papers Series wp970, William Davidson Institute at the University of Michigan.

    Cited by:

    1. Arouri, Mohamed El Hedi & Ben Youssef, Adel & M'henni, Hatem & Rault, Christophe, 2012. "Energy consumption, economic growth and CO2 emissions in Middle East and North African countries," Energy Policy, Elsevier, vol. 45(C), pages 342-349.
    2. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo.
    3. Nicolas Moumni & Salma Dasser, 2020. "Moroccan Dirham Flexibilization and Equilibrium Exchange Rate: A Quest for Grail?," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 132-140.

  137. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," CESifo Working Paper Series 2308, CESifo.

    Cited by:

    1. Niko Jaakkola, 2012. "Putting OPEC out of business," OxCarre Working Papers 099, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    2. Om Prakash Yadav & Shashwati Ray, 2021. "A novel method of preprocessing and modeling ECG signals with Lagrange–Chebyshev interpolating polynomials," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 12(3), pages 377-390, June.
    3. Alejandro Mosiño, 2012. "Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 13-27, January.
    4. Mosiño, Alejandro, 2012. "Producing energy in a stochastic environment: Switching from non-renewable to renewable resources," Resource and Energy Economics, Elsevier, vol. 34(4), pages 413-430.
    5. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.

  138. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America," CESifo Working Paper Series 2228, CESifo.

    Cited by:

    1. Snober Fazal & Muhammad Azhar Bhatti & Tusawar Iftikhar Ahmad, 2019. "Sectorial growth, Exchange rate and Fiscal policy in Developing Economies: The Interlinkages," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 1(2), pages 68-81, December.
    2. Ibrahim K. Sule and Mohammed Shuaibu, 2020. "Current Account Behavior, Real Exchange Rate Adjustment and Relative Output in Nigeria," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 45(3), pages 77-99, September.
    3. Guglielmo Maria Caporale & Alessandro Girardi, 2012. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin 1254, DIW Berlin, German Institute for Economic Research.
    4. Naser Yenus Nuru & Hayelom Yrgaw Gereziher, 2021. "The impacts of public expenditure innovations on real exchange rate volatility in South Africa," WIDER Working Paper Series wp-2021-72, World Institute for Development Economic Research (UNU-WIDER).
    5. da Silva Marcelo Eduardo Alves & Baerlocher Diogo & de Paiva Fonseca Henrique Veras, 2015. "Fiscal shocks, the real exchange rate and the trade balance: some evidence for emerging economies," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(2), pages 727-768, July.
    6. Chatterjee, Santanu & Mursagulov, Azer, 2016. "Fiscal Policy And The Real Exchange Rate," Macroeconomic Dynamics, Cambridge University Press, vol. 20(7), pages 1742-1770, October.
    7. Alonso Cifuentes, Julio César & Jaramillo Flechas, Luis Eduardo, 2019. "Descomponiendo el Efecto del Gasto Público en la Tasa de Cambio Real: Una Aproximación al Caso Colombiano || Decomposing the Effect of Public Spending on the Real Exchange Rate: An Approximation to th," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 91-114, June.

  139. Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Fractional integration and data frequency," Faculty Working Papers 10/08, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    2. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.

  140. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Ana Maria Sova, 2008. "On the Bilateral Trade Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries," CESifo Working Paper Series 2419, CESifo.

    Cited by:

    1. Kazunobu Hayakawa & Tadashi Ito & Fukunari Kimura, 2016. "Trade Creation Effects of Regional Trade Agreements: Tariff Reduction versus Non-tariff Barrier Removal," Review of Development Economics, Wiley Blackwell, vol. 20(1), pages 317-326, February.
    2. Richard Frensch & Jan Hanousek & Evzen Kocenda, 2016. "Trade in Parts and Components across Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(3), pages 236-262, June.
    3. Richard Frensch & Jan Hanousek & Evzen Kocenda, 2013. "Specialization, gravity, and European trade in final goods," William Davidson Institute Working Papers Series wp1054, William Davidson Institute at the University of Michigan.
    4. Kazunobu Hayakawa & Fukunari Kimura & Kaoru Nabeshima, 2014. "Nonconventional Provisions in Regional Trade Agreements: Do They Enhance International Trade?," Journal of Applied Economics, Taylor & Francis Journals, vol. 17(1), pages 113-137, May.
    5. Ana Shohibul Manshur Al Ahmad, 2014. "ASEAN-India and ASEAN-Korea FTA: Global Trade Analysis Project," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 6(1), pages 56-67, April.
    6. Breusch, Trevor & Ward, Michael B & Nguyen, Hoa & Kompas, Tom, 2010. "On the fixed-effects vector decomposition," MPRA Paper 21452, University Library of Munich, Germany.
    7. Martínez-Zarzoso, Inmaculada & Voicu, Anca M. & Vidovic, Martina, 2020. "Production networks in Europe: A natural experiment of the EU enlargement to the east," University of Göttingen Working Papers in Economics 390, University of Goettingen, Department of Economics.
    8. Suhail P & Sreejesh S, 2011. "The bilateral trade agreements and export performance of South Asian nations with special reference to India Sri Lanka Free Trade Agreement," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(42), pages 115-130, December.
    9. Hayakawa, Kazunobu & Kim, HanSung & Yoshimi, Taiyo, 2015. "FTA in international finance : impacts of exchange rates on FTA utilization," IDE Discussion Papers 494, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    10. Maria Cipollina & David Laborde & Luca Salvatici, 2014. "The Tide That Does Not Raise All Boats: An Assessment of EU Preferential Trade Policies," Departmental Working Papers of Economics - University 'Roma Tre' 0194, Department of Economics - University Roma Tre.
    11. Festus Ebo Turkson, 2012. "Trade Agreements and Bilateral Trade in Sub-Saharan Africa: Estimating the Trade Effects of the EU-ACP PTA and RTAs," Discussion Papers 12/07, University of Nottingham, CREDIT.
    12. Hayakawa Kazunobu, 2015. "Impacts of FTA Utilization on Firm Performance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 15(3), pages 1325-1352, July.
    13. Richard Frensch & Jan Hanousek & Evžen Kočenda, 2013. "Obchod s fiskálními statky v Evropské unii: Analýza za pomoci gravitačního modelu [Trade with Final Goods in European Union: A Gravity Model Approach]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(6), pages 715-734.
    14. Jin, Seung Ha, 2013. "The Effect of South Korean FTAs on Trade: Country-level and Industry-level Analyses," Master's Theses and Plan B Papers 149430, University of Minnesota, Department of Applied Economics.
    15. Richard Pomfret & Patricia Sourdin, 2016. "Trade between Australia and the EU, 1990 - 2015," School of Economics and Public Policy Working Papers 2016-10, University of Adelaide, School of Economics and Public Policy.
    16. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Liberalization of Trade with Leading Trade Partners: Some Evidence from Bosnia and Herzegovina," MPRA Paper 75053, University Library of Munich, Germany, revised 04 Nov 2016.
    17. Timini, Jacopo & Conesa, Marina, 2019. "Chinese Exports and Non-Tariff Measures: Testing for Heterogeneous Effects at the Product Level," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 34(2), pages 327-345.
    18. Andrzej Cieślik & Oleg Gurshev, 2022. "Friends with or without benefits? An empirical evaluation of bilateral trade and economic integration between some of the post-Soviet economies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 769-795, December.
    19. Timo Mitze, 2010. "Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?," EERI Research Paper Series EERI_RP_2010_22, Economics and Econometrics Research Institute (EERI), Brussels.
    20. Tang, Donny, 2016. "Has the Financial Integration affected the European Union (EU) trade with the New Member Countries from Central and Eastern Europe (CEEC) during 1994–2013?," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 8-20.
    21. Enkang Li & Mengqiu Lu & Yu Chen, 2020. "Analysis of China’s Importance in “Belt and Road Initiative” Trade Based on a Gravity Model," Sustainability, MDPI, vol. 12(17), pages 1-21, August.
    22. Florian Mölders & Ulrich Volz, 2011. "Trade creation and the status of FTAs: empirical evidence from East Asia," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(3), pages 429-456, September.
    23. Bianka Dettmer, 2012. "The European Union's service directive: Contrasting ex ante estimates with empirical evidence," Jena Economics Research Papers 2012-019, Friedrich-Schiller-University Jena.
    24. Hafiz M. Sohail & Mir Zatullah & Zengfu Li, 2021. "Effect of Foreign Direct Investment on Bilateral Trade: Experience From Asian Emerging Economies," SAGE Open, , vol. 11(4), pages 21582440211, October.
    25. Amat Adarov & Mahdi Ghodsi, 2021. "The impact of the Eurasian Economic Union–Iran preferential trade agreement on mutual trade at aggregate and sectoral levels," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 125-157, March.
    26. Mitze, Timo, 2009. "Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or not IV?," Ruhr Economic Papers 83, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    27. HAYAKAWA Kazunobu & Han-Sung KIM & YOSHIMI Taiyo, 2017. "Exchange Rate and Utilization of Free Trade Agreements: Focus on rules of origin," Discussion papers 17007, Research Institute of Economy, Trade and Industry (RIETI).
    28. Oxana Babecká Kucharčuková & Jan Babecký & Martin Raiser, 2012. "Gravity Approach for Modelling International Trade in South-Eastern Europe and the Commonwealth of Independent States: The Role of Geography, Policy and Institutions," Open Economies Review, Springer, vol. 23(2), pages 277-301, April.
    29. Syed H. Shah & Muhammad A. Kamal & Da L. Yu, 2022. "Did China‐Pakistan free trade agreement promote trade and development in Pakistan?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3459-3474, July.
    30. Marjan Petreski, 2013. "Southeastern European Trade Analysis: A Role for Endogenous CEFTA-2006?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(5), pages 26-44, September.
    31. Kazunobu Hayakawa & Fukunari Kimura, 2015. "How Much Do Free Trade Agreements Reduce Impediments to Trade?," Open Economies Review, Springer, vol. 26(4), pages 711-729, September.
    32. Ray Barrell & Tatiana Fic, 2010. "Integration, Globalisation, Technology and Trade Patterns in the EU8," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 2(1).
    33. Hayakawa, Kazunobu & Kimura, Fukunari, 2014. "How do free trade agreements reduce tariff rates and non-tariff barriers?," IDE Discussion Papers 446, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    34. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 84, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    35. Yin, Hua & Du, Zaichao & Zhang, Lin, 2018. "Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau," Economic Modelling, Elsevier, vol. 70(C), pages 147-158.
    36. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
    37. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2011. "Trade Specialisation and Economic Convergence: Evidence from two Eastern European Countries," DEGIT Conference Papers c016_071, DEGIT, Dynamics, Economic Growth, and International Trade.
    38. Felix Barbalet & Jared Greenville & Wayne Crook & Paul Gretton & Robert Breunig, 2015. "Exploring the Links between Bilateral and Regional Trade Agreements and Merchandise Trade," Asia and the Pacific Policy Studies, Wiley Blackwell, vol. 2(3), pages 467-484, September.
    39. Cipollina, Maria & Laborde, David & Salvatici, Luca, 2013. "Do Preferential Trade Policies (Actually) Increase Exports? An analysis of EU trade policies," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150177, Agricultural and Applied Economics Association.
    40. Guglielmo Maria Caporale & Rodrigo Costamagna & Gustavo Rossini, 2016. "Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group," Discussion Papers of DIW Berlin 1581, DIW Berlin, German Institute for Economic Research.
    41. Tareg Ghazi Alghabbabsheh & Saleh Saud AlSaif & Md Saiful Islam & Tareq Saeed AlShammari & Ali M A Mahmoud, 2022. "Have Bilateral Free Trade Agreements (BFTAs) been beneficial? Lessons learned from 11 U.S. BFTAs between 1992 and 2017," PLOS ONE, Public Library of Science, vol. 17(4), pages 1-21, April.
    42. KURTOVIC, Safet & HALILI, Blerim & MAXHUNI, Nehat & TALOVIC, Sead, 2016. "Liberalization of Trade with the EFTA Countries: Some Evidence from Bosnia and Herzegovina - La liberalizzazione del commercio con i paesi dell’ EFTA: evidenze dalla Bosnia e Herzegovina," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(3), pages 213-232.
    43. Jacqueline Karlsson & Helena Melin & Kevin Cullinane, 2018. "The impact of potential Brexit scenarios on German car exports to the UK: an application of the gravity model," Journal of Shipping and Trade, Springer, vol. 3(1), pages 1-22, December.
    44. Hayakawa, Kazunobu & Yoshimi, Taiyo, 2016. "Gravity with multiple tariff schemes," IDE Discussion Papers 614, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    45. Halis Kıral & Lutfi Erden, 2018. "Bilateral trade effects of fiscal devaluation: Evidence from OECD countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 27(6), pages 585-606, August.
    46. Inmaculada Martínez‐Zarzoso & Anca M. Voicu & Martina Vidovic, 2020. "Production networks in Europe: A natural experiment of the European Union enlargement to the east," Review of International Economics, Wiley Blackwell, vol. 28(5), pages 1143-1163, November.

  141. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Long-Run Trends and Cycles in US House Prices," CESifo Working Paper Series 10751, CESifo.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
    3. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    4. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
    5. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting," Papers 2204.09568, arXiv.org.
    6. Haitham A. Al-Zoubi & Jennifer A. O’Sullivan & Abdulaziz M. Alwathnani, 2018. "Business cycles, financial cycles and capital structure," Annals of Finance, Springer, vol. 14(1), pages 105-123, February.

  142. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2008. "Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model," CESifo Working Paper Series 2444, CESifo.

    Cited by:

    1. Grinis, Inna, 2015. "Credit risk spillovers, systemic importance and vulnerability in financial networks," LSE Research Online Documents on Economics 60954, London School of Economics and Political Science, LSE Library.

  143. Guglielmo Maria Caporale & Christophe Rault & Ana Maria Sova & Robert Sova, 2008. "On the Trade Balance Effects of Free Trade Agreements between the EU-15 and the CEEC-4 Countries," Post-Print halshs-00363699, HAL.

    Cited by:

    1. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Liberalization of Trade with Leading Trade Partners: Some Evidence from Bosnia and Herzegovina," MPRA Paper 75053, University Library of Munich, Germany, revised 04 Nov 2016.
    2. Timo Mitze, 2010. "Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?," EERI Research Paper Series EERI_RP_2010_22, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2009. "Trade-FDI Linkages in a System of Gravity Equations for German Regional Data," Ruhr Economic Papers 84, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Mitze, Timo & Alecke, Björn & Untiedt, Gerhard, 2008. "Trade, FDI and Cross-Variable Linkages: A German (Macro-)Regional Perspective," MPRA Paper 12245, University Library of Munich, Germany.
    5. KURTOVIC, Safet & HALILI, Blerim & MAXHUNI, Nehat & TALOVIC, Sead, 2016. "Liberalization of Trade with the EFTA Countries: Some Evidence from Bosnia and Herzegovina - La liberalizzazione del commercio con i paesi dell’ EFTA: evidenze dalla Bosnia e Herzegovina," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(3), pages 213-232.

  144. Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks," Faculty Working Papers 11/08, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
    2. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
    3. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    4. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    5. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
    6. Juan Carlos Cuestas & Luis A. Gil-Alana, 2011. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies," Working Papers 2011005, The University of Sheffield, Department of Economics, revised Feb 2011.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    8. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Fumitaka Furuoka & Luis A. Gil‐Alana, 2021. "A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 960-981, August.
    9. Congregado, Emilio & Garcia-Clemente, Javier & Rubino, Nicola & Vilchez, Inmaculada, 2023. "Testing hysteresis for the US and UK involuntary part-time employment," MPRA Paper 118115, University Library of Munich, Germany.
    10. Rangan Gupta & Christophe André & Luis Gil-Alana, 2015. "Comovement in Euro area housing prices: A fractional cointegration approach," Urban Studies, Urban Studies Journal Limited, vol. 52(16), pages 3123-3143, December.
    11. Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017. "Long memory in Turkish Unemployment Rates," MPRA Paper 81571, University Library of Munich, Germany.
    12. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    13. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
    14. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    15. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    16. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    17. Dilem Yıldırım & Dilan Aydın, 2021. "One Crisis After Another: A Dynamic Unemployment Persistence Analysis For The Gips Countries," ERC Working Papers 2102, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
    18. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.
    19. Veli YILANCI & Yilmaz OZKAN & Abdulkadir ALTINSOY, 2020. "Testing the Unemployment Hysteresis in G7 Countries: A Fresh Evidence from Fourier Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 49-59, September.
    20. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
    21. Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011. "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 514-532.
    22. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    23. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
    24. M. de Carvalho & K. F. Turkman & A. Rua, 2013. "Dynamic threshold modelling and the US business cycle," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 62(4), pages 535-550, August.
    25. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    26. Cevik, Emrah Ismail & Dibooglu, Sel, 2013. "Persistence and non-linearity in US unemployment: A regime-switching approach," Economic Systems, Elsevier, vol. 37(1), pages 61-68.
    27. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Faculty Working Papers 20/12, School of Economics and Business Administration, University of Navarra.
    28. Fosten, Jack & Ghoshray, Atanu, 2011. "Dynamic persistence in the unemployment rate of OECD countries," Economic Modelling, Elsevier, vol. 28(3), pages 948-954, May.
    29. Juan Carlos Cuestas & Luis A. Gil-Alana, 2009. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," NBS Discussion Papers in Economics 2009/6, Economics, Nottingham Business School, Nottingham Trent University.
    30. Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
    31. Ebuh U. Godday & Nuruddeen Usman & Afees A. Salisu, 2022. "Testing for unemployment persistence in Nigeria," Economic Change and Restructuring, Springer, vol. 55(4), pages 2605-2630, November.

  145. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series 2359, CESifo.

    Cited by:

    1. John Beirne, 2009. "Vulnerability of inflation in the new EU Member States to country-specific and global factors," Economics Bulletin, AccessEcon, vol. 29(2), pages 1420-1431.
    2. Cyriac Guillaumin & Salem Boubakri & Alexandre Silanine, 2020. "Do commodity price volatilities impact currency misalignments in commodity-exporting countries ?," Post-Print halshs-02935658, HAL.
    3. Habimana, Olivier, 2018. "Asymmetry and Multiscale Dynamics in Macroeconomic Time Series Analysis," MPRA Paper 87823, University Library of Munich, Germany.
    4. Viktors Ajevskis & Ramune Rimgailaite & Uldis Rutkaste & Olegs Tkacevs, 2012. "The Assesment of Equilibrium Real Echange Rate of Latvia," Working Papers 2012/04, Latvijas Banka.
    5. Hsing, Yu, 2009. "Responses of Output to Declining Stock Values and Real Depreciation in Lituania," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(4), pages 429-437.

  146. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo.

    Cited by:

    1. J. Atsu Amegashie & Bazoumana Ouattara & Eric Strobl, 2007. "Moral Hazard and the Composition of Transfers: Theory with an Application to Foreign Aid," Working Papers 0702, University of Guelph, Department of Economics and Finance.

  147. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.

    Cited by:

    1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
    2. J. Atsu Amegashie & Bazoumana Ouattara & Eric Strobl, 2007. "Moral Hazard and the Composition of Transfers: Theory with an Application to Foreign Aid," Working Papers 0702, University of Guelph, Department of Economics and Finance.
    3. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.

  148. Guglielmo Maria Caporale & Yannis Georgellis & Nicholas Tsitsianis & Ya Ping Yin, 2007. "Income and Happiness across Europe: Do Reference Values Matter?," CESifo Working Paper Series 2146, CESifo.

    Cited by:

    1. Tim Friehe & Mario Mechtel, 2017. "Gambling to leapfrog in status?," Review of Economics of the Household, Springer, vol. 15(4), pages 1291-1319, December.
    2. Ekaterina Selezneva, 2010. "Surveying transitional experience and subjective well-being : Income, work, family," Working Papers 279, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    3. Claudia Senik, 2008. "Direct evidence on income comparisons and their welfare effects," PSE Working Papers halshs-00588023, HAL.
    4. Ozan Eksi & Asena Caner & Unay Tamgac Tezcan, 2018. "Relative Deprivation and Life Satisfaction among Europeans: Keeping up with Others," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 32(2), pages 19-46.
    5. Tsoukis, Christopher & Tournemaine, Frederic, 2010. "Status in a canonical macro model: labour supply, growth, and inequality," MPRA Paper 26480, University Library of Munich, Germany.
    6. Asadullah, Niaz & Xiao, Saizi & Yeoh, Emile Kok-Kheng, 2016. "Subjective Well-being in China, 2005-2010: The Role of Relative Income, Gender and Location," IZA Discussion Papers 9637, Institute of Labor Economics (IZA).
    7. Eiji Yamamura, 2013. "Trial experience, satisfaction and incentive to bring another lawsuit: Does aspiration level influence winners and losers?," EERI Research Paper Series EERI RP 2013/03, Economics and Econometrics Research Institute (EERI), Brussels.
    8. Maria Pereira & Filipe Coelho, 2013. "Untangling the Relationship Between Income and Subjective Well-Being: The Role of Perceived Income Adequacy and Borrowing Constraints," Journal of Happiness Studies, Springer, vol. 14(3), pages 985-1005, June.
    9. Lampi, Elina & Nordblom, Katarina, 2008. "Money and Success –Sibling and Birth-Order Effects on Positional Concerns," Working Papers in Economics 299, University of Gothenburg, Department of Economics.
    10. Akay, Alpaslan & Martinsson, Peter, 2012. "Positional Concerns through the Life Cycle: Evidence from Subjective Well-Being Data and Survey Experiments," IZA Discussion Papers 6342, Institute of Labor Economics (IZA).
    11. Eiji Yamamura & Antonio R. Andrés, 2015. "Influence of age of child on differences in life satisfaction of males and females," EERI Research Paper Series EERI RP 2015/02, Economics and Econometrics Research Institute (EERI), Brussels.
    12. Dolan, Paul & Foy, Chloe & Kavetsos, Georgios & Kudrna, Laura, 2021. "Faster, higher, stronger… and happier? Relative achievement and marginal rank effects," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 95(C).
    13. Tim Friehe & Mario Mechtel, 2012. "Conspicuous Consumption and Communism: Evidence from East and West Germany," CESifo Working Paper Series 3922, CESifo.
    14. Hovi, Matti & Laamanen, Jani-Petri, 2021. "Income, aspirations and subjective well-being: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 287-302.
    15. Fumagalli, Elena & Fumagalli, Laura, 2022. "Subjective well-being and the gender composition of the reference group: Evidence from a survey experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 196-219.
    16. Schneck, Stefan, 2014. "My Wage is Unfair! Just a Feeling or Comparison with Peers?," Review of Behavioral Economics, now publishers, vol. 1(3), pages 245-273, May.
    17. Proto, Eugenio & Liberini, Federica & Oswald, Andrew & Redoano, Michela, 2019. "Was Brexit Triggered by the Old and Unhappy? Or by Financial Feelings?," CEPR Discussion Papers 13439, C.E.P.R. Discussion Papers.
    18. Marcin Piekalkiewicz, 2016. "Money, Social Capital and Materialism. Evidence from Happiness Data," Department of Economics University of Siena 731, Department of Economics, University of Siena.
    19. Stefano Bartolini & Ennio Bilancini & Francesco Sarracino, 2013. "Predicting the Trend of Well-Being in Germany: How Much Do Comparisons, Adaptation and Sociability Matter?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 114(2), pages 169-191, November.
    20. Hong, Yan-Zhen & Su, Yi-Ju & Chang, Hung-Hao, 2023. "Analyzing the relationship between income and life satisfaction of Forest farm households - a behavioral economics approach," Forest Policy and Economics, Elsevier, vol. 148(C).
    21. Petri Böckerman & Jani-Petri Laamanen & Esa Palosaari, 2016. "The Role of Social Ties in Explaining Heterogeneity in the Association Between Economic Growth and Subjective Well-Being," Journal of Happiness Studies, Springer, vol. 17(6), pages 2457-2479, December.
    22. Ateca Amestoy, Victoria María & Cortés Aguilar, Alexandra & Moro-Egido, Ana I., 2011. "Social Interactions and Subjective Well-Being: Evidence from Latin America," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    23. Almudena Sevilla-Sanz & Jose Ignacio Gimenez-Nadal, 2010. "The Time-crunch Paradox," Economics Series Working Papers 483, University of Oxford, Department of Economics.
    24. Sibylle Puntscher & Janette Walde & Gottfried Tappeiner, 2016. "Do methodical traps lead to wrong development strategies for welfare? A multilevel approach considering heterogeneity across industrialized and developing countries," Working Papers 2016-01, Faculty of Economics and Statistics, Universität Innsbruck.
    25. Yamamura, Eiji & Andrés, Antonio R., 2011. "Influence of age of child on differences in marital satisfaction of males and females in East Asian countries," MPRA Paper 32756, University Library of Munich, Germany.
    26. Yonas Alem & Gunnar Köhlin, 2014. "The Impact of Food Price Inflation on Subjective Well-being: Evidence From Urban Ethiopia," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 116(3), pages 853-868, May.
    27. Shahid, Shadma & Paul, Justin, 2021. "Intrinsic motivation of luxury consumers in an emerging market," Journal of Retailing and Consumer Services, Elsevier, vol. 61(C).
    28. Naiwei Chen & Ho-Chyuan Chen, 2021. "Religion, Marriage and Happiness – Evidence from Taiwan," Applied Research in Quality of Life, Springer;International Society for Quality-of-Life Studies, vol. 16(1), pages 259-299, February.
    29. Andreas T. Schmidt & Daan Juijn, 2024. "Economic inequality and the long-term future," Politics, Philosophy & Economics, , vol. 23(1), pages 67-99, February.
    30. Nan Zou Bakkeli, 2020. "Older Adults’ Mental Health in China: Examining the Relationship Between Income Inequality and Subjective Wellbeing Using Panel Data Analysis," Journal of Happiness Studies, Springer, vol. 21(4), pages 1349-1383, April.
    31. AMENDOLA, Adalgiso & DELL'ANNO, Roberto & PARISI, Lavinia, 2020. "Why Some People Are Not As Happy As They Could Be: The Role of Unobservable Subjective Factors," CELPE Discussion Papers 162, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
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    35. Gabriela Mihaela Muresan & Codruta Mare & Dan Tudor Lazar & Sorin Paul Lazar, 2023. "Can Health Insurance Improve the Happiness of the Romanian People?," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(64), pages 903-903, August.
    36. Elena Bárcena-Martín & Cortés Aguilar Alexandra & Ana I. Moro Egido, 2013. "The role of proximity and social comparisons on subjective well-being," ThE Papers 13/10, Department of Economic Theory and Economic History of the University of Granada..
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    64. Aloys Prinz & Björn Bünger, "undated". "Living in a material world: Happy Income and Happy Life Years," Working Papers 200116, Institute of Spatial and Housing Economics, Munster Universitary.
    65. Aguilar, Alexandra Cortés & García Muñoz, Teresa M. & Moro-Egido, Ana I., 2013. "Heterogeneous self-employment and satisfaction in Latin America," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 44-61.
    66. Ferrari, Giulia, 2022. "What is wellbeing for rural South African women? Textual analysis of focus group discussion transcripts and implications for programme design and evaluation," LSE Research Online Documents on Economics 115923, London School of Economics and Political Science, LSE Library.
    67. Knies, Gundi, 2010. "Income comparisons among neighbours and life satisfaction in East and West Germany," ISER Working Paper Series 2010-11, Institute for Social and Economic Research.
    68. Eiji Yamamura, 2021. "Where do I rank? Am I happy?: learning income position and subjective-wellbeing in an internet experiment," Papers 2107.11185, arXiv.org.
    69. Gundi Knies, 2012. "Income Comparisons Among Neighbours and Satisfaction in East and West Germany," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 106(3), pages 471-489, May.
    70. Mª del Salinas-Jiménez & Joaquín Artés & Javier Salinas-Jiménez, 2011. "Education as a Positional Good: A Life Satisfaction Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 103(3), pages 409-426, September.
    71. Manuela Stranges & Daniele Vignoli & Alessandra Venturini, 2019. ""Comparison is the thief of joy". Does social comparison affect migrants’ subjective well-being?," Econometrics Working Papers Archive 2019_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    72. Friehe, Tim & Mechtel, Mario, 2014. "Conspicuous consumption and political regimes: Evidence from East and West Germany," European Economic Review, Elsevier, vol. 67(C), pages 62-81.
    73. Heinz Welsch & Jan Kühling, 2013. "Income Comparison, Income Formation, and Subjective Well-Being: New Evidence on Envy versus Signaling," Working Papers V-356-13, University of Oldenburg, Department of Economics, revised Apr 2013.
    74. Jorgensen, Bradley S. & Jamieson, Robert D. & Martin, John F., 2010. "Income, sense of community and subjective well-being: Combining economic and psychological variables," Journal of Economic Psychology, Elsevier, vol. 31(4), pages 612-623, August.
    75. Maria Salinas-Jiménez & Joaquín Artés & Javier Salinas-Jiménez, 2010. "Income, Motivation, and Satisfaction with Life: An Empirical Analysis," Journal of Happiness Studies, Springer, vol. 11(6), pages 779-793, December.
    76. Ehsan Latif, 2016. "Happiness and Comparison Income: Evidence from Canada," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 128(1), pages 161-177, August.
    77. Schalembier, Benjamin & Bleys, Brent & Van Ootegem, Luc & Verhofstadt, Elsy, 2020. "How the income of others affects the life satisfaction of materialists," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 64-74.
    78. Monica Guillen-Royo & Laura Camfield & Jackeline Velazco, 2013. "Universal and Local Reconciled: Exploring Satisfaction with Universal and Local Goals in Thailand and Bangladesh," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 113(2), pages 627-645, September.
    79. Victoria Ateca-Amestoy & Alexandra Aguilar & Ana Moro-Egido, 2014. "Social Interactions and Life Satisfaction: Evidence from Latin America," Journal of Happiness Studies, Springer, vol. 15(3), pages 527-554, June.
    80. Yamamura, Eiji, 2010. "The effects of information asymmetry and government size on happiness: A case study from Japan," MPRA Paper 27182, University Library of Munich, Germany.
    81. Takashi Oshio & Miki Kobayashi, 2011. "Area-Level Income Inequality and Individual Happiness: Evidence from Japan," Journal of Happiness Studies, Springer, vol. 12(4), pages 633-649, August.
    82. Juncal Cuñado & Fernando Gracia, 2012. "Does Education Affect Happiness? Evidence for Spain," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 108(1), pages 185-196, August.
    83. Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "The economic and welfare state determinants of well-being in Europe," International Economics, Elsevier, vol. 171(C), pages 49-57.
    84. Joan Costa-i-Font & Mario Gyori, 2020. "Can Unearned Income Make Us Fitter? Evidence from Lottery Wins," CESifo Working Paper Series 8738, CESifo.
    85. Liisa-Maria Palomäki, 2017. "Reference Groups and Pensioners’ Subjective Economic Well-Being in Europe," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(2), pages 509-525, March.
    86. Asena Caner, 2016. "Happiness and Life Satisfaction in Turkey in Recent Years," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 127(1), pages 361-399, May.
    87. John Grable & Sam Cupples & Fred Fernatt & NaRita Anderson, 2013. "Evaluating the Link Between Perceived Income Adequacy and Financial Satisfaction: A Resource Deficit Hypothesis Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 114(3), pages 1109-1124, December.
    88. Gundi Knies, 2022. "Effects of Income and Material Deprivation on Children’s Life Satisfaction: Evidence from Longitudinal Data for England (2009–2018)," Journal of Happiness Studies, Springer, vol. 23(4), pages 1469-1492, April.
    89. Nadir Preziosi, 2013. "Life is Getting Worse in ESS Data: Is This Due to Micro or Macro Factors?," Bruges European Economic Research Papers 28, European Economic Studies Department, College of Europe.
    90. Drichoutis, Andreas C. & Nayga Jr., Rodolfo M. & Lazaridis, Panagiotis, 2010. "Do reference values matter? Some notes and extensions on "income and happiness across Europe"," Journal of Economic Psychology, Elsevier, vol. 31(4), pages 479-486, August.
    91. Alem, Yonas, 2014. "Life-Satisfaction in Urban Ethiopia: The Role of Relative Poverty and Unobserved Heterogeneity," RFF Working Paper Series dp-14-04-efd, Resources for the Future.
    92. Alem, Yonas & Köhlin, Gunnar, 2012. "Life Satisfaction in Urban Ethiopia: Trends and determinants," Working Papers in Economics 548, University of Gothenburg, Department of Economics.
    93. Blanchflower, David G. & Graham, Carol L., 2021. "The Mid-Life Dip in Well-Being: A Critique," GLO Discussion Paper Series 923, Global Labor Organization (GLO).
    94. Guillen-Royo, Monica, 2011. "Reference group consumption and the subjective wellbeing of the poor in Peru," Journal of Economic Psychology, Elsevier, vol. 32(2), pages 259-272, March.
    95. Rojas, Mariano, 2009. "Economía de la felicidad. Hallazgos relevantes respecto al ingreso y el bienestar," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(303), pages 537-573, julio-sep.
    96. Takashi Oshio & Kayo Nozaki & Miki Kobayashi, 2011. "Relative Income and Happiness in Asia: Evidence from Nationwide Surveys in China, Japan, and Korea," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 104(3), pages 351-367, December.
    97. Bookwalter, Jeffrey T. & Dalenberg, Douglas R., 2010. "Relative to What or Whom? The Importance of Norms and Relative Standing to Well-Being in South Africa," World Development, Elsevier, vol. 38(3), pages 345-355, March.
    98. Jigme Nidup & Simon Feeny & Ashton Silva, 2018. "Improving Well-Being in Bhutan: A Pursuit of Happiness or Poverty Reduction?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 140(1), pages 79-100, November.
    99. Pedersen, Peder J. & Schmidt, Torben Dall, 2011. "Happiness in Europe," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(5), pages 480-489.
    100. Hudson, Eibhlin, 2013. "Does relative material wealth matter for child and adolescent life satisfaction?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 46(C), pages 38-47.
    101. Asena Caner, 2015. "Happiness, Comparison Effects, and Expectations in Turkey," Journal of Happiness Studies, Springer, vol. 16(5), pages 1323-1345, October.
    102. Kalenborn, Christine & Lessmann, Christian, 2014. "Regional Income Inequality lowers Life Satisfaction: Evidence from OECD Countries," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100561, Verein für Socialpolitik / German Economic Association.
    103. Molnár, György & Kapitány, Zsuzsa, 2014. "Miért elégedetlenek annyira a magyarok az életükkel?. A szubjektív jóllétet befolyásoló tényezők mikroszintű összehasonlító elemzése magyar és osztrák adatokon [Why are Hungarians dissatisfied?. A ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 637-671.
    104. Cortés Aguilar Alexandra & Teresa Garcia-Muñoz & Ana I. Moro Egido, 2013. "Heterogeneous Self-employment and Subjective Well-Being. Evidence from Latin America," ThE Papers 13/05, Department of Economic Theory and Economic History of the University of Granada..
    105. Bogaerts, Tess & Pandelaere, Mario, 2013. "Less is more: Why some domains are more positional than others," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 225-236.
    106. Alessa K. Durst, 2021. "Education as a Positional Good? Evidence from the German Socio-Economic Panel," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(2), pages 745-767, June.

  149. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling Structural Breaks In The Us, Uk And Japanese Unemployment Rates," Economics and Finance Discussion Papers 06-10, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Heijdra, B.J. & Ligthart, J.E., 2005. "Fiscal Policy, Monopolistic Competition and Finite Lives," Other publications TiSEM 305239e1-d4e2-4d0e-b950-b, Tilburg University, School of Economics and Management.
    2. Ivan Kitov & Oleg Kitov, 2013. "Inflation, unemployment, and labor force. Phillips curves and long-term projections for Japan," Papers 1309.1757, arXiv.org.
    3. Ivan O. Kitov, 2010. "Inflation and unemployment in Japan: from 1980 to 2050," Papers 1002.0277, arXiv.org.
    4. Franchi, Massimo & Ordóñez, Javier, 2008. "Common smooth transition trend-stationarity in European unemployment," Economics Letters, Elsevier, vol. 101(2), pages 106-109, November.

  150. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers 06-18, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Guglielmo Maria Caporale & Christoph Hanck, 2010. "Are PPP tests erratically behaved? Some panel evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
    2. Sandeep Mazumder & Ryan Pahl, 2013. "What if the UK had Joined the Euro in 1999?," Open Economies Review, Springer, vol. 24(3), pages 447-470, July.
    3. Georgios Loukopoulos & Dimitrios Antonopoulos, 2015. "Purchasing Power Parity: A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 262-279, June.

  151. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Testing For Unit And Fractional Orders Of Integration In The Trend And Seasonal Components Of Us Monetary Aggregates," Economics and Finance Discussion Papers 06-13, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.

  152. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," CESifo Working Paper Series 2720, CESifo.
    2. Agenor, Pierre-Richard & Aizenman, Joshua, 2008. "Capital Market Imperfections and the Theory of Optimum Currency Areas," Santa Cruz Department of Economics, Working Paper Series qt7668j94x, Department of Economics, UC Santa Cruz.
    3. Neil Lawton & Liam A. Gallagher, 2020. "The negative side of inflation targeting: revisiting inflation uncertainty in the EMU," Applied Economics, Taylor & Francis Journals, vol. 52(29), pages 3186-3203, June.
    4. Ramprasad Bhar & Girijasankar Mallik, 2013. "Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK," Empirical Economics, Springer, vol. 45(3), pages 1333-1350, December.
    5. Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky, 2013. "Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe," Papers 1303.6192, arXiv.org.
    6. Thomas Windberger & Achim Zeileis, 2011. "Structural Breaks in Inflation Dynamics within the European Monetary Union," Working Papers 2011-12, Faculty of Economics and Statistics, Universität Innsbruck.
    7. Kyriakos C. Neanidis & Christos S. Savva, 2010. "Nominal Uncertainty and Inflation: The Role of European Union Membership," Centre for Growth and Business Cycle Research Discussion Paper Series 146, Economics, The University of Manchester.
    8. Don Bredin & Stilianos Fountas, 2011. "US Inflation and inflation uncertainty in a historical perspective: The impact of recessions," Discussion Paper Series 2011_13, Department of Economics, University of Macedonia, revised Sep 2011.
    9. Polito, Vito & Spencer, Peter, 2011. "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Cardiff Economics Working Papers E2011/23, Cardiff University, Cardiff Business School, Economics Section.
    10. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    11. Juan Carlos Cuestas & Carlyn Ramlogan-Dobson, 2013. "Convergence of Inflationary Shocks: Evidence from the Caribbean," The World Economy, Wiley Blackwell, vol. 36(9), pages 1229-1243, September.
    12. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
    13. Berger, Tino & Grabert, Sibylle & Kempa, Bernd, 2017. "Global macroeconomic uncertainty," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 42-56.
    14. Barnett, William & Ftiti, Zied & Jawadi, Fredj, 2018. "The Causal Relationships between Inflation and Inflation Uncertainty," MPRA Paper 86478, University Library of Munich, Germany.
    15. Ahrens, Steffen & Hartmann, Matthias, 2014. "State-dependence vs. timedependence: An empirical multi-country investigation of price sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy (IfW Kiel).
    16. Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2015. "Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?," Working Papers 2015025, The University of Sheffield, Department of Economics.
    17. Antonio Filippin & Luca Nunziata, 2019. "Monetary effects of inequality: lessons from the euro experiment," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 17(2), pages 99-124, June.
    18. Georgios Bampinas & Panagiotis Konstantinou & Theodore Panagiotidis, 2021. "Reassessing the inflation uncertainty‐inflation relationship in the tails," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 508-534, October.
    19. Juan Carlos Cuestas & Carlyn Dobson, 2011. "Inflation persistence: Implication for a monetary union in the Caribbean," Working Papers 2011017, The University of Sheffield, Department of Economics.
    20. Adnen Ben Nasr & Mehmet Balcilar & Ahdi N. Ajmi & Goodness C. Aye & Rangan Gupta & Reneé van Eyden, 2014. "Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model," Working Papers 201453, University of Pretoria, Department of Economics.
    21. Hartmann, Matthias & Conrad, Christian, 2014. "Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100477, Verein für Socialpolitik / German Economic Association.
    22. Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
    23. Rehab OSMAN, 2010. "SADC EPAs with the EU: the Right or a Blight Way for Development," EcoMod2010 259600127, EcoMod.
    24. Jiranyakul, Komain, 2020. "The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression," MPRA Paper 99868, University Library of Munich, Germany.
    25. Svetlana Makarova, 2018. "European Central Bank Footprints On Inflation Forecast Uncertainty," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 637-652, January.
    26. Buth, Bora & Kakinaka, Makoto & Miyamoto, Hiroaki, 2015. "Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam," Journal of Asian Economics, Elsevier, vol. 38(C), pages 31-43.
    27. Sandeep Mazumder, 2014. "European Monetary Union and the Cost of Disinflation," Economic Issues Journal Articles, Economic Issues, vol. 19(2), pages 1-20, September.
    28. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
    29. Sauter, Oliver, 2012. "Assessing uncertainty in Europe and the US: is there a common uncertainty factor?," MPRA Paper 38031, University Library of Munich, Germany.
    30. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
    31. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.

  153. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Economics and Finance Discussion Papers 05-01, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Théophile T. Azomahou & Tapas Mishra & Mamata Parhi, 2015. "Economic Growth under Stochastic Population and Pollution Shocks," Manchester School, University of Manchester, vol. 83(3), pages 314-345, June.
    2. Kumar, Saten & Webber, Don J. & Fargher, Scott, 2010. "Money demand stability: A case study of Nigeria," MPRA Paper 26074, University Library of Munich, Germany.
    3. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    4. Chor Foon Tang, 2013. "Evidence on Structural Instability in the Japanese Money Demand Function," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(3), pages 255-272, August.
    5. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
    6. Wei Liao & Mr. Sampawende J Tapsoba, 2014. "China’s Monetary Policy and Interest Rate Liberalization: Lessons from International Experiences," IMF Working Papers 2014/075, International Monetary Fund.
    7. Kumar, Saten, 2011. "Financial reforms and money demand: Evidence from 20 developing countries," Economic Systems, Elsevier, vol. 35(3), pages 323-334, September.
    8. Kumar, Saten & Chowdhury, Mamta & Rao, B. Bhaskara, 2010. "Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks," MPRA Paper 22204, University Library of Munich, Germany.
    9. Bassey Nsikan Edet & Solomon Ubong Udo & Okon Ubokudom Etim, 2017. "Modelling the Demand for Money Function in Nigeria: Is There Stability?," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 6(1), pages 45-57, March.
    10. Tang, Chor Foon, 2007. "The stability of money demand function in Japan: Evidence from rolling cointegration approach," MPRA Paper 19807, University Library of Munich, Germany.
    11. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    12. Mouyad Alsamara & Zouhair Mrabet, 2019. "Asymmetric impacts of foreign exchange rate on the demand for money in Turkey: new evidence from nonlinear ARDL," International Economics and Economic Policy, Springer, vol. 16(2), pages 335-356, April.

  154. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock," Economics and Finance Discussion Papers 05-16, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," PSE-Ecole d'économie de Paris (Postprint) halshs-00646178, HAL.

  155. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    2. Guglielmo Maria Caporale & Luis Gil-Alana, 2010. "Multiple cyclical fractional structures in financial time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1079-1081.
    3. Rania Jammazi & Chaker Aloui, 2014. "Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case," Working Papers 2014-198, Department of Research, Ipag Business School.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin 1077, DIW Berlin, German Institute for Economic Research.
    5. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "Persistence, non-linearities and structural breaks in European stock market indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 50-61.
    6. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    8. Giorgio Canarella & Luis Gil-Alana & Rangan Gupta & Stephen M Miller, 2021. "Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data," Urban Studies, Urban Studies Journal Limited, vol. 58(1), pages 53-72, January.
    9. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
    10. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "Cycles and Long-Range Behaviour in the European Stock Markets," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 293-302, Springer.
    11. Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
    12. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    13. Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
    14. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    15. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecasting," Papers 2204.09568, arXiv.org.
    16. Beaumont, Paul & Smallwood, Aaron, 2019. "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper 96314, University Library of Munich, Germany.

  156. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Black Market And Official Exchange Rates:Long-Run Equilibrium And Short-Run Dynamics," Economics and Finance Discussion Papers 05-04, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Gina Pieters, 2016. "Does bitcoin reveal new information about exchange rates and financial integration?," Globalization Institute Working Papers 292, Federal Reserve Bank of Dallas.
    2. Onour, Ibrahim, 2018. "Technical Trading Rules and Trading Signals in the Black Market for Foreign Exchange in Sudan," MPRA Paper 83919, University Library of Munich, Germany.
    3. Ferit Kula & Alper Aslan & lhan zt rk, 2014. "Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 494-500.
    4. Ricky Chee Jiun Chia & Shiok Ye Lim & Sheue Li Ong, 2014. "Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1438-1447.
    5. Huett, Hannes & Krapf, Matthias & Uysal, S. Derya, 2014. "Price dynamics in the Belarusian black market for foreign exchange," Journal of International Economics, Elsevier, vol. 94(1), pages 169-176.
    6. Yanping Zhao & Jakob Haan & Bert Scholtens & Haizhen Yang, 2014. "Sudden Stops and Currency Crashes," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 660-685, September.
    7. Sovannroeun Samreth, 2010. "A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia," Economics Bulletin, AccessEcon, vol. 30(2), pages 1044-1053.

  157. Guglielmo Maria Caporale & Alaa M. Soliman, 2005. "The Asymmetric Effects Of A Common Monetary Policy In Europe," Economics and Finance Discussion Papers 05-20, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Crespo-Cuaresma, Jesús & Fernández-Amador, Octavio, 2013. "Business cycle convergence in EMU: A second look at the second moment," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 239-259.
    2. Triandafil, Cristina Maria, 2011. "The Analysis Of The Convergence Criteria. Empirical Perspective In The Context Of The Sustainable Character Highlight," Working Papers of National Institute for Economic Research 111205, Institutul National de Cercetari Economice (INCE).
    3. TRIANDAFIL, Cristina Maria, 2013. "Sustainability of convergence in the context of macro-prudential policies in the European Union," Working Papers of National Institute for Economic Research 130618, Institutul National de Cercetari Economice (INCE).

  158. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing For Financial Contagion Between Developed And Emerging Markets During The 1997 East Asian Crisis," Economics and Finance Discussion Papers 05-08, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Cristina Froes De Borja Reis & Carlos Aguiar De Medeiro, 2014. "From Export Specialization In Natural Resources To Diversification In Manufacturing: The Development Strategies Of Indonesia, Malaysia And Thailand Since 1980," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 156, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Matesanz, David & Ortega, Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany.
    3. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
    4. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
    5. Jose Arreola Hernandez & Mazin A.M. Al Janabi, 2020. "Forecasting of dependence, market, and investment risks of a global index portfolio," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 512-532, April.
    6. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.

  159. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Economics and Finance Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
    2. Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
    3. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.
    5. Luo, Wenya & Bai, Zhidong & Zheng, Shurong & Hui, Yongchang, 2020. "A modified BDS test," Statistics & Probability Letters, Elsevier, vol. 164(C).
    6. Emilian DOBRESCU, 2016. "Controversies over the Size of the Public Budget," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-34, December.
    7. Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013. "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, vol. 28(2), pages 701-734, April.
    8. Halil Guler & Anil Talasli, 2010. "Modelling the Daily Currency in Circulation in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(1), pages 29-46.
    9. Samet G nay, 2015. "Chaotic Structure of the BRIC Countries and Turkey's Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 515-522.

  160. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.

    Cited by:

    1. Osama M Badr & Wajih Khallouli, 2019. "Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 53-63, January.
    2. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    3. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
    4. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    5. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    6. Asima Saleem, 2022. "Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region," Annals of Data Science, Springer, vol. 9(1), pages 33-54, February.
    7. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367.
    8. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    9. Pejman Abedifar & Paolo Giudici & Shatha Hashem, 2017. "Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems," DEM Working Papers Series 134, University of Pavia, Department of Economics and Management.
    10. Juan Andres Rodriguez-Nieto & Andre V. Mollick, 2021. "The US financial crisis, market volatility, credit risk and stock returns in the Americas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 225-254, June.
    11. Kuo-Jung Lee & Su-Lien Lu & You Shih, 2018. "Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-25, March.
    12. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    13. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    14. Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers 0725, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    15. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    16. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    17. Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
    18. Guglielmo Maria Caporale & Nicola Spagnolo, 2023. "US Municipal Green Bonds and Financial Integration," CESifo Working Paper Series 10323, CESifo.
    19. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    20. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2008. "Financial Contagion: Evolutionary Optimisation of a Multinational Agent-Based Model," CESifo Working Paper Series 2444, CESifo.
    21. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
    22. Tonzer, Lena & Buchholz, Manuel, 2014. "Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100443, Verein für Socialpolitik / German Economic Association.
    23. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    24. Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
    25. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    26. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    27. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
    28. Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    29. Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
    30. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    31. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.
    32. Jinghan Cai & Xiaobing Li, 2018. "Logistics and stock market inter-dependence: the case of China," International Journal of Logistics Economics and Globalisation, Inderscience Enterprises Ltd, vol. 7(3), pages 292-306.
    33. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    34. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
    35. Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016. "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, vol. 24(C), pages 1-11.
    36. Kyriakos C. Neanidis & Christos S. Savva, 2015. "Is Loan Dollarization Contagious across Countries? Evidence from Transition Economies," Centre for Growth and Business Cycle Research Discussion Paper Series 200, Economics, The University of Manchester.
    37. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2015. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Documents de travail du Centre d'Economie de la Sorbonne 15078, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    38. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    39. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    40. Dion Harmon & Marco Lagi & Marcus A M de Aguiar & David D Chinellato & Dan Braha & Irving R Epstein & Yaneer Bar-Yam, 2015. "Anticipating Economic Market Crises Using Measures of Collective Panic," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
    41. Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
    42. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    43. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
    44. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    45. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    46. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
    47. Yi-Hsuan Chen & Kehluh Wang & Anthony Tu, 2011. "Default correlation at the sovereign level: evidence from some Latin American markets," Applied Economics, Taylor & Francis Journals, vol. 43(11), pages 1399-1411.
    48. Lucia Bellenzier & J{o}rgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Papers 1602.07452, arXiv.org.
    49. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2019. "Financial integration in the GCC region: market size versus national effects," CESifo Working Paper Series 7686, CESifo.
    50. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    51. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    52. Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.
    53. Jung, Sean S. & Chang, Woojin, 2016. "Clustering stocks using partial correlation coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 410-420.
    54. Chang, Guang-Di & Cheng, Po-Ching, 2016. "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, vol. 58(C), pages 219-226.
    55. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    56. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    57. Michał Adam, 2013. "Spillovers and contagion in the sovereign CDS market," Bank i Kredyt, Narodowy Bank Polski, vol. 44(6), pages 571-604.
    58. Mollah, Sabur & Quoreshi, A.M.M. Shahiduzzaman & Zafirov, Goran, 2016. "Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 151-167.
    59. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
    60. Nguyen, Dat Thanh & Phan, Dinh Hoang Bach & Ming, Tee Chwee & Nguyen, Van Ky Long, 2021. "An assessment of how COVID-19 changed the global equity market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 480-491.
    61. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    62. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    63. Boamah, Nicholas Addai & Watts, Edward & Loudon, Geoffrey, 2017. "Regionally integrated asset pricing on the African stock markets: Evidence from the Fama French and Carhart models," Journal of Economics and Business, Elsevier, vol. 92(C), pages 29-44.
    64. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    65. Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
    66. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
    67. Tsai, I-C., 2014. "Spillover of fear: Evidence from the stock markets of five developed countries," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 281-288.
    68. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    69. Andrea Cipollini & Iolanda Lo Cascio, 2010. "Testing for Contagion: a Time-Scale Decomposition," Center for Economic Research (RECent) 047, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    70. Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009. "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 607-619.
    71. Ndiweni, Zinzile Lorna & Bonga-Bonga, Lumengo, 2022. "Contagion or decoupling? Evidence from emerging stock markets," MPRA Paper 115170, University Library of Munich, Germany.
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    97. Bartosz Gębka & Michail Karoglou, 2013. "Is there life in the old dogs yet? Making break-tests work on financial contagion," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 485-507, April.
    98. Fabio Pisani & Giorgia Russo, 2021. "Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis," Sustainability, MDPI, vol. 13(23), pages 1-18, November.
    99. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
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    101. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
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    106. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    107. Mink, Mark, 2015. "Measuring stock market contagion: Local or common currency returns?," Emerging Markets Review, Elsevier, vol. 22(C), pages 18-24.
    108. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the World's Stock Exchanges Seen as a Set of Coupled Oscillators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215620, HAL.
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  161. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Economics and Finance Discussion Papers 04-21, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    2. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    3. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks," CESifo Working Paper Series 10018, CESifo.

  162. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Economics and Finance Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Julian Ramajo & Montserrat Ferre, 2010. "Purchasing power parity revisited: evidence from old and new tests for an organisation for economic co-operation and development panel," Applied Economics, Taylor & Francis Journals, vol. 42(17), pages 2243-2260.
    2. Herzer, Dierk, 2014. "Unions and income inequality: a heterogenous cointegration and causality analysis," Working Paper 146/2014, Helmut Schmidt University, Hamburg.
    3. Guglielmo Maria Caporale & Christoph Hanck, 2010. "Are PPP tests erratically behaved? Some panel evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
    4. Luis Alberiko Gil-Alaña & Guiglielmo Maria Caporale, 2012. "Testing the PPP Hypothesis in the Sub-Saharan Countries," NCID Working Papers 10/2012, Navarra Center for International Development, University of Navarra.
    5. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
    6. Guglielmo Maria Caporale & Andros Gregoriou, 2009. "Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 223-226.
    7. Edward Bernard Bastiaan de Rivera y Rivera & Diógenes Manoel Leiva Martin & Emerson Fernandes Marçal & Leonardo Fernando Cruz Basso, 2012. "Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 51-86, October.
    8. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
    9. Herzer, Dierk, 2015. "The long-run effect of foreign direct investment on total factor productivity in developing countries: A panel cointegration analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112827, Verein für Socialpolitik / German Economic Association.
    10. Miles, William, 2020. "House price convergence in the euro zone: A pairwise approach," Economic Systems, Elsevier, vol. 44(3).
    11. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
    12. Woo, Kai-Yin & Lee, Shu-Kam, 2009. "Detecting intra-national PPP model in China: A median-unbiased estimation approach," Economic Modelling, Elsevier, vol. 26(5), pages 1029-1032, September.
    13. Herzer, Dierk & Strulik, Holger, 2013. "Religiosity and income: A panel cointegration and causality analysis," University of Göttingen Working Papers in Economics 168, University of Goettingen, Department of Economics.
    14. Ryan Greenaway‐McGrevy & Nelson C. Mark & Donggyu Sul & Jyh‐Lin Wu, 2018. "Identifying Exchange Rate Common Factors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 2193-2218, November.
    15. Norkutė, Milda & Westerlund, Joakim, 2021. "The factor analytical approach in near unit root interactive effects panels," Journal of Econometrics, Elsevier, vol. 221(2), pages 569-590.
    16. Herzer, Dierk, 2014. "The long-run relationship between trade and population health: evidence from five decades," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100441, Verein für Socialpolitik / German Economic Association.
    17. Luke Lin & Chun I. Lee, 2016. "Central Bank Intervention, Exchange Rate Regime and the Purchasing Power Parity," The World Economy, Wiley Blackwell, vol. 39(8), pages 1256-1274, August.
    18. Paweł Baranowski, 2005. "Wpływ inflacji na inwestycje w kapitał rzeczowy w krajach Unii Europejskiej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 11-12, pages 19-30.
    19. Bahram Adrangi & Mary E. Allender & Kambiz Raffiee, 2011. "Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-16, April.
    20. Luzzati, Tommaso & Orsini, Marco & Gucciardi, Gianluca, 2018. "A multiscale reassessment of the Environmental Kuznets Curve for energy and CO2 emissions," Energy Policy, Elsevier, vol. 122(C), pages 612-621.
    21. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.

  163. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Non-Linearities and Fractional Integration in the US Unemployment Rate," Discussion Paper Series 26232, Hamburg Institute of International Economics.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2020. "Inflation in the G7 Countries: Persistence and Structural Breaks," CESifo Working Paper Series 8349, CESifo.
    2. Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
    3. Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2015. "Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates," Working Papers 201574, University of Pretoria, Department of Economics.
    4. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
    5. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
    6. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
    7. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Post-Print halshs-00185369, HAL.
    8. Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Post-Print halshs-00390134, HAL.
    9. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    10. Juan Carlos Cuestas & Luis A. Gil-Alana, 2012. "A Non-Linear Approach with Long Range Dependence Based on Chebyshev Polynomials," Working Papers 2012013, The University of Sheffield, Department of Economics.
    11. Marika Karanassou & Hector Sala & Dennis J. Snower, 2006. "Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective," Working Papers 573, Queen Mary University of London, School of Economics and Finance.
    12. Nautz, Dieter & Scheithauer, Jan, 2010. "Monetary policy implementation and overnight rate persistence," Discussion Papers 2010/26, Free University Berlin, School of Business & Economics.
    13. Yaya, OlaOluwa A & Gil-Alana, Luis A., 2018. "Modelling Long Range Dependence and Non-linearity in the Infant Mortality Rates of Africa Countries," MPRA Paper 88752, University Library of Munich, Germany.
    14. Cuestas, Juan Carlos & Regis, Paulo José, 2013. "Purchasing power parity in OECD countries: Nonlinear unit root tests revisited," Economic Modelling, Elsevier, vol. 32(C), pages 343-346.
    15. Kurmaş Akdoğan, 2017. "Unemployment hysteresis and structural change in Europe," Empirical Economics, Springer, vol. 53(4), pages 1415-1440, December.
    16. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
    17. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    18. Pérez-Alonso Alicia & Di Sanzo Silvestro, 2010. "Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-29, December.
    19. Petre CARAIANI, 2015. "Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-92, March.
    20. Congregado, Emilio & Garcia-Clemente, Javier & Rubino, Nicola & Vilchez, Inmaculada, 2023. "Testing hysteresis for the US and UK involuntary part-time employment," MPRA Paper 118115, University Library of Munich, Germany.
    21. Rangan Gupta & Christophe André & Luis Gil-Alana, 2015. "Comovement in Euro area housing prices: A fractional cointegration approach," Urban Studies, Urban Studies Journal Limited, vol. 52(16), pages 3123-3143, December.
    22. Lee, Cheng-Feng & Hu, Te-Chung & Li, Ping-Cheng & Tsong, Ching-Chuan, 2013. "Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test," Japan and the World Economy, Elsevier, vol. 28(C), pages 72-84.
    23. Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017. "Long memory in Turkish Unemployment Rates," MPRA Paper 81571, University Library of Munich, Germany.
    24. Dritero Arifi & Hajdi Xhixha & Florin Aliu, 2023. "Testing Okun’s Law: Evidence From the Western Balkan Countries," SAGE Open, , vol. 13(4), pages 21582440231, November.
    25. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
    26. Moses Kpughur Tule & Moses Onyema Oduh & Charles Chike Chiemeke & Obiageri Christiana Ndukwe, 2018. "An Assessment of the Severity of Unemployment in Nigeria: Evidence from Fractional Integration," Journal of African Business, Taylor & Francis Journals, vol. 19(1), pages 39-61, January.
    27. Kurmaş Akdoğan, 2015. "Unemployment Hysteresis and Structural Change in Europe," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey 266, Ekonomik Yaklasim Association.
    28. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    29. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
    30. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
    31. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    32. Cheng, Ka Ming, 2022. "Doubts on natural rate of unemployment: Evidence and policy implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 230-239.
    33. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016. "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers 201683, University of Pretoria, Department of Economics.
    34. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    35. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
    36. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015. "Modelling African inflation rates: nonlinear deterministic terms and long-range dependence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 421-424, March.
    37. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.
    38. Chang, Ming-Jen & Su, Che-Yi, 2014. "Hysteresis versus natural rate in Taiwan's unemployment: Evidence from the educational attainment categories," Economic Modelling, Elsevier, vol. 43(C), pages 293-304.
    39. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
    40. Amaia Altuzarra, 2015. "Measuring Unemployment Persistence by Age and Gender," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 110-133, December.
    41. Lee, Cheng-Feng, 2010. "Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence," Economic Modelling, Elsevier, vol. 27(5), pages 1097-1102, September.
    42. Yoon, Gawon, 2009. "It's all the miners' fault: On the nonlinearity in U.S. unemployment rates," Economic Modelling, Elsevier, vol. 26(6), pages 1449-1454, November.
    43. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    44. Marianna Oliskevych & Iryna Lukianenko, 2020. "European unemployment nonlinear dynamics over the business cycles: Markov switching approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 22(4), pages 375-401.
    45. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
    46. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    47. Cevik, Emrah Ismail & Dibooglu, Sel, 2013. "Persistence and non-linearity in US unemployment: A regime-switching approach," Economic Systems, Elsevier, vol. 37(1), pages 61-68.
    48. Sami Saafi & Meriem Haj mohamed & Abdeljelil Farhat, 2015. "Is there a causal relationship between unemployment and informal economy in Tunisia: evidence from linear and non-linear Granger causality," Economics Bulletin, AccessEcon, vol. 35(2), pages 1191-1204.
    49. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Faculty Working Papers 20/12, School of Economics and Business Administration, University of Navarra.
    50. Cheung, Ying Lun, 2020. "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, vol. 187(C).
    51. Aviral Tiwari, 2014. "Unemployment hysteresis in Australia: evidence using nonlinear and stationarity tests with breaks," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(2), pages 681-695, March.
    52. Chang, Tsangyao & Lee, Chia-Hao, 2011. "Hysteresis in Unemployment for G-7 Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-14, December.
    53. Ebuh U. Godday & Nuruddeen Usman & Afees A. Salisu, 2022. "Testing for unemployment persistence in Nigeria," Economic Change and Restructuring, Springer, vol. 55(4), pages 2605-2630, November.

  164. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.

    Cited by:

    1. Rutayisire, J.Musoni, 2021. "Public debt dynamics and nonlinear effects on economic growth : evidence from Rwanda," MPRA Paper 110931, University Library of Munich, Germany.
    2. Jacob Otim & Susan Watundu & John Mutenyo & Vincent Bagire, 2023. "Fossil Fuel Energy Consumption, Economic Growth, Urbanization, and Carbon Dioxide Emissions in Kenya," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 457-468, May.
    3. Abul, Sadeq & Al-Kandari, Ahmad M., 2020. "Real Estate Market and Macroeconomic Factors in Kuwait: An ARDL Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 405-434.

  165. Guglielmo Maria Caporale, & Peter G. A Howells, & Alaa M. Soliman,, 2003. "Endogenous growth and Stock Market Development," Working Papers 0302, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.

    Cited by:

    1. , Aisdl, 2019. "Stock Market And Economic Growth In Vietnam," OSF Preprints ucbhp, Center for Open Science.
    2. Wycliffe Mukulu Musyoka & Evans Geoffrey Mogeni & David Musimbi Murunga & Pollyne Mbithe Mutunga, 2018. "Effect of Stock Market Development on Economic Growth: A Case of Nairobi Securities Exchange, Kenya," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 3(5), pages 59-70, May.
    3. Md. Qamruzzaman & Jianguo Wei, 2018. "Financial Innovation, Stock Market Development, and Economic Growth: An Application of ARDL Model," IJFS, MDPI, vol. 6(3), pages 1-30, August.

  166. G. Caporale & K. Hristov & J. Miller & Nikolay Nenovsky & B. Petrov, 2002. "The Banking System in Bulgaria," Post-Print halshs-00259479, HAL.

    Cited by:

    1. Aleksandar Zdravkov Vasilev, 2009. "Business cycles in Bulgaria and the Baltic countries: an RBC approach," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(2), pages 148-170.
    2. M. Berlemann & Nikolay Nenovsky, 2004. "Lending of First versus Lending of Last Resort: The Bulgarian Financial Crisis of 1996/1997," Post-Print halshs-00259740, HAL.
    3. Nikolay Nenovsky & Petar Chobanov & Gergana Mihaylova & Darina Koleva, 2008. "Efficiency of the Bulgarian Banking System: Traditional Approach and Data Envelopment Analysis," Working paper series 12008en, Agency for Economic Analysis and Forecasting.

  167. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Unemployment and input prices: A fractional cointegration approach," SFB 373 Discussion Papers 2001,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    2. Burcu Kiran, 2011. "Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 177-189.
    3. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    4. Wang, Kai-Hua & Liu, Lu & Li, Xin & Oana-Ramona, Lobonţ, 2022. "Do oil price shocks drive unemployment? Evidence from Russia and Canada," Energy, Elsevier, vol. 253(C).
    5. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    6. Juan Carlos Cuestas, 2016. "The impact of supply shocks on unemployment in Spain," Economics and Business Letters, Oviedo University Press, vol. 5(4), pages 107-112.
    7. Abdulmohsen Alfalih, Abdullah & Bel Hadj, Tarek, 2021. "Asymmetric effects of foreign direct investment on employment in an oil producing country: Do human capital, institutions and oil rents matter?," Resources Policy, Elsevier, vol. 70(C).
    8. Cuestas, Juan Carlos & Gil-Alana, Luis A., 2018. "Oil price shocks and unemployment in Central and Eastern Europe," Economic Systems, Elsevier, vol. 42(1), pages 164-173.
    9. Burcu Kiran, 2013. "A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(2), pages 1077-1084, February.
    10. Luis Alberiko Gil-Alana & Pedro Garcia-del-Barrio, 2006. "New Revelations about Unemployment Persistence in Spain," Faculty Working Papers 10/06, School of Economics and Business Administration, University of Navarra.
    11. Kocaarslan, Baris & Soytas, Mehmet Ali & Soytas, Ugur, 2020. "The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US," Energy Economics, Elsevier, vol. 86(C).
    12. María Isabel Rodríguez-Ferradas & José A. Alfaro-Tanco & Francesco Sandulli, 2016. "A framework for Open Innovation practices: Typology and characterisation," Faculty Working Papers 02/16, School of Economics and Business Administration, University of Navarra.
    13. Nusair, Salah A., 2020. "The asymmetric effects of oil price changes on unemployment: Evidence from Canada and the U.S," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    14. Ordóñez, Javier & Monfort, Mercedes & Cuestas, Juan Carlos, 2019. "Oil prices, unemployment and the financial crisis in oil-importing countries: The case of Spain," Energy, Elsevier, vol. 181(C), pages 625-634.

  168. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000. "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics 00/11, Division of Economics, School of Business, University of Leicester, revised Feb 2002.

    Cited by:

    1. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
    2. Eijffinger, S.C.W. & Goderis, B.V.G., 2008. "The effect of monetary policy on exchange rates during currency crises : The role of debt, institutions and financial openness," Other publications TiSEM 4302d92e-464e-40f4-b67e-a, Tilburg University, School of Economics and Management.
    3. Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    4. Enzo Weber, 2007. "Volatility and Causality in Asia Pacific Financial Markets," SFB 649 Discussion Papers SFB649DP2007-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Hizir Sofyan & M. Shabri Abd. Majid & Moh. Rizky Rahmanda, 2019. "Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(1), March.
    6. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    8. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
    9. Guimaraes, Bernardo & ,, 2007. "Monetary Policy, Default Risk and the Exchange Rate," CEPR Discussion Papers 6501, C.E.P.R. Discussion Papers.
    10. Elien Meuleman & Rudi Vander Vennet, 2020. "Macroprudential policy, monetary policy and Eurozone bank risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/1004, Ghent University, Faculty of Economics and Business Administration.
    11. Takatoshi Ito & Kiyotaka Sato, 2008. "Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1407-1438, October.
    12. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    13. Takatoshi Ito & Kiyotaka Sato, 2006. "Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through," Discussion papers 06018, Research Institute of Economy, Trade and Industry (RIETI).
    14. Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    15. Takagi, Shinji & Pham, Thi Hoang Anh, 2011. "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, vol. 22(6), pages 507-517.
    16. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
    17. Benedikt Goderis & Vasso P. Ioannidou, 2006. "Do High Interest Rates Defend Currencies During Speculative Attacks? New evidence," CSAE Working Paper Series 2006-11, Centre for the Study of African Economies, University of Oxford.
    18. Kerstin Bernoth & Helmut Herwartz, 2019. "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin 1792, DIW Berlin, German Institute for Economic Research.
    19. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    20. Abd. Majid, M. Shabri & Sofyan, Hizir & Rahmanda, Moh. Rizky, 2018. "Dynamic Interdependence of the Indonesian Rupiah with the ASEAN and the World Largest Forex Markets," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 57-66.
    21. Erdoğan, Seyfettin & Karacan, Rıdvan & Alpaslan, Barış, 2013. "Interest Rates, Exchange Rates and Macroeconomic Performance," MPRA Paper 50838, University Library of Munich, Germany.
    22. Abouwafia, Hashem E. & Chambers, Marcus J., 2015. "Monetary policy, exchange rates and stock prices in the Middle East region," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 14-28.
    23. Shiu-Sheng Chen, 2003. "Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach," International Finance 0303002, University Library of Munich, Germany, revised 05 Apr 2003.
    24. Amir Khordehfrosh Dilmaghani & Amir Mansour Tehranchian, 2015. "The Impact of Monetary Policies on the Exchange Rate: A GMM Approach," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(2), pages 177-191, Spring.
    25. nnamdi, Kelechi & ifionu, Ebele, 2013. "Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)," MPRA Paper 48316, University Library of Munich, Germany, revised 2013.
    26. Panicos O. Demetriades & Svetlana Andrianova, 2005. "Sources and Effectiveness of Financial Development: What We Know and What We Need to Know," WIDER Working Paper Series RP2005-76, World Institute for Development Economic Research (UNU-WIDER).
    27. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    28. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    29. Gylfi Zoega, 2009. "A double-edged sword. High interest rates in capital-control regimes," Economics wp47, Department of Economics, Central bank of Iceland.
    30. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    31. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    32. Eda Gulsen & Ibrahim Burak Kanli & Neslihan Kaya, 2010. "Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz," CBT Research Notes in Economics 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    33. Bettina Becker & Stephan G Hall, 2005. "Non-Linear Properties of Currency Crises in Emerging Markets," Money Macro and Finance (MMF) Research Group Conference 2005 13, Money Macro and Finance Research Group.
    34. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
    35. International Monetary Fund, 2004. "Once Again, is Openness Good for Growth?," IMF Working Papers 2004/135, International Monetary Fund.
    36. Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    37. Matthys, Thomas & Meuleman, Elien & Vander Vennet, Rudi, 2020. "Unconventional monetary policy and bank risk taking," Journal of International Money and Finance, Elsevier, vol. 109(C).
    38. Alibey Kudar, 2021. "Interest rate as the last link of chain during crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3189-3203, April.
    39. Ramkishen S. Rajan & Makarand Parulkar, 2008. "Real Sector Shocks and Monetary Policy Responses in a Financially Vulnerable Emerging Economy," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(3), pages 21-33, May.
    40. Samuel Federico Kaplan & Arin Kerim Peren & Polyzos Efstathios & Spagnolo Nicola, 2022. "Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence," Asociación Argentina de Economía Política: Working Papers 4571, Asociación Argentina de Economía Política.
    41. Luis-Felipe Zanna, 2006. "Fighting against currency depreciation, macroeconomic instability and sudden stops," International Finance Discussion Papers 848, Board of Governors of the Federal Reserve System (U.S.).
    42. Gonçalves, Carlos Eduardo & Guimaraes, Bernardo Guimaraes, 2011. "Monetary policy, default risk and the exchange rate in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(1), March.
    43. Ágúst Arnórsson & Gylfi Zoega, 2015. "Do Interest Rates Affect the Exchange Rate under Capital Controls? An event study of Iceland’s experience with capital controls," Economics wp70, Department of Economics, Central bank of Iceland.
    44. Auyo Musa, Abdulhamid & Rafindadi Sanusi, Aliyu, 2021. "Relationship Between Interest Rate And Exchange Rate In Nigeria: Does The Banking Sector Debt Level Matter?," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 8(2), pages 89-103, June.

  169. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    2. Burcu Kiran, 2011. "Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 177-189.
    3. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Fractional Cointegration in US Term Spreads," Discussion Papers of DIW Berlin 981, DIW Berlin, German Institute for Economic Research.
    5. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
    6. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector‐Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 668-686, June.
    7. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    8. Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017. "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers 2017-93, Kiel Institute for the World Economy (IfW Kiel).
    9. McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
    10. Théophile T. Azomahou & Tapas Mishra & Mamata Parhi, 2015. "Economic Growth under Stochastic Population and Pollution Shocks," Manchester School, University of Manchester, vol. 83(3), pages 314-345, June.
    11. Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
    12. Tsangyao Chang & Chi-Chen Chiu & Chien-Chung Nieh, 2007. "Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test," Applied Economics Letters, Taylor & Francis Journals, vol. 14(7), pages 517-521.
    13. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
    14. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
    15. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    16. Koustas, Zisimos & Serletis, Apostolos, 2005. "Rational bubbles or persistent deviations from market fundamentals?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2523-2539, October.
    17. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    18. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
    19. Guglielmo Maria Caporale & Luis Gil-Alana, 2002. "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 347-351.
    20. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    21. Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
    22. Tayebeh Sadat Tabatabaei & Pedram Asef, 2021. "Evaluation of Energy Price Liberalization in Electricity Industry: A Data-Driven Study on Energy Economics," Energies, MDPI, vol. 14(22), pages 1-19, November.
    23. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    24. Burcu Kiran, 2013. "A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(2), pages 1077-1084, February.
    25. Shu-Ching Cheng & Tsung-Pao Wu, 2013. "Nonlinear Behavior of the US Stock Price-Dividend: Evidence from Threshold Unit Root Tests," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 82-93, December.
    26. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    27. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.
    28. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
    29. Gerdesmeier Dieter & Roffia Barbara & Reimers Hans-Eggert, 2010. "Applying a New Bubble Test for a Composite Indicator," Folia Oeconomica Stetinensia, Sciendo, vol. 9(1), pages 1-23, January.
    30. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
    31. McMillan, David G., 2006. "The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model," Economics Letters, Elsevier, vol. 91(3), pages 408-412, June.
    32. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 13-04, Asociación Española de Economía y Finanzas Internacionales.
    33. Evans, Mark, 2011. "Steel consumption and economic activity in the UK: The integration and cointegration debate," Resources Policy, Elsevier, vol. 36(2), pages 97-106, June.
    34. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
    35. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    36. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    37. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  170. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and real exchange rates," SFB 373 Discussion Papers 2000,69, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Luis Alberiko Gil-Alaña & Guiglielmo Maria Caporale, 2012. "Testing the PPP Hypothesis in the Sub-Saharan Countries," NCID Working Papers 10/2012, Navarra Center for International Development, University of Navarra.
    2. Lorenzo Reus & Guillermo Alexander Sepúlveda-Hurtado, 2023. "Foreign exchange trading and management with the stochastic dual dynamic programming method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
    3. Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," Working Papers halshs-00793503, HAL.
    4. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
    5. Luis A. Gil-Alana & Jiang Liang, 2011. "The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency," Faculty Working Papers 13/11, School of Economics and Business Administration, University of Navarra.
    6. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2018. "Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB," Research in International Business and Finance, Elsevier, vol. 44(C), pages 227-238.
    7. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    8. Carlos P. Barros & Luis Alberiko Gil-Alana & João Faria, 2015. "Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co-Integration in the USA and South African Rates," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 569-575, December.
    9. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
    10. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    11. Galeotti, Marzio & Manera, Matteo & Lanza, Alessandro, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Climate Change Modelling and Policy Working Papers 12045, Fondazione Eni Enrico Mattei (FEEM).

Articles

  1. Christina Anderl & Guglielmo Maria Caporale, 2023. "Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts," Manchester School, University of Manchester, vol. 91(3), pages 171-232, June.
    See citations under working paper version above.
  2. Christina Anderl & Guglielmo Maria Caporale, 2023. "Shadow rates as a measure of the monetary policy stance: Some international evidence," Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(5), pages 399-422, November.
    See citations under working paper version above.
  3. Caporale, Guglielmo Maria & Spagnolo, Nicola & Almajali, Awon, 2023. "Connectedness between fossil and renewable energy stock indices: The impact of the COP policies," Economic Modelling, Elsevier, vol. 123(C).

    Cited by:

    1. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran & Li, Yanshuang, 2023. "Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach," Energy Economics, Elsevier, vol. 127(PA).

  4. Guglielmo Maria Caporale & Alex Plastun, 2023. "Witching days and abnormal profits in the us stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2182016-218, December.
    See citations under working paper version above.
  5. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Emmanuel Joel Aikins Abakah, 2023. "US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach," Applied Economics, Taylor & Francis Journals, vol. 55(3), pages 283-292, January.
    See citations under working paper version above.
  6. Anderl, Christina & Caporale, Guglielmo Maria, 2023. "Nonlinearities in the exchange rate pass-through: The role of inflation expectations," International Economics, Elsevier, vol. 173(C), pages 86-101.
    See citations under working paper version above.
  7. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2022. "The effects of us covid-19 policy responses on cryptocurrencies, fintech and artificial intelligence stocks: A fractional integration analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2159736-215, December.

    Cited by:

    1. Abderahman Rejeb & Karim Rejeb & Khalil Alnabulsi & Suhaiza Zailani, 2023. "Tracing Knowledge Diffusion Trajectories in Scholarly Bitcoin Research: Co-Word and Main Path Analyses," JRFM, MDPI, vol. 16(8), pages 1-23, July.

  8. Caporale, Guglielmo Maria & Sova, Anamaria Diana & Sova, Robert, 2022. "The direct and indirect effects of financial development on international trade: Evidence from the CEEC-6," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    See citations under working paper version above.
  9. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
    See citations under working paper version above.
  10. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Miguel Ángel Martin-Valmayor, 2022. "Non-linearities and persistence in US long-run interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 29(4), pages 366-370, February.
    See citations under working paper version above.
  11. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana & Tommaso Trani, 2022. "On the persistence of UK inflation: A long‐range dependence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 439-454, January.
    See citations under working paper version above.
  12. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    See citations under working paper version above.
  13. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2022. "The COVID-19 pandemic, policy responses and stock markets in the G20," International Economics, CEPII research center, issue 172, pages 77-90.
    See citations under working paper version above.
  14. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2022. "Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(5), pages 1502-1514, April.

    Cited by:

    1. Hsiang-Hsi Liu & Chien-Kuo Tseng, 2022. "Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 101-121.
    2. Dosse Toulaboe, 2022. "Cointegration of Equity Markets in Three Country Groups of OECD Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(1), pages 11-31.

  15. Christina Anderl & Guglielmo Maria Caporale, 2022. "Testing for UIP-Type Relationships: Nonlinearities, Monetary Announcements and Interest Rate Expectations," Open Economies Review, Springer, vol. 33(4), pages 705-749, September.

    Cited by:

    1. Daniel Gründler & Eric Mayer & Johann Scharler, 2021. "Monetary Policy Announcements, Information Schocks, and Exchange Rate Dynamics," Working Papers 2021-16, Faculty of Economics and Statistics, Universität Innsbruck.

  16. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Poza, Carlos, 2022. "The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 118-123.
    See citations under working paper version above.
  17. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022. "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, vol. 79(C).

    Cited by:

    1. Türker Açıkgöz & Özge Sezgin Alp, 2023. "The Impact of Oil Prices on The Transportation Industry Stock Returns: The Case of the Turkish Equity Market," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 8(3), pages 425-439.

  18. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2022. "Persistence in ESG and conventional stock market indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 678-703, October.
    See citations under working paper version above.
  19. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
    See citations under working paper version above.
  20. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    See citations under working paper version above.
  21. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.

    Cited by:

    1. Ionut Jianu, 2022. "Economic development and environmental degradation: A panel ARDL/PMG model for EU-27 countries," Journal of Financial Studies, Institute of Financial Studies, vol. 13(7), pages 120-131, November.
    2. Mohammed Musah, 2023. "Stock market development and environmental quality in EU member countries: a dynamic heterogeneous approach," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(10), pages 11153-11187, October.
    3. Jianu, Ionut, 2022. "Economic development and environmental degradation: A panel ARDL/PMG model for EU-27 countries," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 7(13), pages 120-131.

  22. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2021. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis," Empirical Economics, Springer, vol. 60(2), pages 539-555, February.
    See citations under working paper version above.
  23. Caporale, Guglielmo Maria & Kang, Woo-Young, 2021. "On the preferences of CoCo bond buyers and sellers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    See citations under working paper version above.
  24. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Maria Malmierca, 2021. "Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 53(43), pages 5018-5027, September.
    See citations under working paper version above.
  25. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
    See citations under working paper version above.
  26. Alanoud Al‐Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2021. "Political tension and stock markets in the Arabian Peninsula," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 679-683, January.
    See citations under working paper version above.
  27. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2021. "Persistence in the market risk premium: evidence across countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 413-427, July.
    See citations under working paper version above.
  28. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
    See citations under working paper version above.
  29. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2021. "Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 36(2), pages 185-202.
    See citations under working paper version above.
  30. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    See citations under working paper version above.
  31. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2020. "Financial Integration in the GCC Region: Market Size Versus National Effects," Open Economies Review, Springer, vol. 31(2), pages 309-316, April.
    See citations under working paper version above.
  32. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    See citations under working paper version above.
  33. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "Persistence, non-linearities and structural breaks in European stock market indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 50-61.
    See citations under working paper version above.
  34. Guglielmo Maria Caporale & Luis Gil‐Alana, 2020. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 174-185, June.
    See citations under working paper version above.
  35. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "Non-linearities, cyber attacks and cryptocurrencies," Finance Research Letters, Elsevier, vol. 32(C).
    See citations under working paper version above.
  36. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Tripathy, Trilochan, 2020. "Volatility persistence in the Russian stock market," Finance Research Letters, Elsevier, vol. 32(C).

    Cited by:

    1. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    2. Lorraine Muguto & Paul-Francois Muzindutsi, 2022. "A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets," JRFM, MDPI, vol. 15(2), pages 1-27, February.
    3. Bai, Lan & Wei, Yu & Wei, Guiwu & Li, Xiafei & Zhang, Songyun, 2021. "Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective," Finance Research Letters, Elsevier, vol. 40(C).
    4. Liu, Jiatong & Mao, Weifang & Qiao, Xingzhi, 2023. "Dynamic and asymmetric effects between carbon emission trading, financial uncertainties, and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    5. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

  37. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana, 2020. "Fractional Integration and the Persistence of UK Inflation, 1210–2016," Economic Papers, The Economic Society of Australia, vol. 39(2), pages 162-166, June.

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2020. "Inflation in the G7 Countries: Persistence and Structural Breaks," CESifo Working Paper Series 8349, CESifo.

  38. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Helmi, Mohamad Husam & Menla Ali, Faek & Tajik, Mohammad, 2020. "The bank lending channel in the Malaysian Islamic and conventional banking system," Global Finance Journal, Elsevier, vol. 45(C).

    Cited by:

    1. Amine Tarazi & Pejman Abedifar, 2020. "Special Issue on Islamic Banking: Stability and Governance," Post-Print hal-03543707, HAL.
    2. Kabir, Anis & Abdul Rehman Shah, Syed Muhammad & Hassan, M. Kabir & Akmal, Muhammad, 2022. "The Transmission Mechanism of Monetary Policy via Bank’ Balance Sheet: An Empirical Study of Dual Banking System in Pakistan," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(2), pages 129-140.
    3. Khan, Abdullah & Rizvi, Syed Aun R. & Ali, Mohsin & Haroon, Omair, 2021. "A survey of Islamic finance research – Influences and influencers," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    4. Deimantė Teresienė & Greta Keliuotytė-Staniulėnienė & Rasa Kanapickienė, 2021. "Sustainable Economic Growth Support through Credit Transmission Channel and Financial Stability: In the Context of the COVID-19 Pandemic," Sustainability, MDPI, vol. 13(5), pages 1-34, March.
    5. Ferry Syarifuddin, 2022. "Is Islamic Banks Better Than Conventional Banks In The Time Of Uncertainty?," Working Papers WP/06/2022, Bank Indonesia.
    6. Elsayed, Ahmed H. & Ahmed, Habib & Husam Helmi, Mohamad, 2023. "Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    7. Hunjra, Ahmed Imran & Islam, Faridul & Verhoeven, Peter & Hassan, M. Kabir, 2022. "The impact of a dual banking system on macroeconomic efficiency," Research in International Business and Finance, Elsevier, vol. 61(C).

  39. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2019. "UK overseas visitors: Seasonality and persistence," Tourism Economics, , vol. 25(5), pages 827-831, August.

    Cited by:

    1. Luis A Gil-Alana & James E Payne, 2022. "Persistence, seasonality, and fractional integration within a nonlinear framework: Evidence from US citizens’ overseas travel," Tourism Economics, , vol. 28(3), pages 654-660, May.
    2. James E Payne & Junsoo Lee, 2024. "Global perspective on the permanent or transitory nature of shocks to tourist arrivals: Evidence from new unit root tests with structural breaks and factors," Tourism Economics, , vol. 30(1), pages 67-103, February.

  40. Guglielmo Maria Caporale & Alex Plastun, 2019. "On stock price overreactions: frequency, seasonality and information content," Journal of Applied Economics, Taylor & Francis Journals, vol. 22(1), pages 602-621, January.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2021. "The frequency of one-day abnormal returns and price fluctuations in the forex," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 401-415, January.
    2. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market," Working Papers 202016, University of Pretoria, Department of Economics.
    3. Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.

  41. Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
    See citations under working paper version above.
  42. Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2019. "Bitcoin fluctuations and the frequency of price overreactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 109-131, June.
    See citations under working paper version above.
  43. Caporale, Guglielmo Maria & Zekokh, Timur, 2019. "Modelling volatility of cryptocurrencies using Markov-Switching GARCH models," Research in International Business and Finance, Elsevier, vol. 48(C), pages 143-155.
    See citations under working paper version above.
  44. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2019. "Long-term interest rates in Europe: A fractional cointegration analysis," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 170-178.

    Cited by:

    1. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    2. Curto, Domenico & Favuzza, Salvatore & Franzitta, Vincenzo & Guercio, Andrea & Amparo Navarro Navia, Milagros & Telaretti, Enrico & Zizzo, Gaetano, 2022. "Grid Stability Improvement Using Synthetic Inertia by Battery Energy Storage Systems in Small Islands," Energy, Elsevier, vol. 254(PC).
    3. Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020. "Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR," MPRA Paper 102190, University Library of Munich, Germany, revised 02 Aug 2020.

  45. Caporale, Guglielmo Maria & Plastun, Alex, 2019. "The day of the week effect in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 31(C).
    See citations under working paper version above.
  46. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
    See citations under working paper version above.
  47. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).

    Cited by:

    1. Vo, Dinh-Tri, 2021. "Dependency on FDI inflows and stock market linkages," Finance Research Letters, Elsevier, vol. 38(C).
    2. Wu, Tao & Gao, Xiangyun & An, Sufang & Liu, Siyao, 2021. "Time-varying pattern causality inference in global stock markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
    3. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
    4. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
    5. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
    6. Cao, Li & Jiang, Junhua & Piljak, Vanja, 2023. "Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).

  48. Guglielmo Maria Caporale & Ricardo M. Sousa & Mark E. Wohar, 2019. "Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(4), pages 935-976, December.

    Cited by:

    1. Jie Chen & William Hardin & Mingzhi Hu, 2020. "Housing, Wealth, Income and Consumption: China and Homeownership Heterogeneity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 373-405, June.
    2. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    3. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2018. "Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?," Working Papers 201859, University of Pretoria, Department of Economics.
    4. Christou, Christina & Gupta, Rangan & Jawadi, Fredj, 2021. "Does inequality help in forecasting equity premium in a panel of G7 countries?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    5. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.

  49. Guglielmo Maria Caporale & Luis Gil-Alaña, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
    See citations under working paper version above.
  50. Guglielmo Maria Caporale & Mohamad Husam Helmi, 2018. "Islamic banking, credit, and economic growth: Some empirical evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 456-477, October.
    See citations under working paper version above.
  51. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, vol. 55(3), pages 913-935, November.
    See citations under working paper version above.
  52. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2018. "Exchange rates and macro news in emerging markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 516-527.
    See citations under working paper version above.
  53. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.

    Cited by:

    1. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    2. Cheng, Ka Ming, 2022. "Doubts on natural rate of unemployment: Evidence and policy implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 230-239.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.

  54. Guglielmo Maria Caporale & Luis Gil-Alana & Tommaso Trani, 2018. "Brexit and Uncertainty in Financial Markets," IJFS, MDPI, vol. 6(1), pages 1-9, February.
    See citations under working paper version above.
  55. Caporale, Guglielmo Maria & Carcel, Hector & Gil-Alana, Luis, 2018. "The EMBI in Latin America: Fractional integration, non-linearities and breaks," Finance Research Letters, Elsevier, vol. 24(C), pages 34-41.
    See citations under working paper version above.
  56. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
    See citations under working paper version above.
  57. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018. "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 913-940, April.
    See citations under working paper version above.
  58. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2018. "Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB," Research in International Business and Finance, Elsevier, vol. 44(C), pages 227-238.
    See citations under working paper version above.
  59. Caporale, Guglielmo Maria & Helmi, Mohamad Husam & Çatık, Abdurrahman Nazif & Menla Ali, Faek & Akdeniz, Coşkun, 2018. "Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?," Economic Modelling, Elsevier, vol. 72(C), pages 306-319.
    See citations under working paper version above.
  60. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Macro news and bond yield spreads in the euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 24(2), pages 114-134, January.
    See citations under working paper version above.
  61. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
    See citations under working paper version above.
  62. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana, 2018. "Unemployment in Africa: A Fractional Integration Approach," South African Journal of Economics, Economic Society of South Africa, vol. 86(1), pages 76-81, March.

    Cited by:

    1. Sakiru Adebola Solarin & Luis A. Gil-Alana & Carmen Lafuente, 2020. "Persistence of the Misery Index in African Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 825-841, February.
    2. Iman Cheratian & Saleh Goltabar & Luis A. Gil-Alaña, 2023. "The unemployment hysteresis by territory, gender, and age groups in Iran," SN Business & Economics, Springer, vol. 3(2), pages 1-18, February.
    3. Oladapo Gbenga Awolaja & OlaOluwa Simon Yaya & Ahamuefula Ephraim Ogbonna & Solomon Onuche Joseph & Xuan Vinh Vo, 2021. "Unemployment hysteresis in Middle East and North Africa countries: panel SUR-based unit root test with a Fourier function," Middle East Development Journal, Taylor & Francis Journals, vol. 13(2), pages 318-334, July.
    4. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Mudida, Robert, 2019. "Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test," MPRA Paper 93939, University Library of Munich, Germany.
    5. Asiya Maskaeva & Mgeni Msafiri, 2021. "Youth unemployment hysteresis in South Africa: Macro-micro analysis," WIDER Working Paper Series wp-2021-20, World Institute for Development Economic Research (UNU-WIDER).
    6. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    7. Ebuh U. Godday & Nuruddeen Usman & Afees A. Salisu, 2022. "Testing for unemployment persistence in Nigeria," Economic Change and Restructuring, Springer, vol. 55(4), pages 2605-2630, November.

  63. Caporale, Guglielmo Maria & Alessi, Matteo & Di Colli, Stefano & Lopez, Juan Sergio, 2018. "Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis," Finance Research Letters, Elsevier, vol. 25(C), pages 239-243.

    Cited by:

    1. Hessou, Hélyoth T.S. & Lensink, Robert & Soumaré, Issouf & Tchakoute Tchuigoua, Hubert, 2021. "Provisioning over the business cycle: Some insights from the microfinance industry," International Review of Financial Analysis, Elsevier, vol. 77(C).
    2. Ghosh, Saibal, 2022. "Financial inclusion and banking stability: Does interest rate repression matter?," Finance Research Letters, Elsevier, vol. 50(C).
    3. Skała, Dorota, 2021. "Loan loss provisions and income smoothing – Do shareholders matter?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    4. Albulena Shala & Valentin Toçi & Skender Ahmeti, 2020. "Income smoothing through loan loss provisions in south and Eastern European banks," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 38(2), pages 429-452.
    5. Elizabeth J. Casabianca, 2020. "Credit Supply Response to Non-Performing Loans: Some Evidence From the Italian Banking System," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-3.
    6. Aristei, David & Gallo, Manuela, 2019. "Loan loss provisioning by Italian banks: Managerial discretion, relationship banking, functional distance and bank risk," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 238-256.
    7. Ozili, Peterson K, 2019. "Bank loan loss provisioning during election years in Nigeria," MPRA Paper 96704, University Library of Munich, Germany.
    8. Ozili, Peterson K, 2020. "Bank loan loss provisioning during election years: cross-country evidence," MPRA Paper 96639, University Library of Munich, Germany.
    9. Ozili, Peterson K, 2022. "Bank income smoothing during the COVID-19 pandemic: Evidence from UK Banks," MPRA Paper 115782, University Library of Munich, Germany.
    10. Ozili, Peterson Kitakogelu & Adamu, Ahmed, 2021. "Does financial inclusion reduce non-performing loans and loan loss provisions?," MPRA Paper 109321, University Library of Munich, Germany.
    11. Ozili, Peterson K, 2022. "Economic policy uncertainty, bank nonperforming loans and loan loss provisions: are they correlated?," MPRA Paper 112381, University Library of Munich, Germany.

  64. Guglielmo Maria Caporale & Suman Lodh & Monomita Nandy, 2018. "How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 478-491, October.
    See citations under working paper version above.
  65. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "Macro news and exchange rates in the BRICS," Finance Research Letters, Elsevier, vol. 21(C), pages 140-143.
    See citations under working paper version above.
  66. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, CEPII research center, issue 150, pages 1-18.
    See citations under working paper version above.
  67. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2017. "The weekend effect: a fractional integration and trading robot analysis," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 114-131.

    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo.

  68. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.

    Cited by:

    1. Zhaoyi Xu & Yuqing Zeng & Yangrong Xue & Shenggang Yang, 2022. "Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1293-1315, December.
    2. D. Th. Vezeris & C. J. Schinas & G. Papaschinopoulos, 2018. "Profitability Edge by Dynamic Back Testing Optimal Period Selection for Technical Parameters Optimization, in Trading Systems with Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 761-807, April.

  69. Guglielmo Maria Caporale & Hector Carcel & Luis Gil-Alana, 2017. "Central bank policy rates: Are they cointegrated?," International Economics, CEPII research center, issue 152, pages 116-123.
    See citations under working paper version above.
  70. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    See citations under working paper version above.
  71. Caporale, Guglielmo Maria & Lodh, Suman & Nandy, Monomita, 2017. "The performance of banks in the MENA region during the global financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 583-590.
    See citations under working paper version above.
  72. Luca Agnello & Guglielmo Maria Caporale & Ricardo M. Sousa, 2017. "How Do Fiscal Consolidation And Fiscal Stimuli Impact On The Synchronization Of Business Cycles?," Bulletin of Economic Research, Wiley Blackwell, vol. 69(4), pages 309-329, October.

    Cited by:

    1. Etoundi Atenga, Eric Martial, 2017. "On the Determinants of output Co-movements in the CEMAC Zone:Examining the Role of Trade, Policy Channel, Economic Structure and Common Factors," MPRA Paper 82091, University Library of Munich, Germany.
    2. Vagliasindi,Maria & Gorgulu,Nisan, 2021. "What Have We Learned about the Effectiveness of Infrastructure Investment as a FiscalStimulus ? A Literature Review," Policy Research Working Paper Series 9796, The World Bank.
    3. Ladislava Issever Grochová & Petr Rozmahel & Marek Litzman, 2022. "The Effect of Fiscal Policy Asymmetries on Business Cycle Correlation in the EU," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(3), pages 361-376, September.

  73. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    See citations under working paper version above.
  74. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "International portfolio flows and exchange rate volatility in emerging Asian markets," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 1-15.

    Cited by:

    1. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    2. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.
    3. Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
    4. Chiang, Shu-Mei & Chen, Chun-Da & Huang, Chien-Ming, 2019. "Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 37-48.
    5. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017. "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 260-280.
    6. Yeonjeong Lee & Seong-Min Yoon, 2020. "Relationship between International Reserves and FX Rate Movements," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
    7. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    8. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    9. Özcan KARAHAN & Olcay ÇOLAK, 2019. "The link between financial capital movements and the exchange rate in Turkey," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 263-281, December.
    10. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
    11. Josh Stillwagon & Peter Sullivan, 2020. "Markov switching in exchange rate models: will more regimes help?," Empirical Economics, Springer, vol. 59(1), pages 413-436, July.
    12. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    13. Grebenkina, A. & Khandruev, A., 2021. "Difference in intensity of exchange rate factors in countries with targeting inflation regime," Journal of the New Economic Association, New Economic Association, vol. 51(3), pages 125-143.
    14. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    15. Chen, Chun-Da & Su, Ching-Hui (Joan) & Chen, Ming-Hsiang, 2022. "Understanding how ESG-focused airlines reduce the impact of the COVID-19 pandemic on stock returns," Journal of Air Transport Management, Elsevier, vol. 102(C).
    16. Thong Trung Nguyen & Muhammad Ali Nasir & Xuan Vinh Vo, 2024. "Exchange rate dynamics of emerging and developing economies: Not all capital flows are alike," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1115-1124, January.
    17. Utku Altunoz, 2020. "Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(1), pages 41-54, June.
    18. Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.
    19. Nguyen Ba Trung, 2024. "Exchange rate uncertainty and economic fluctuations in typical emerging economies," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 14(1), pages 88-103.
    20. Yahui Yang & Zhe Peng, 2024. "Openness and Real Exchange Rate Volatility: Evidence from China," Open Economies Review, Springer, vol. 35(1), pages 121-158, February.
    21. Degong Ma & Chun Lei & Farid Ullah & Raza Ullah & Qadar Bakhsh Baloch, 2019. "China’s One Belt and One Road Initiative and Outward Chinese Foreign Direct Investment in Europe," Sustainability, MDPI, vol. 11(24), pages 1-13, December.

  75. Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.

    Cited by:

    1. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.

  76. Caporale, Guglielmo Maria & Cerrato, Mario & Zhang, Xuan, 2017. "Analysing the determinants of insolvency risk for general insurance firms in the UK," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 107-122.

    Cited by:

    1. Noreen, Uzma, 2020. "The Estimation of Risk Management Efficiency and its Determinants," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 54(1), pages 69-79.
    2. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    3. Jhonni Sinaga & Adler Haymans Manurung & Nera Marinda Machdar & John Edward Harly Jacob FoEh, 2023. "Internal and External Determinants of Risk Based Capital," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(2), pages 1-5.
    4. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
    5. Hoang Tien Nguyen & Ai Ngoc Nhan Le & Quang Thu Luu & Ngoc Thi Thanh Nguyen & Khoa Dang Duong, 2023. "Foreign Ownership, Investor Attention and the Risk-Taking Behavior of Property and Casualty Insurance Firms: Evidence From Vietnam," SAGE Open, , vol. 13(4), pages 21582440231, December.
    6. Ignacio Moreno & Purificación Parrado‐Martínez & Antonio Trujillo‐Ponce, 2020. "Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2965-2994, September.
    7. Tomasz Berent & Radosław Rejman, 2021. "Bankruptcy Prediction with a Doubly Stochastic Poisson Forward Intensity Model and Low-Quality Data," Risks, MDPI, vol. 9(12), pages 1-24, December.
    8. Daniel Attah-Kyei & Charles Andoh & Saint Kuttu, 2023. "Risk, technical efficiency and capital requirements of Ghanaian insurers," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-27, December.
    9. Laura Chiaramonte & Alberto Dreassi & Andrea Paltrinieri & Stefano Piserà, 2020. "Sustainability Practices and Stability in the Insurance Industry," Sustainability, MDPI, vol. 12(14), pages 1-25, July.
    10. Md. Nur Alam Siddik & Md. Emran Hosen & Md. Firoze Miah & Sajal Kabiraj & Shanmugan Joghee & Swamynathan Ramakrishnan, 2022. "Impacts of Insurers’ Financial Insolvency on Non-Life Insurance Companies’ Profitability: Evidence from Bangladesh," IJFS, MDPI, vol. 10(3), pages 1-15, September.
    11. Karolina Puławska, 2021. "Financial Stability of European Insurance Companies during the COVID-19 Pandemic," JRFM, MDPI, vol. 14(6), pages 1-16, June.
    12. Yousef Abdel Latif Abdel Jawad & Issam Ayyash, 2019. "Determinants of the Solvency of Insurance Companies in Palestine," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(6), pages 188-195, October.
    13. Barry Sheehan & Christian Humberg & Darren Shannon & Michael Fortmann & Stefan Materne, 2023. "Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 872-905, October.
    14. Mario Cerrato & Paolo Coccorese & Xuan Zhang, 2020. "The Informational Content of Default Risk in UK Insurance Firms," Working Papers 2020_06, Business School - Economics, University of Glasgow.
    15. Anggy Renaldo & Unggul Purwohedi & Gatot Nazir Ahmad, 2021. "Determinants of the Risk-Based Capital of Insurance Companies in Indonesia," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 72-77, September.

  77. Maria Caporale, Guglielmo & Zakirova, Valentina, 2017. "Calendar anomalies in the Russian stock market," Russian Journal of Economics, Elsevier, vol. 3(1), pages 101-108.

    Cited by:

    1. Monika Krawiec & Anna Górska, 2021. "Are soft commodities markets affected by the Halloween effect?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(12), pages 491-499.
    2. Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    3. Samuel Mongrut & Cinzia Delfino, 2019. "Weekend effect and financial characteristics: is there any relation in Latin America?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 509-525, Agosto 20.
    4. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    5. Júlio Lobão & Ana C. Costa, 2023. "The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market," IJFS, MDPI, vol. 11(1), pages 1-11, January.

  78. Guglielmo Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2016. "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 275-295, February.
    See citations under working paper version above.
  79. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
    See citations under working paper version above.
  80. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2016. "Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate," Journal of International Development, John Wiley & Sons, Ltd., vol. 28(2), pages 214-232, March.

    Cited by:

    1. Grace Ofori-Abebrese & Samuel Tawiah Baidoo & Peter Yaw Osei, 2019. "The Effect of Exchange Rate and Interest Rate Volatilities on Stock Prices: Further Empirical Evidence from Ghana," Economics Literature, WERI-World Economic Research Institute, vol. 1(2), pages 117-132, December.

  81. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
    See citations under working paper version above.
  82. Guglielmo Maria Caporale & Stefano Di Colli & Roberto Di Salvo & Juan Sergio Lopez, 2016. "Local banking and local economic growth in Italy: some panel evidence," Applied Economics, Taylor & Francis Journals, vol. 48(28), pages 2665-2674, June.
    See citations under working paper version above.
  83. Guglielmo Maria Caporale & Alessandro Girardi, 2016. "Business cycles, international trade and capital flows: evidence from Latin America," Empirical Economics, Springer, vol. 50(2), pages 231-252, March.
    See citations under working paper version above.
  84. Caporale, Guglielmo Maria & Sousa, Ricardo M., 2016. "Consumption, wealth, stock and housing returns: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 562-578.
    See citations under working paper version above.
  85. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    See citations under working paper version above.
  86. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016. "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(6), pages 954-965, November.
    See citations under working paper version above.
  87. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016. "Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 180-188.
    See citations under working paper version above.
  88. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Robert Mudida, 2015. "Testing the Marshall–Lerner Condition in Kenya," South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 253-268, June.
    See citations under working paper version above.
  89. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2015. "Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies," African Development Review, African Development Bank, vol. 27(2), pages 161-170, June.

    Cited by:

    1. Mohsen Bahmani‐Oskooee & Tsangyao Chang & Farhang Niroomand & Omid Ranjbar, 2020. "Fourier nonlinear quantile unit root test and PPP in Africa," Bulletin of Economic Research, Wiley Blackwell, vol. 72(4), pages 451-481, October.
    2. E. N. Gyamfi & E. F. Appiah, 2019. "Further evidence on the validity of purchasing power parity in selected African countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 330-343, April.
    3. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2018. "Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB," Research in International Business and Finance, Elsevier, vol. 44(C), pages 227-238.

  90. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015. "Modelling African inflation rates: nonlinear deterministic terms and long-range dependence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 421-424, March.

    Cited by:

    1. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
    2. Yaya O. S. & Akintande O. J. & Ogbonna A. E. & Adegoke H. M., 2019. "Cpi Inflation In Africa: Fractional Persistence, Mean Reversion And Nonlinearity," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 119-132, September.

  91. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Oil price uncertainty and sectoral stock returns in China: A time-varying approach," China Economic Review, Elsevier, vol. 34(C), pages 311-321.
    See citations under working paper version above.
  92. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.

    Cited by:

    1. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    2. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    3. Wu, Ji & Yao, Yao & Chen, Minghua & Jeon, Bang Nam, 2020. "Economic uncertainty and bank risk: Evidence from emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    4. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.
    5. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," Discussion Papers of DIW Berlin 1519, DIW Berlin, German Institute for Economic Research.
    6. Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
    7. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    8. Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
    9. Shuping Li & Xinghua Liu & Chongren Wang, 2020. "The Influence of Internet Finance on the Sustainable Development of the Financial Ecosystem in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.
    10. Beckmann, Joscha & Czudaj, Robert, 2017. "Capital flows and GDP in emerging economies and the role of global spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 140-163.
    11. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    12. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
    13. Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
    14. Bonga-Bonga, Lumengo & Gnagne, Pascal Xavier, 2017. "The impact of exchange rate volatility on capital flows in BRICS economies," MPRA Paper 84773, University Library of Munich, Germany.
    15. Michael Effah Asamoah & Imhotep Paul Alagidede & Frank Adu, 2022. "Exchange rate uncertainty and foreign direct investment in Africa: Does financial development matter?," Review of Development Economics, Wiley Blackwell, vol. 26(2), pages 878-898, May.
    16. Ranajit Kumar Bairagi, 2022. "Dynamic Impacts of Economic Policy Uncertainty on Australian Stock Market: An Intercontinental Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 64-91, March.
    17. Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
    18. Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.
    19. Schmidt, Torsten, 2018. "Inflation Expectation Uncertainty, Inflation and the Outputgap," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181575, Verein für Socialpolitik / German Economic Association.
    20. Toh, Moau Yong & Zhang, Yongmin, 2022. "Bank capital and risk adjustment responses to economic uncertainty: Evidence from emerging Southeast Asian economies," Research in International Business and Finance, Elsevier, vol. 60(C).
    21. Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
    22. Peter Arhenful & Richard Fosu & Mathew Owusu-Mensah, 2022. "Exchange Rate and Stock Price Nexus: Evidence from Ghana," Journal of Social and Development Sciences, AMH International, vol. 12(4), pages 9-15.
    23. Jibrin Daggash & Terfa W. Abraham, 2017. "Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 35-47, November.
    24. Nguyen Ba Trung, 2022. "Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty," International Finance, Wiley Blackwell, vol. 25(3), pages 285-295, December.
    25. Carvalho, Daniel & Schmitz, Martin, 2022. "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum," Working Paper Series 2734, European Central Bank.
    26. Abanikanda, Ezekiel Olamide & Akinbobola, Temidayo Oladiran, 2023. "Does Financial Deepening Matter in the Nexus between Exchange Rate Volatility and Foreign Investment? Insight from Nigeria," African Journal of Economic Review, African Journal of Economic Review, vol. 11(1), January.
    27. Chikashi Tsuji, 2017. "How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 342-351, December.
    28. Ho, Edmund Ho Cheung, 2022. "Foreign participation in local currency government bond markets in emerging Asia: Benefits and pitfalls to market stability," Journal of International Money and Finance, Elsevier, vol. 128(C).
    29. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
    30. Elder, John, 2020. "Employment and energy uncertainty," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    31. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    32. Maela Giofré & Oleksandra Sokolenko, 2023. "Cross-border investment and the decline of exchange rate volatility: implications for Euro area bilateral investments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(3), pages 595-627, August.
    33. Aaron D. Smallwood, 2022. "Inference in Misspecified GARCH‐M Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 334-355, April.
    34. Elder, John, 2021. "Canadian industry level production and energy prices," Energy Economics, Elsevier, vol. 99(C).
    35. Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2020. "Incorporating the RMB internationalization effect into its exchange rate volatility forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    36. Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2017. "Portfolio flows and the US dollar–yen exchange rate," Empirical Economics, Springer, vol. 52(1), pages 179-189, February.
    37. Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).

  93. Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015. "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
    See citations under working paper version above.
  94. Borja Balparda & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20," African Journal of Economic and Sustainable Development, Inderscience Enterprises Ltd, vol. 4(3), pages 254-277.

    Cited by:

    1. De Villeris, David & Apopo, Natalya & Phiri, Andrew, 2018. "Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets," MPRA Paper 87963, University Library of Munich, Germany.
    2. Donald A. Otieno & Rose W. Ngugi & Peter W. Muriu, 2019. "The impact of inflation rate on stock market returns: evidence from Kenya," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 73-90, January.

  95. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.

    Cited by:

    1. Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2015. "Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates," Working Papers 201574, University of Pretoria, Department of Economics.
    2. Yaya, OlaOluwa S & Adekoya, Oluwasegun B. & Babatunde, Oluwagbenga T., 2021. "Testing Fractional Persistence and Nonlinearity in Infant Mortality Rates of Asia Countries," MPRA Paper 109370, University Library of Munich, Germany.
    3. Makhlouf, Yousef & Kellard, Neil M. & Vinogradov, Dmitri, 2017. "Child mortality, commodity price volatility and the resource curse," Social Science & Medicine, Elsevier, vol. 178(C), pages 144-156.

  96. Guglielmo Maria Caporale & Christophe Rault & Anamaria Diana Sova & Robert Sova, 2015. "Financial Development and Economic Growth: Evidence from 10 New European Union Members," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(1), pages 48-60, January.

    Cited by:

    1. Veronika Kajurová & Petr Rozmahel, 2016. "Stock Market Development and Economic Growth: Evidence from the European Union," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1927-1936.
    2. Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo.
    3. Michael A Stemmer, 2017. "Revisiting Finance and Growth in Transition Economies - A Panel Causality Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01524462, HAL.
    4. Mohammad Mafizur Rahman & Istihak Rayhan & Nahid Sultana, 2023. "How Does Electricity Affect Economic Growth? Examining the Role of Government Policy to Selected Four South Asian Countries," Energies, MDPI, vol. 16(3), pages 1-17, February.
    5. Islam, Mollah Aminul & Liu, Haiyun & Khan, Muhammad Asif & Islam, Md Tariqul & Sultanuzzaman, Md Reza, 2021. "Does foreign direct investment deepen the financial system in Southeast Asian economies?," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
    6. Prats Albentosa, María Asuncíon & Sandoval, Beatriz, 2019. "Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries," Economics Discussion Papers 2019-64, Kiel Institute for the World Economy (IfW Kiel).
    7. Veronika Kajurová, 2017. "A Note on Relationship between Economic Activity and Stock Market Development: a Case of Euro Area Countries," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 1953-1965.
    8. Moyo, Clement & Dingela, Siyasanga & Kolisi, Nwabisa & Khobai, Hlalefang & Anyikwa, Izunna, 2017. "Renewable energy consumption and unemployment in South Africa," MPRA Paper 83279, University Library of Munich, Germany.
    9. Dombi, Ákos & Grigoriadis, Theocharis, 2020. "State history and the finance-growth nexus: Evidence from transition economies," Economic Systems, Elsevier, vol. 44(1).
    10. Paola Bongini & Małgorzata Iwanicz-Drozdowska & Paweł Smaga & Bartosz Witkowski, 2017. "Financial Development and Economic Growth: The Role of Foreign-Owned Banks in CESEE Countries," Sustainability, MDPI, vol. 9(3), pages 1-25, March.
    11. Haguiga, M. & Amani, L., 2019. "The Impact of Financial Development on Economic Growth," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(2), pages 107-116, May.
    12. Abdalwali Lutfi & Maryam Ashraf & Waqas Ahmad Watto & Mahmaod Alrawad, 2022. "Do Uncertainty and Financial Development Influence the FDI Inflow of a Developing Nation? A Time Series ARDL Approach," Sustainability, MDPI, vol. 14(19), pages 1-11, October.
    13. Sani Ibrahim, Saifullahi & Tanimu, Nuruddeen, 2015. "The Linkages between Trade Openness, Financial Openness and Economic Growth in Nigeria," MPRA Paper 87494, University Library of Munich, Germany, revised 06 Aug 2016.
    14. Bahadir, Berrak & Valev, Neven, 2017. "Catching up or drifting apart: Convergence of household and business credit in Europe," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 101-114.
    15. Dombi, Akos & Grigoriadis, Theocharis, 2017. "Ancestry, Diversity & Finance: Evidence from Transition Economies," Discussion Papers 2017/4, Free University Berlin, School of Business & Economics.
    16. Akisik, Orhan, 2020. "The impact of financial development, IFRS, and rule of LAW on foreign investments: A cross-country analysis," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 815-838.
    17. , Aisdl, 2021. "Banking Development, Economic Growth and Energy Consumption in Vietnam," OSF Preprints tnvkc, Center for Open Science.
    18. Hui Wang & Huifang Liu, 2017. "An Empirical Research of FDI Spillovers and Financial Development Threshold Effects in Different Regions of China," Sustainability, MDPI, vol. 9(6), pages 1-21, June.
    19. Samatas, Andreas & Makrominas, Michalis & Moro, Andrea, 2019. "Financial intermediation, capital composition and income stagnation: The case of Europe," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 273-289.
    20. Hong Anh Thi Nguyen, 2021. "Banking Development, Economic Growth and Energy Consumption in Vietnam," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 632-638.
    21. Ngomba Bodi, Francis Ghislain, 2018. "Estimation des élasticités du commerce extérieur dans des économies en développement riches en ressources naturelles : le cas des pays de la CEMAC [Estimation of trade elasticities in resources ric," MPRA Paper 116378, University Library of Munich, Germany.
    22. Agne Setikiene & Mindaugas Butkus, 2021. "The Heterogeneous Impact of Financialisation on Economic Growth in the Long Run," JRFM, MDPI, vol. 14(5), pages 1-30, May.
    23. Caporale, Guglielmo Maria & Sova, Anamaria Diana & Sova, Robert, 2022. "The direct and indirect effects of financial development on international trade: Evidence from the CEEC-6," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    24. Michiel Bijlsma & Clemens Kool & Marielle Non, 2018. "The effect of financial development on economic growth: a meta-analysis," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6128-6148, December.
    25. Asteriou, Dimitrios & Spanos, Konstantinos, 2019. "The relationship between financial development and economic growth during the recent crisis: Evidence from the EU," Finance Research Letters, Elsevier, vol. 28(C), pages 238-245.
    26. Agiropoulos, Charalampos & Karkalakos, Sotiris & Polemis, Michael, 2019. "Revisiting the finance-growth nexus: A socioeconomic approach," MPRA Paper 95209, University Library of Munich, Germany.
    27. Xiaqing Su & Zhe Liu, 2021. "Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market," Mathematics, MDPI, vol. 9(12), pages 1-22, June.
    28. M. Ajide, Folorunsho, 2020. "Asymmetric Influence Of Financial Development On Unemployment In Nigeria," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 7(2), pages 39-52, June.
    29. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    30. Tuncer Gövdeli & Tuba Özkan & Murat Dilmaç, 2021. "Financial Development and Economic Growth in BRICS-T Countries: An Econometric Application," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 9(2), pages 163-178, December.
    31. Behiye Cavusoglu & Saifullahi Sani Ibrahim & Huseyin Ozdeser, 2019. "Testing the relationship between financial sector output, employment and economic growth in North Cyprus," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-11, December.
    32. Afonso, António & Blanco-Arana, M. Carmen, 2022. "Financial and economic development in the context of the global 2008-09 financial crisis," International Economics, Elsevier, vol. 169(C), pages 30-42.
    33. Donny Tang, 2015. "Has the European Financial Integration Promoted the Economic Growth Among the New European Union Countries?," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    34. Sithole, Mixo Sweetness & Hlongwane, Nyiko Worship, 2023. "The role of the New Development Bank on Economic growth and Development in the BRICS states," MPRA Paper 119958, University Library of Munich, Germany, revised 26 Jan 2024.
    35. Massimiliano Affinito & Raffaele Santioni & Luca Tomassetti, 2023. "Inside household debt: disentangling mortgages and consumer credit, and household and bank factors. Evidence from Italy," Questioni di Economia e Finanza (Occasional Papers) 788, Bank of Italy, Economic Research and International Relations Area.
    36. Javid Iqbal & Khalid Riaz, 2022. "Predicting future financial performance of banks from management’s tone in the textual disclosures," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(4), pages 2691-2721, August.
    37. Alin Marius ANDRIEȘ & Sabina CAZAN & Nicu SPRINCEAN, 2022. "The Nexus between Bank M&As and Financial Development," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, April.
    38. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
    39. Yang, Lisha & Ni, Mengying, 2022. "Is financial development beneficial to improve the efficiency of green development? Evidence from the “Belt and Road” countries," Energy Economics, Elsevier, vol. 105(C).

  97. Caporale, Guglielmo Maria & De Santis, Roberta & Girardi, Alessandro, 2015. "Trade intensity and output synchronisation: On the endogeneity properties of EMU," Journal of Financial Stability, Elsevier, vol. 16(C), pages 154-163.
    See citations under working paper version above.
  98. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.

    Cited by:

    1. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Leibniz Institute for Financial Research SAFE, revised 2016.
    2. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    3. Trang Thi-Huyen Dinh & Duc Hong Vo & Anh The Vo & Thang Cong Nguyen, 2019. "Foreign Direct Investment and Economic Growth in the Short Run and Long Run: Empirical Evidence from Developing Countries," JRFM, MDPI, vol. 12(4), pages 1-11, November.
    4. Michael Donadelli & Ivan Gufler, 2021. "Consumption smoothing, risk sharing and financial integration," The World Economy, Wiley Blackwell, vol. 44(1), pages 143-187, January.

  99. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.

    Cited by:

    1. Kedong YIN & Xuemei LI & Bohong LI & Fan ZHANG, 2017. "Shock Effects from International Stock Price Volatility on Investment Style Drift in Chinese Open-end Funds," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 62-78, June.
    2. Gehde-Trapp, Monika & Klingler, Linda, 2022. "The effect of sentiment on institutional investors: A gender analysis," CFR Working Papers 22-08, University of Cologne, Centre for Financial Research (CFR).
    3. Mercedes Alda, 2021. "Managers beyond borders: side-by-side management in mutual funds and pension funds," Review of Managerial Science, Springer, vol. 15(2), pages 399-436, February.
    4. Alda, Mercedes & Vicente, Ruth, 2020. "Behavioural analysis of socially responsible investment managers: specialists versus non-specialists," Research in International Business and Finance, Elsevier, vol. 54(C).
    5. Filip Dariusz, 2019. "Manager’s gender and professional credentials in the performance of Polish investment funds," Journal of Economics and Management, Sciendo, vol. 38(4), pages 46-66, December.
    6. Francesco Gangi & Lucia Michela Daniele & Nicola Varrone & Francesca Vicentini & Maria Coscia, 2021. "Equity mutual funds' interest in the environmental, social and governance policies of target firms: Does gender diversity in management teams matter?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(3), pages 1018-1031, May.
    7. Ammad Ahmed & Muhammad Atif, 2021. "Board gender composition and debt financing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3075-3092, April.
    8. Ahmadpour, Kobra & Frömmel, Michael, 2022. "The role of gender for the risk-shifting behavior of hedge fund and CTA managers," Finance Research Letters, Elsevier, vol. 47(PA).
    9. Michael Adusei & Samuel Yaw Akomea & Kwasi Poku, 2017. "Board and management gender diversity and financial performance of microfinance institutions," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1360030-136, January.
    10. Lin, Jia-Hui & Yen, Meng-Feng & Hsieh, Wei-Cheng, 2023. "Do manager characteristics matter in equity mutual fund performance? New evidence based on the double-adjusted alpha," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    11. Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.

  100. Caporale, Guglielmo Maria & Sova, Anamaria & Sova, Robert, 2015. "Trade flows and trade specialisation: The case of China," China Economic Review, Elsevier, vol. 34(C), pages 261-273.
    See citations under working paper version above.
  101. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
    See citations under working paper version above.
  102. Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014. "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, vol. 43(C), pages 142-157.
    See citations under working paper version above.
  103. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    See citations under working paper version above.
  104. Robert Sova & Christophe Rault & Guglielmo Caporale & Anamaria Sova, 2014. "Improving Environmental Performance: A Challenge for Romania," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 57(3), pages 431-452, March.

    Cited by:

    1. Tokunaga, Masahiro, 2020. "Regime Change and Environmental Reform: A Systematic Review of Research on Central and Eastern Europe," CEI Working Paper Series 2019-10, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    2. Florina BRAN & Ildiko IOAN & Carmen Valentina RADULESCU, 2014. "Low Entropy: Creating Physical Basis For Economic Value By Environmental Policy Tools," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 3(2), pages 1-3, July.

  105. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2014. "Sources Of Real Exchange Rate Volatility And International Financial Integration: A Dynamic Generalised Method Of Moments Panel Approach," Journal of International Development, John Wiley & Sons, Ltd., vol. 26(6), pages 810-820, August.

    Cited by:

    1. Christopher Hartwell, 2022. "Institutions and trade‐related inequality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3246-3264, July.
    2. Law, Kai Po Jenny & Satoh, Eiji & Yoshimi, Taiyo, 2018. "Exchange rate pass-through at the individual product level: Implications for financial market integration," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 261-271.
    3. Trust R. Mpofu, 2021. "The determinants of real exchange rate volatility in South Africa," The World Economy, Wiley Blackwell, vol. 44(5), pages 1380-1401, May.
    4. Yahui Yang & Zhe Peng, 2024. "Openness and Real Exchange Rate Volatility: Evidence from China," Open Economies Review, Springer, vol. 35(1), pages 121-158, February.

  106. Guglielmo Caporale & Luis Gil-Alana, 2014. "Fractional integration and cointegration in US financial time series data," Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
    See citations under working paper version above.
  107. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2014. "Persistence and cycles in US hours worked," Economic Modelling, Elsevier, vol. 38(C), pages 504-511.
    See citations under working paper version above.
  108. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
    See citations under working paper version above.
  109. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014. "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
    See citations under working paper version above.
  110. Guglielmo Maria Caporale & Luis Gil-alana, 2014. "Youth Unemployment in Europe: Persistence and Macroeconomic Determinants," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(4), pages 581-591, December.
    See citations under working paper version above.
  111. Guglielmo Maria Caporale & Marinko Škare, 2014. "The nexus between prices, employment and output growth: a global and national evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 197-211, April.

    Cited by:

    1. Megbowon Ebenezer Toyin & Ojo Oloruntimilehin Sola & Olasehinde Timilehin John, 2017. "Agro-processing Output and Agricultural Sector Employment: Evidence from South Africa," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 174-184, April.

  112. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Fiscal spillovers in the Euro area," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 84.1-84.16.
    See citations under working paper version above.
  113. Guglielmo Maria Caporale & Alaa M. Soliman, 2013. "Stock Prices and Monetary Policy: An Impulse Response Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 701-709.

    Cited by:

    1. Muhammad Ali Nasir & Junjie Wu & Milton Yago & Alaa M. Soliman, 2016. "Macroeconomic policy interaction: State dependency and implications for financial stability in UK: A systemic review," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1154283-115, December.

  114. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
    See citations under working paper version above.
  115. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
    See citations under working paper version above.
  116. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    See citations under working paper version above.
  117. John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2013. "Liquidity Risk, Credit Risk And The Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," Manchester School, University of Manchester, vol. 81(6), pages 925-940, December.
    See citations under working paper version above.
  118. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    See citations under working paper version above.
  119. Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
    See citations under working paper version above.
  120. Caporale, Guglielmo Maria & Costantini, Mauro & Paradiso, Antonio, 2013. "Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 215-225.
    See citations under working paper version above.
  121. Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012. "Ratings assignments: Lessons from international banks," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1593-1606.
    See citations under working paper version above.
  122. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2012. "Estimating persistence in the volatility of asset returns with signal plus noise models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 23-30, January.
    See citations under working paper version above.
  123. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
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  124. Guglielmo Caporale & Luca Onorante & Paolo Paesani, 2012. "Inflation and inflation uncertainty in the euro area," Empirical Economics, Springer, vol. 43(2), pages 597-615, October.
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  125. Maria Caporale, Guglielmo & Spagnolo, Nicola, 2012. "Stock Market Integration Between Three CEECs," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 115-122.

    Cited by:

    1. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    2. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2012. "The cross-country importance of global sentiments—evidence for smaller EU countries," International Economics and Economic Policy, Springer, vol. 9(3), pages 245-264, September.
    3. S. S. Vinokurov & A.A. Medved & L. A. Mierin, 2018. "Economic News and Household Decisions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    4. Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
    5. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    6. Seema Wati Narayan & Mobeen Ur Rehman & Yi-Shuai Ren & Chaoqun Ma, 2023. "Is a correlation-based investment strategy beneficial for long-term international portfolio investors?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-26, December.
    7. Silvo Dajčman & Mejra Festić & Alenka Kavkler, 2013. "Multiscale test of CAPM for three Central and Eastern European stock markets," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(1), pages 54-76, February.
    8. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
    9. Narayan, Seema & Rehman, Mobeen Ur, 2021. "Can home-biased investors diversify interregionally in the long run?," Economic Modelling, Elsevier, vol. 97(C), pages 167-181.
    10. Valdes, Rodrigo, 2017. "What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258265, Agricultural and Applied Economics Association.
    11. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.

  126. Arouri, Mohamed El Hedi & Caporale, Guglielmo Maria & Rault, Christophe & Sova, Robert & Sova, Anamaria, 2012. "Environmental Regulation and Competitiveness: Evidence from Romania," Ecological Economics, Elsevier, vol. 81(C), pages 130-139.
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  127. Guglielmo Maria Caporale & Nicola Spagnolo, 2012. "Stock market, economic growth and EU accession: evidence from three CEECs," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 183-191.

    Cited by:

    1. Prats Albentosa, María Asuncíon & Sandoval, Beatriz, 2019. "Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries," Economics Discussion Papers 2019-64, Kiel Institute for the World Economy (IfW Kiel).
    2. Irina A. Morozova & Elena G. Popkova & Tatiana N. Litvinova, 2019. "Sustainable development of global entrepreneurship: infrastructure and perspectives," International Entrepreneurship and Management Journal, Springer, vol. 15(2), pages 589-597, June.
    3. Natalia G. Vovchenko & Olga B. Ivanova & Elena D. Kostoglodova & Marina O. Otrishko & Olga S. Dzhu, 2016. "Innovations and Fighting Global Economic Problems," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.
    4. Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
    5. Svetlana G. Vokina & Yulia S. Zima & Nikolai G. Sinyavsky & Vadim Meshkov & Aleksandra V. Sultanova, 2016. "Unification of Economic Systems in the Global Economy: Barriers and Preconditions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.

  128. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," Research in International Business and Finance, Elsevier, vol. 26(2), pages 317-333.
    See citations under working paper version above.
  129. Guglielmo Maria Caporale & Luis Gil-Alana, 2012. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
    See citations under working paper version above.
  130. Guglielmo Maria Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2012. "European free trade agreements and trade balance: Evidence from four new European Union members," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 21(6), pages 839-863, January.

    Cited by:

    1. Pierluigi Montalbano & Silvia Nenci, 2012. "Assessing the Trade Impact of the European Neighborhood Policy on EU-MED Free Trade Area," Departmental Working Papers of Economics - University 'Roma Tre' 0147, Department of Economics - University Roma Tre.
    2. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
    3. Tang, Donny, 2016. "Has the Financial Integration affected the European Union (EU) trade with the New Member Countries from Central and Eastern Europe (CEEC) during 1994–2013?," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 8-20.
    4. Pierluigi Montalbano & Silvia Nenci & Emiliano Magrini, 2014. "Are the EU trade preferences really effective? A generalized propensity score evaluation of the Southern Mediterranea countries’ case in Agriculture and Fishery," Departmental Working Papers of Economics - University 'Roma Tre' 0188, Department of Economics - University Roma Tre.

  131. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 229-233.
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  132. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
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  133. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2011. "Are The Baltic Countries Ready To Adopt The Euro? A Generalized Purchasing Power Parity Approach," Manchester School, University of Manchester, vol. 79(3), pages 429-454, June.
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  134. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2011. "EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 189-206, February.
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  135. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(6), pages 789-808, September.
    See citations under working paper version above.
  136. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
    See citations under working paper version above.
  137. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(1), pages 71-85.

    Cited by:

    1. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2014. "Long- versus medium-run identification in fractionally integrated VAR models," University of Regensburg Working Papers in Business, Economics and Management Information Systems 122, University of Regensburg, Department of Economics.

  138. Caporale, Guglielmo Maria & Ciferri, Davide & Girardi, Alessandro, 2011. "Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 709-723, September.
    See citations under working paper version above.
  139. Guglielmo Maria Caporale & Luis Gil-Alana, 2010. "Multiple cyclical fractional structures in financial time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1079-1081.

    Cited by:

    1. Sanjay Rajagopal, 2012. "A Study of the Returns Behavior of Small Capitalization REITs," Journal of Economics and Behavioral Studies, AMH International, vol. 4(8), pages 457-466.

  140. Guglielmo Caporale & Mario Cerrato, 2010. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
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  141. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
    See citations under working paper version above.
  142. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Real Exchange Rates In Latin America: The Ppp Hypothesis And Fractional Integration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 35(2), pages 1-21, June.

    Cited by:

    1. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei, 2018. "Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB," Research in International Business and Finance, Elsevier, vol. 44(C), pages 227-238.
    2. Asuamah Yeboah, Samuel, 2017. "Is purchasing power parity hypothesis valid in Ghana? An empirical assessment," MPRA Paper 99394, University Library of Munich, Germany.

  143. Guglielmo Caporale & Christophe Rault & Robert Sova & Anamaria Sova, 2009. "On the bilateral trade effects of free trade agreements between the EU-15 and the CEEC-4 countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(2), pages 189-206, July.
    See citations under working paper version above.
  144. Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009. "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 954-971, October.
    See citations under working paper version above.
  145. Guglielmo Maria Caporale & Antoaneta Serguieva & Hao Wu, 2009. "Financial contagion: evolutionary optimization of a multinational agent‐based model," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 111-125, January.
    See citations under working paper version above.
  146. Guglielmo Maria Caporale & Christoph Hanck, 2009. "Cointegration tests of PPP: do they also exhibit erratic behaviour?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 9-15.
    See citations under working paper version above.
  147. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.

    Cited by:

    1. Dilem Yıldırım & Dilan Aydın, 2021. "One Crisis After Another: A Dynamic Unemployment Persistence Analysis For The Gips Countries," ERC Working Papers 2102, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
    2. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
    3. Ghoshray, Atanu & Stamatogiannis, Michalis P., 2015. "Centurial evidence of breaks in the persistence of unemployment," Economics Letters, Elsevier, vol. 129(C), pages 74-76.
    4. Fosten, Jack & Ghoshray, Atanu, 2011. "Dynamic persistence in the unemployment rate of OECD countries," Economic Modelling, Elsevier, vol. 28(3), pages 948-954, May.

  148. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2009. "Basque Terrorism: Police Action, Political Measures And The Influence Of Violence On The Stock Market In The Basque Country," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(4), pages 287-301.

    Cited by:

    1. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    2. Faheem Aslam & Amir Rafique & Aneel Salman & Hyoung-Goo Kang & Wahbeeah Mohti, 2018. "The Impact Of Terrorism On Financial Markets: Evidence From Asia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(05), pages 1183-1204, December.
    3. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
    4. Gok, Ibrahim Yasar & Demirdogen, Yavuz & Topuz, Sefa, 2020. "The impacts of terrorism on Turkish equity market: An investigation using intraday data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    5. Michelle Sydes & Lorelei Hine & Angela Higginson & James McEwan & Laura Dugan & Lorraine Mazerolle, 2023. "Criminal justice interventions for preventing radicalisation, violent extremism and terrorism: An evidence and gap map," Campbell Systematic Reviews, John Wiley & Sons, vol. 19(4), December.
    6. Fatma Ben Moussa & Mariem Talbi, 2019. "Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 48-64.
    7. Adrián Tarín Sanz & José Manuel Rivas Otero, 2018. "Leadership Styles and War and Peace Policies in the Spanish–Basque Conflict: A Discourse Analysis of José María Aznar and José Luis Rodríguez Zapatero," Social Sciences, MDPI, vol. 7(4), pages 1-22, April.

  149. Maria Caporale, Guglielmo & M. Soliman, Alaa, 2009. "The Asymmetric Effects of a Common Monetary Policy in Europe," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 455-475.
    See citations under working paper version above.
  150. Caporale, Guglielmo Maria & Georgellis, Yannis & Tsitsianis, Nicholas & Yin, Ya Ping, 2009. "Income and happiness across Europe: Do reference values matter?," Journal of Economic Psychology, Elsevier, vol. 30(1), pages 42-51, February.
    See citations under working paper version above.
  151. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    See citations under working paper version above.
  152. Vassilios Babalos & Guglielmo Maria Caporale & Alexandros Kostakis & Nikolaos Philippas, 2008. "Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 735-753.

    Cited by:

    1. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
    2. Costas Siriopoulos & Maria Skaperda, 2020. "Investing in mutual funds: are you paying for performance or for the ties of the manager?," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 153-164.
    3. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," Research in International Business and Finance, Elsevier, vol. 26(2), pages 317-333.
    4. Babalos, Vassilios & Kostakis, Alexandros & Philippas, Nikolaos, 2009. "Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 256-272, October.
    5. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
    6. Timotej Jagric & Boris Podobnik & Sebastian Strasek & Vita Jagric, 2007. "Risk-Adjusted Performance of Mutual Funds: Some Tests," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 5(2), pages 233-244.
    7. Farah Naz & Hafsa Khan & Muhammad Ishfaq Ahmad & Ramiz Ur Rehman & Muhammad Akram Naseem, 2019. "Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-21, September.
    8. Mamatzakis, E & Babalos, Vassilios & filipas, n, 2013. "Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes," MPRA Paper 51640, University Library of Munich, Germany.
    9. Dimitrios V Kousenidis & Christos Negakis, 2013. "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 107-148, March - J.
    10. Babalos, Vassilios & Philippas, Nikolaos & Doumpos, Michael & Zompounidis, Constantin, 2011. "Mutual funds performance appraisal using stochastic multicriteria acceptability analysis," MPRA Paper 37953, University Library of Munich, Germany.

  153. Guglielmo Maria Caporale & Nikolaos Philippas & Fotini Economou, 2008. "Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange," Economics Bulletin, AccessEcon, vol. 7(17), pages 1-13.

    Cited by:

    1. Pece Andreea Maria, 2015. "The Gregarious Behavior Of Investors From Baltic Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 905-911, July.
    2. Fu, Jingxue & Wu, Lan, 2021. "Regime-switching herd behavior: Novel evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 39(C).
    3. Dina Gabbori & Basel Awartani & Aktham Maghyereh & Nader Virk, 2021. "OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 870-888, January.
    4. Economou, Fotini & Katsikas, Epameinondas & Vickers, Gregory, 2016. "Testing for herding in the Athens Stock Exchange during the crisis period," Finance Research Letters, Elsevier, vol. 18(C), pages 334-341.
    5. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
    6. Tihana Škrinjarić, 2018. "Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 3(2), pages 119-162, December.
    7. Klein, Arne C., 2013. "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 291-304.
    8. Gębka, Bartosz & Wohar, Mark E., 2013. "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 55-84.
    9. Vasileios Kallinterakis & Nomana Munir & Mirjana Radovic-Markovic, 2010. "Herd Behaviour, Illiquidity and Extreme Market States," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 305-324, December.
    10. Mobarek, Asma & Mollah, Sabur & Keasey, Kevin, 2014. "A cross-country analysis of herd behavior in Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 107-127.

  154. Guglielmo Caporale & Luis Gil-Alana, 2008. "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 241-253, July.
    See citations under working paper version above.
  155. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics," Review of International Economics, Wiley Blackwell, vol. 16(3), pages 401-412, August.
    See citations under working paper version above.
  156. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    See citations under working paper version above.
  157. Guglielmo Caporale & Luis Gil-Alana, 2006. "Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994," Empirical Economics, Springer, vol. 31(1), pages 83-93, March.
    See citations under working paper version above.
  158. Guglielmo Maria Caporale & Luis Gil-Alana, 2006. "Long memory at the long-run and the seasonal monthly frequencies in the US money stock," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 965-968.
    See citations under working paper version above.
  159. Guglielmo Caporale & Nikitas Pittis & Nicola Spagnolo, 2006. "Volatility transmission and financial crises," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(3), pages 376-390, September.

    Cited by:

    1. Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
    2. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    3. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    4. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    5. Khallouli, Wajih & Sandretto, René, 2012. "Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 134-166.
    6. Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
    7. Marie Brière & Ombretta Signori, 2009. "Do Inflation‐Linked Bonds Still Diversify?," European Financial Management, European Financial Management Association, vol. 15(2), pages 279-297, March.
    8. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics.
    9. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    10. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
    11. Guglielmo Maria Caporale & Nicola Spagnolo, 2023. "US Municipal Green Bonds and Financial Integration," CESifo Working Paper Series 10323, CESifo.
    12. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators," Finance Research Letters, Elsevier, vol. 17(C), pages 158-166.
    13. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
    14. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.
    15. Daehwan Kim & Chi-Young Song, 2017. "Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 210-219.
    16. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," EuroEconomica, Danubius University of Galati, issue 2(12), pages 194-216, April.
    17. Ahmed Shamiri & Zaidi Isa, 2010. "Volatility transmission: what do Asia‐Pacific markets expect?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(4), pages 299-313, October.
    18. Mohamed Shikh Albaity & Hamdia Mudor, 2012. "Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
    19. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    20. Aladesanmi, Olalekan & Casalin, Fabrizio & Metcalf, Hugh, 2019. "Stock market integration between the UK and the US: Evidence over eight decades," Global Finance Journal, Elsevier, vol. 41(C), pages 32-43.
    21. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
    22. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
    23. Shih-Jui Yang & Ai-Chi Hsu & Show-Yen Lai & Chien-Chiang Lee, 2015. "Empirical Investigation of Herding Behavior in East Asian Stock Markets Toward the U.S. Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 19-32.
    24. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series n1540305, Department of Economics, National University of Ireland - Maynooth.
    25. Lisewski, Andreas Martin & Lichtarge, Olivier, 2010. "Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3250-3253.
    26. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    27. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    28. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
    29. Dimitriou, Dimitrios & Mpitsios, Petros & Simos, Theodore, 2011. "Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis," MPRA Paper 37476, University Library of Munich, Germany.
    30. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    31. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014. "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 118-127.
    32. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
    33. Sanjay Sehgal & Payal Jain & Florent Deisting, 2018. "Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 185-225, March.
    34. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
    35. Galin Todorov & Prasad Bidarkota, 2013. "On international financial spillovers to frontier markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(4), pages 433-452.
    36. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    37. Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2014. "The global financial crisis: World market or regional contagion effects?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 108-131.
    38. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    39. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
    40. Diego A. Agudelo & Marcela Gutiérrez & Laura Cardona, 2015. "Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis," Documentos de Trabajo de Valor Público 14252, Universidad EAFIT.
    41. Mustafa Okur & Emrah Cevik, 2013. "Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 26(3), pages 99-116, January.
    42. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(2), pages 194-216, April.
    43. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    44. Nathaniel Frank, 2009. "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers 2009-W04, Economics Group, Nuffield College, University of Oxford.
    45. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    46. Sisili Rahman & Biplab Das & Tazrina Farah, 2018. "Identifying Spillover Effect & Bubble in Bangladeshi Asset Markets: An Analysis of Stock Market and Real Estate," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 76-83.
    47. Jessica Dye & Aaron Gilbert & Gail Pacheco, 2017. "Does integration lead to lower costs of equity?," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 86-112, February.
    48. Alexandrou, George & Koulakiotis, Athanasios & Dasilas, Apostolos, 2011. "GARCH modelling of banking integration in the Eurozone," Research in International Business and Finance, Elsevier, vol. 25(1), pages 1-10, January.
    49. Roni Bhowmik & Wang Shouyang & Abbas Ghulam, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    50. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
    51. Mahmod Qadan & Joseph Yagil, 2012. "Fear sentiments and gold price: testing causality in-mean and in-variance," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 363-366, March.
    52. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, vol. 23(3), pages 243-256, September.
    53. Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David, 2017. "The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 41(C), pages 577-589.

  160. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    See citations under working paper version above.
  161. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367.
    See citations under working paper version above.
  162. Caporale, Guglielmo Maria & Chui, Michael, 2005. "Fiscal Consolidation: An Exercise in the Methodology of Coordination," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 20, pages 1-25.

    Cited by:

    1. Ahmed Waqar Qasim & M. Ali Kemal & Omer Siddique, 2015. "Fiscal Consolidation and Economic Growth: A Case Study of Pakistan," PIDE-Working Papers 2015:124, Pakistan Institute of Development Economics.

  163. Guglielmo Maria Caporale & Peter Howells & Alaa M. Soliman, 2005. "Endogenous Growth Models and Stock Market Development: Evidence from Four Countries," Review of Development Economics, Wiley Blackwell, vol. 9(2), pages 166-176, May.

    Cited by:

    1. Qing Liu & Larry D. Qiu, 2014. "Implications of Financial Development of the South for Trade and Foreign Direct Investment from the North," Review of Development Economics, Wiley Blackwell, vol. 18(2), pages 272-285, May.
    2. Srinivasan Palamalai & Karthigai Prakasam, 2014. "Stock Market Development and Economic Growth in India: An Empirical Analysis," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 3(3), pages 30-46, July.
    3. Brian Muyambiri & Nicholas Odhiambo, 2017. "Financial Development, Savings and Investment in South Africa: A Dynamic Causality Test," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 17(3), pages 1-10, September.
    4. Muyambiri Brian & Odhiambo Nicholas M., 2018. "Financial Development and Investment in Botswana: A Multivariate Causality Test," Folia Oeconomica Stetinensia, Sciendo, vol. 18(2), pages 72-89, December.
    5. Borlea Sorin Nicolae & Puscas Adriana & Mare Codruta & Achim Monica Violeta, 2016. "Direction of Causality Between Financial Development and Economic Growth. Evidence for Developing Countries," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 26(2), pages 1-22, June.
    6. Muyambiri, Brian & Odhiambo, Nicholas M, 2017. "The causal relationship between financial development and investment in Botswana," Working Papers 22607, University of South Africa, Department of Economics.
    7. Folorunsho M. Ajide, 2016. "Financial Innovation and Sustainable Development in Selected Countries in West Africa," Journal of Entrepreneurship, Management and Innovation, Fundacja Upowszechniająca Wiedzę i Naukę "Cognitione", vol. 12(3), pages 85-111.
    8. Horvath, Jaroslav & Zhong, Jiansheng, 2019. "Unemployment dynamics in emerging countries: Monetary policy and external shocks," Economic Modelling, Elsevier, vol. 76(C), pages 31-49.
    9. Erick Lahura & Marco Vega, 2013. "The dynamic relationship between stock market development and economic activity evidence from Peru, 1965-2011," Documentos de Trabajo / Working Papers 2013-369, Departamento de Economía - Pontificia Universidad Católica del Perú.
    10. Hisham Handal Abdelbaki, 2013. "Causality Relationship between Macroeconomic Variables and Stock Market Development: Evidence from Bahrain," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(1), pages 69-84.
    11. Okuyan Hasan Aydın, 2022. "The Nexus of Financial Development and Economic Growth Across Developing Economies," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 125-140, June.
    12. James B. Ang, 2008. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 536-576, July.
    13. , Aisdl, 2019. "Stock Market And Economic Growth In Vietnam," OSF Preprints ucbhp, Center for Open Science.
    14. Athanasios Vazakidis & Antonios Adamopoulos, 2009. "Credit Market Development and Economic Growth," American Journal of Economics and Business Administration, Science Publications, vol. 1(1), pages 34-40, March.
    15. Wycliffe Mukulu Musyoka & Evans Geoffrey Mogeni & David Musimbi Murunga & Pollyne Mbithe Mutunga, 2018. "Effect of Stock Market Development on Economic Growth: A Case of Nairobi Securities Exchange, Kenya," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 3(5), pages 59-70, May.
    16. Daniel Kwabena Twerefou & Emmanuel Abbey & Emmanuel A. Codjoe & Peter Saitoti Ngotho, 2019. "Impact of Stock Market Development on Economic Growth: Evidence from Selected Sub-Saharan African Countries," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(4), pages 1071-1083.
    17. P., Srinivasan, 2014. "Stock Market Development and Economic growth in India: An Empirical Analysis," MPRA Paper 55657, University Library of Munich, Germany.
    18. Tang, Hong Peng & Habibullah, Muzafar Shah & Puah, Chin-Hong, 2007. "Stock market and economic growth in selected Asian countries," MPRA Paper 37649, University Library of Munich, Germany.
    19. Marian-Pompiliu Cristescu & Raluca-Andreea Nerișanu & Maria Flori & Florin Stoica & Florentina Laura Stoica, 2021. "Analysing the Stock Market as an Economic Lever, Using a Qualitative and a Quantitative Model," Mathematics, MDPI, vol. 9(19), pages 1-19, September.
    20. Erasmus L Owusu, 2016. "Stock Market and Sustainable Economic Growth in Nigeria," Economies, MDPI, vol. 4(4), pages 1-13, November.
    21. Ismail O. Fasanya & Adegbemi B. O Onakoya & Donald Ikenna Ofoegbu, 2013. "Capital Market Development: A Spur to Economic Growth in Nigeria," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(5), pages 222-234, October.
    22. Merve Karacaer-Ulusoy & Ayhan Kapusuzoglu, 2017. "The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization," International Journal of Energy Economics and Policy, Econjournals, vol. 7(3), pages 167-187.
    23. Md. Qamruzzaman & Jianguo Wei, 2018. "Financial Innovation, Stock Market Development, and Economic Growth: An Application of ARDL Model," IJFS, MDPI, vol. 6(3), pages 1-30, August.
    24. Rabindra Bhandari & Dharmendra Dhakal & Gyan Pradhan & Kamal P. Upadhyaya, 2007. "Determinants of Private Saving in South Asia," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(2), pages 205-217, December.
    25. Lahura, Erick & Vega, Marco, 2014. "Stock market development and real economic activity in Peru," Working Papers 2014-022, Banco Central de Reserva del Perú.
    26. Polat, Ali & Shahbaz, Muhammad & Ur Rehman, Ijaz & Satti, Saqlain Latif, 2013. "Revisiting Linkages between Financial Development, Trade Openness and Economic Growth in South Africa: Fresh Evidence from Combined Cointegration Test," MPRA Paper 51724, University Library of Munich, Germany, revised 25 Nov 2013.
    27. Sinem Guler Kangalli Uyar & Umut Uyar, 2018. "Quantile Parameter Heterogeneity in the Finance-Growth Relation: The Case of OECD Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(1), pages 92-112.

  164. Guglielmo Maria Caporale, 2005. "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 282-309.
    See citations under working paper version above.
  165. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2005. "Fractional Cointegration And Aggregate Money Demand Functions," Manchester School, University of Manchester, vol. 73(6), pages 737-753, December.
    See citations under working paper version above.
  166. Caporale, Guglielmo Maria & Cipollini, Andrea & Demetriades, Panicos O., 2005. "Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 39-53, February.
    See citations under working paper version above.
  167. Caporale, Guglielmo Maria & Panopoulou, Ekaterini & Pittis, Nikitas, 2005. "The Feldstein-Horioka puzzle revisited: A Monte Carlo study," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1143-1149, November.

    Cited by:

    1. Piotr Misztal, 2011. "The Feldstein-Horioka Hypothesis in Countries with Varied Levels of Economic Development," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(2), June.
    2. Ketenci, Natalya, 2013. "The Feldstein–Horioka puzzle in groupings of OECD members: A panel approach," Research in Economics, Elsevier, vol. 67(1), pages 76-87.
    3. Dilem Yıldırım & Onur A. Koska, 2018. "Puzzling out the Feldstein-Horioka Paradox for Turkey by a Time-Varying Parameter Approach," ERC Working Papers 1808, ERC - Economic Research Center, Middle East Technical University, revised Apr 2018.
    4. Antonis Adam & Margarita Katsimi & Thomas Moutos, 2012. "Inequality and the import demand function," Oxford Economic Papers, Oxford University Press, vol. 64(4), pages 675-701, October.
    5. Jérôme Héricourt & Mathilde Maurel, 2005. "A new look at the Feldstein-Horioka puzzle: an "European-regional" perspective," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00196383, HAL.
    6. Katsimi, Margarita & Moutos, Thomas, 2007. "A Note on Human Capital and the Feldstein-Horioka Puzzle," Economics Discussion Papers 2007-30, Kiel Institute for the World Economy (IfW Kiel).
    7. Eslamloueyan, Karim & Jafari, Mahboubeh, 2014. "Financial crisis and saving–investment dynamics in the presence of cross-sectional dependence: The case of East Asia," China Economic Review, Elsevier, vol. 30(C), pages 209-220.
    8. Ibrahim Raheem & Kazeem Ajide & Oluwatosin Adeniyi, 2015. "Is there a role for governance in the saving-investment nexus for Sub-Saharan Africa?," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 17(2), pages 120-134, October.
    9. Andrew Phiri, 2017. "The Feldstein-Horioka puzzle and the global financial crisis: Evidence from South Africa using asymmetric cointegation analysis," Working Papers 1701, Department of Economics, Nelson Mandela University, revised May 2017.
    10. Kumar Narayan, Paresh, 2005. "The relationship between saving and investment for Japan," Japan and the World Economy, Elsevier, vol. 17(3), pages 293-309, August.
    11. Ketenci, Natalya, 2018. "Impact of the Global Financial Crisis on the Level of Capital Mobility in EU Members," MPRA Paper 100075, University Library of Munich, Germany.
    12. Ketenci, Natalya, 2010. "The Feldstein –Horioka Puzzle and structural breaks: evidence from EU members," MPRA Paper 26010, University Library of Munich, Germany.
    13. Natalya Ketenci, N., 2010. "The Feldstein Horioka Puzzle by groups of OECD members: the panel approach," MPRA Paper 25848, University Library of Munich, Germany.
    14. Khan, Saleheen, 2017. "The savings and investment relationship: The Feldstein–Horioka puzzle revisited," Journal of Policy Modeling, Elsevier, vol. 39(2), pages 324-332.
    15. Kollias, Christos & Mylonidis, Nikolaos & Paleologou, Suzanna-Maria, 2008. "The Feldstein-Horioka puzzle across EU members: Evidence from the ARDL bounds approach and panel data," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 380-387.
    16. Onur ÖZDEMIR, 2022. "High-Income Countries and Feldstein-Horioka Puzzle: Econometric Evidence from Dynamic Common-Correlated Effects Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 45-67, April.
    17. Dilem Yıldırım & Ethem Erdem Orman, 2016. "The Feldstein-Horioka Puzzle in the Presence of Structural Breaks: Evidence from China," ERC Working Papers 1601, ERC - Economic Research Center, Middle East Technical University, revised Jan 2016.
    18. Costantini, Mauro & Gutierrez, Luciano, 2013. "Capital mobility and global factor shocks," Economics Letters, Elsevier, vol. 120(3), pages 513-515.
    19. Phiri, Andrew, 2017. "The Feldstein-Horioka puzzle and the global recession period: Evidence from South Africa using asymmetric cointegration analysis," MPRA Paper 79096, University Library of Munich, Germany.
    20. Margarita Katsimi & Thomas Moutos, 2007. "Human Capital and the Feldstein-Horioka Puzzle," CESifo Working Paper Series 1914, CESifo.
    21. Ekrem ERDEM & Ahmet KOSEOGLU & Ali Gokhan YUCEL, 2016. "Testing the validity of the Feldstein-Horioka Puzzle: New evidence from structural breaks for Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(607), S), pages 17-26, Summer.
    22. Tarlok Singh, 2007. "Intertemporal Optimizing Models Of Trade And Current Account Balance: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 25-64, February.
    23. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
    24. Holmes, Mark J. & Otero, Jesús, 2014. "Re-examining the Feldstein–Horioka and Sachs' views of capital mobility: A heterogeneous panel setup," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 1-11.
    25. Solarin Sakiru Adebola & Jauhari Dahalan, 2012. "Capital Mobility: An Application of Savings-Investment Link for Tunisia," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 1-11.

  168. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.

    Cited by:

    1. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
    2. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2005. "On the Predictive Content of Production Surveys : a Pan-European Study," Other publications TiSEM adab9f0e-7dfd-4dc4-bd92-b, Tilburg University, School of Economics and Management.
    3. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
    4. Jacek Kotlowski, 2005. "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers 20, Department of Applied Econometrics, Warsaw School of Economics.
    5. Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica 75/2010, Università di Perugia, Dipartimento Economia.
    6. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
    7. K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
    8. Alessandro Girardi & Claudio Impenna, 2013. "Price Discovery In The Italian Sovereign Bonds Market: The Role Of Order Flow," Working Papers LuissLab 13108, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    9. Sun, Changyou, 2007. "Variation of federal cost-share programs in the United States and the inducement effects on tree planting," Journal of Forest Economics, Elsevier, vol. 12(4), pages 279-296, February.
    10. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," Centre for Growth and Business Cycle Research Discussion Paper Series 11, Economics, The University of Manchester.
    11. Rizvi, Aun & Masih, Mansur, 2014. "Oil price shocks and GCC capital markets: who drives whom?," MPRA Paper 56993, University Library of Munich, Germany.
    12. Browne, Frank & Kelly, Robert, 2009. "Money and uncertainty in democratised financial markets," Research Technical Papers 16/RT/09, Central Bank of Ireland.
    13. Arouri, Mohamed El Hedi & Lahiani, Amine & Nguyen, Duc Khuong, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," Economic Modelling, Elsevier, vol. 28(4), pages 1815-1825, July.
    14. Lemmens, Aurelie & Croux, Christophe & Dekimpe, Marnik G., 2005. "On the predictive content of production surveys: A pan-European study," International Journal of Forecasting, Elsevier, vol. 21(2), pages 363-375.
    15. Caroline Duburcq, 2010. "The Impact of Exchange Rate Regime on Interest Rates in Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 47(135), pages 91-124.
    16. Caroline Duburcq & Eric Girardin, 2010. "Domestic and external factors in interest rate determination: the minor role of the exchange rate regime," Economics Bulletin, AccessEcon, vol. 30(1), pages 624-635.
    17. G. Rigatos, 2021. "Statistical Validation of Multi-Agent Financial Models Using the H-Infinity Kalman Filter," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 777-798, October.
    18. Olivier Basdevant & David Hargreaves, 2003. "Modelling structural change: the case of New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2003/03, Reserve Bank of New Zealand.

  169. Guglielmo Maria Caporale & Peter G. A Howells & Alaa M. Soliman, 2004. "Stock Market Development And Economic Growth: The Causal Linkage," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(1), pages 33-50, June.

    Cited by:

    1. Faisal Faisal & Peshraw Majid Muhamad & Turgut Tursoy, 2016. "Impact of Economic Growth, Foreign Direct Investment and Financial Development on Stock Prices in China: Empirical Evidence from Time Series Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1998-2006.
    2. Can Sever, 2022. "Financial structure convergence," International Finance, Wiley Blackwell, vol. 25(1), pages 65-83, April.
    3. Alexandru-Mihai BUGHEANU & Ruxandra DINULESCU & Florin PUCHEANU, 2021. "Empirical Study On Alternatives For Saving And Investing In The Postpandemic Period. Case Study: Romania," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 11(5), pages 27-40, October.
    4. Castaneda, Gonzalo, 2006. "Economic growth and concentrated ownership in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 59(2), pages 249-286, February.
    5. Stanislaw Kaszuba, 2010. "Prospects For The Future Growth Of The Newconnect Stock Market," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 5(2), pages 117-126, December.
    6. Pradhan, Rudra P. & Arvin, Mak B. & Norman, Neville R., 2015. "Insurance development and the finance-growth nexus: Evidence from 34 OECD countries," Journal of Multinational Financial Management, Elsevier, vol. 31(C), pages 1-22.
    7. Odhiambo, Nicholas M., 2008. "Financial depth, savings and economic growth in Kenya: A dynamic causal linkage," Economic Modelling, Elsevier, vol. 25(4), pages 704-713, July.
    8. Brian Muyambiri & Nicholas Odhiambo, 2017. "Financial Development, Savings and Investment in South Africa: A Dynamic Causality Test," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 17(3), pages 1-10, September.
    9. Nyasha, Sheilla & Odhiambo, Nicholas M., 2015. "Financial systems and economic growth: empirical evidence from Australia," Working Papers 18927, University of South Africa, Department of Economics.
    10. Yongming Shi & Khalid Ahmed & Sudharshan Reddy Paramati, 2021. "Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 560-572, January.
    11. N.P. Ravindra Deyshappriya, 2016. "The Causality Direction of the Stock Market–Growth Nexus: Application of GMM Dynamic Panel Data and the Panel Ganger Non-causality Tests," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(4), pages 446-464, November.
    12. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
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    56. Abdullahil Mamun & Mohammad Hasmat Ali & Nazamul Hoque & Md Masrurul Mowla & Shahanara Basher, 2018. "The Causality between Stock Market Development and Economic Growth: Econometric Evidence from Bangladesh," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(5), pages 212-220, May.
    57. Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2013. "Does the stock market cause economic growth? Portuguese evidence of economic regime change," Economic Modelling, Elsevier, vol. 32(C), pages 316-324.
    58. Yeþim Helhel, 2019. "Kýrýlgan Beþli Ülkelerde Hisse Senedi Piyasasý Geliþimi ve Ekonomik Büyüme Ýliþkisi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 7(1), pages 19-29.
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    61. Chaido Dritsaki & Melina Dritsaki-Bargiota, 2005. "The Causal Relationship between Stock, Credit Market and Economic Development: An Empirical Evidence for Greece," Economic Change and Restructuring, Springer, vol. 38(1), pages 113-127, March.
    62. Odhiambo, Nicholas M., 2009. "Finance-growth-poverty nexus in South Africa: A dynamic causality linkage," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 38(2), pages 320-325, March.
    63. Pradhan, Rudra P. & Arvin, Mak B. & Hall, John H. & Bahmani, Sahar, 2014. "Causal nexus between economic growth, banking sector development, stock market development, and other macroeconomic variables: The case of ASEAN countries," Review of Financial Economics, Elsevier, vol. 23(4), pages 155-173.
    64. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
    65. Mapa, Dennis S. & Briones, Kristine Joy S., 2006. "Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region," MPRA Paper 21247, University Library of Munich, Germany.
    66. Thomas Lagoarde-Segot & Brian M. Lucey, 2006. "Equity Markets and Economic Development: What Do We Know," The Institute for International Integration Studies Discussion Paper Series iiisdp182, IIIS.
    67. Rudra P. Pradhan, 2011. "Financial Development, Growth and Stock Market Development: The Trilateral Analysis in India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 134-145.
    68. Liu, Jianlei & Uchida, Konari & Li, Yuan, 2020. "Provincial economic performance and underpricing of IPOs: Evidence from political interventions in China," Economic Modelling, Elsevier, vol. 86(C), pages 274-285.
    69. Onyinye I. Anthony-Orji & Anthony Orji & Jonathan E. Ogbuabor, 2018. "Analysis of Stock Market Development, Foreign Private Investment and Economic Growth in Nigeria," Journal of Infrastructure Development, India Development Foundation, vol. 10(1-2), pages 1-17, June.
    70. Heidi Quah & Janto Haman & Dharmendra Naidu, 2021. "The effect of stock liquidity on investment efficiency under financing constraints and asymmetric information: Evidence from the United States," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2109-2150, April.
    71. Žmuk Berislav, 2016. "Capabilities of Statistical Residual-Based Control Charts in Short- and Long-Term Stock Trading," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 12-26, March.
    72. Krista B. Lewellyn & Maureen I. Muller-Kahle, 2020. "The Corporate Board Glass Ceiling: The Role of Empowerment and Culture in Shaping Board Gender Diversity," Journal of Business Ethics, Springer, vol. 165(2), pages 329-346, August.
    73. Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
    74. Huang Flora & Yeung Horace, 2018. "Law–Finance–Growth Nexus in the Context of Africa," The Law and Development Review, De Gruyter, vol. 11(2), pages 513-555, December.
    75. Apergis, Nicholas & Artikis, Panagiotis G. & Kyriazis, Dimitrios, 2015. "Does stock market liquidity explain real economic activity? New evidence from two large European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 42-64.
    76. Mohammad Enamul Hoque & Noor Azuddin Yakob, 2017. "Revisiting stock market development and economic growth nexus: The moderating role of foreign capital inflows and exchange rates," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1329975-132, January.
    77. Enisan, Akinlo A. & Olufisayo, Akinlo O., 2009. "Stock market development and economic growth: Evidence from seven sub-Sahara African countries," Journal of Economics and Business, Elsevier, vol. 61(2), pages 162-171.
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    79. Manurung, Roy M & Andriansyah, Andriansyah & Husodo, Bayu & Ngapon, Ngapon, 2011. "Pasar Modal dan Perekonomian Indonesia: Refleksi Hasil-Hasil Kajian Bagian Riset Ekonomi BAPEPAM-LK [Capital Market and Indonesian Economy: Costs of Disclosure, Use of Public Offering Proceeds, and," MPRA Paper 105413, University Library of Munich, Germany.
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  170. Guglielmo Maria Caporale & Nikitas Pittis, 2004. "Estimator Choice and Fisher's Paradox: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 25-52.

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    1. Salah A. Nusair, 2017. "The J-Curve phenomenon in European transition economies: A nonlinear ARDL approach," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(1), pages 1-27, January.
    2. Tang, Chor Foon, 2010. "Revisiting the health-income nexus in Malaysia: ARDL cointegration and Rao's F-test for causality," MPRA Paper 27287, University Library of Munich, Germany.
    3. Thorbecke, Willem, 2008. "Global imbalances, triangular trading patterns, and the yen/dollar exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 503-517, December.
    4. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
    5. Ang, James, 2009. "The Saving-Investment Dynamics And Financial Sector Reforms in India," MPRA Paper 14498, University Library of Munich, Germany.
    6. David O. Cushman & Glauco De Vita & Emmanouil Trachanas, 2023. "Is the Fisher effect asymmetric? Cointegration analysis and expectations measurement," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3727-3748, October.
    7. Guglielmo Maria Caporale & Luis Gil-Alaña, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
    8. Nusair, Salah A., 2016. "The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis," Energy Policy, Elsevier, vol. 91(C), pages 256-267.
    9. Esin Cakan, 2018. "Impact of Financial and Trade Openness on Financial Development in Emerging Market Economies: The Case of Turkey," American Journal of Economics and Business Administration, Science Publications, vol. 9(4), pages 71-80, March.
    10. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
    11. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
    12. Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes, 2017. "Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries," Econometrics, MDPI, vol. 5(1), pages 1-17, February.
    13. Westerlund, J., 2006. "Panel cointegration tests of the Fisher effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    14. Ahmed Mehedi Nizam, 2020. "How the banking system is creating a two-way inflation in an economy," PLOS ONE, Public Library of Science, vol. 15(4), pages 1-40, April.
    15. Georgios A. Savvakis & Dimitris Kenourgios & Theofanis Papageorgiou, 2021. "To EMU or not to EMU: Can TFP “provoke” the capital structure puzzle of SMEs?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2595-2611, April.
    16. Nusair, Salah A., 2019. "Oil price and inflation dynamics in the Gulf Cooperation Council countries," Energy, Elsevier, vol. 181(C), pages 997-1011.
    17. M. Shahe Emran & Forhad Shilpi & M. Imam Alam, 2007. "Economic liberalization and price response of aggregate private investment: time series evidence from India," Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 914-934, August.
    18. Ang, James B., 2010. "Research, technological change and financial liberalization in South Korea," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 457-468, March.
    19. Salah A Nusair, 2017. "On the Nominal and Real Currency Devaluation Nexus in European Transition Economies," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(4), pages 677-698, September.
    20. Ang, James B., 2011. "Finance and consumption volatility: Evidence from India," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 947-964, October.
    21. M. Shahe Emran & Forhad Shilpi, 2010. "Estimating an Import Demand Function in Developing Countries: A Structural Econometric Approach with Applications to India and Sri Lanka," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 307-319, May.
    22. Ang, James, 2009. "Financial Liberalization Or Repression?," MPRA Paper 14497, University Library of Munich, Germany.
    23. Nusair, Salah A., 2020. "The asymmetric effects of oil price changes on unemployment: Evidence from Canada and the U.S," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    24. Dong-Hyeon Kim & Shu-Chin Lin & Joyce Hsieh & Yu-Bo Suen, 2018. "The Fisher Equation: A Nonlinear Panel Data Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(1), pages 162-180, January.
    25. Taner Yigit & Neil Arnwine, 2007. "What Fisher Knew About His Relation, We Sometimes Forget," Working Papers 0707, Department of Economics, Bilkent University.
    26. Ang, James, 2009. "Growth Volatility and Financial Repression: Time Series Evidence from India," MPRA Paper 14412, University Library of Munich, Germany.
    27. Jamal HUSEIN & Chuck PIER, 2019. "Long-Run Sustainability Of Current Account Balance: Evidence From Twenty North And Latin American Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 19(2), pages 75-90.

  171. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, vol. 13(4), pages 327-340.
    See citations under working paper version above.
  172. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
    See citations under working paper version above.
  173. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.

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    1. José M. Belbute & Alfredo Marvão Pereira, 2015. "Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis," Working Papers 163, Department of Economics, College of William and Mary.
    2. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.

  174. Caporale, Guglielmo Maria & Pittis, Nikitas & Sakellis, Panayiotis, 2003. "Testing for PPP: the erratic behaviour of unit root tests," Economics Letters, Elsevier, vol. 80(2), pages 277-284, August.

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    1. Guglielmo Maria Caporale & Christoph Hanck, 2010. "Are PPP tests erratically behaved? Some panel evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
    2. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
    3. Guglielmo Maria Caporale & Andros Gregoriou, 2009. "Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 223-226.
    4. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
    5. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
    6. Gawon Yoon, 2009. "Are real exchange rates more likely to be stationary during the fixed nominal exchange rate regimes?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 17-22.
    7. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    8. Kanas, Angelos & Genius, Margarita, 2005. "Regime (non)stationarity in the US/UK real exchange rate," Economics Letters, Elsevier, vol. 87(3), pages 407-413, June.
    9. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
    10. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299.
    11. Saphores, Jean-Daniel M., 2005. "The density of bounded diffusions," Economics Letters, Elsevier, vol. 86(1), pages 87-93, January.
    12. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

  175. Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.

    Cited by:

    1. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, Elsevier, vol. 150(C), pages 1-18.
    2. Mr. Cyril Pouvelle, 2012. "Bank Credit, Asset Prices and Financial Stability: Evidence From French Banks," IMF Working Papers 2012/103, International Monetary Fund.
    3. Ciccarone Giuseppe & Giuli Francesco & Marchetti Enrico, 2020. "Prospect Theory and sentiment-driven fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-25, January.
    4. Karunanayake, Indika & Valadkhani, Abbas & O’Brien, Martin, 2012. "GDP Growth and the Interdependency of Volatility Spillovers," MPRA Paper 50398, University Library of Munich, Germany.
    5. Pasquale Foresti & Oreste Napolitano, 2016. "On the Stock Markets’ Reactions to Taxation and Public Expenditure," LEQS – LSE 'Europe in Question' Discussion Paper Series 115, European Institute, LSE.
    6. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    7. Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," RWI Discussion Papers 42, RWI - Leibniz-Institut für Wirtschaftsforschung.
    8. Talla M Aldeehani, 2019. "Have Stock Markets Become Less Volatile After the Great Recession?," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(3), pages 10-25, December.
    9. Mercan Hatipoglu, 2020. "Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(1), pages 105-126.
    10. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
    11. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
    12. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Business School - Economics, University of Glasgow.
    13. Abbas Valadkhani & George Chen, 2014. "An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(3), pages 323-335, May.
    14. Jin Guo, 2015. "Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 12-31, January.

  176. Guglielmo Maria Caporale & Nikitas Pittis & Nicola Spagnolo, 2003. "IGARCH models and structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 765-768.

    Cited by:

    1. Kuper, G.H. & Mulder, Machiel, 2013. "Cross-border constraints, institutional changes and integration of the Dutch-German gas market," Research Report 13004-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Tronzano, Marco, 2009. "Assessing the Volatility of the Euro on Foreign Exchange Markets: Further Empirical Evidence and Policy Implications," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(1), pages 103-131.
    4. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
    5. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    6. Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.
    7. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    8. Nyoni, Thabani, 2018. "Modeling and Forecasting Inflation in Zimbabwe: a Generalized Autoregressive Conditionally Heteroskedastic (GARCH) approach," MPRA Paper 88132, University Library of Munich, Germany.
    9. Williams Ohemeng & Elvis Kwame Agyapong & Kenneth Ofori-Boateng, 2021. "Exchange rate and inflation dynamics: does the month or quarter of the year matter?," SN Business & Economics, Springer, vol. 1(6), pages 1-24, June.
    10. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    11. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.
    12. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
    13. Dennis Koch & Vahidin Jeleskovic & Zahid I. Younas, 2024. "Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models," Papers 2401.03393, arXiv.org, revised Jan 2024.
    14. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
    15. Hu Liang & Shin Yongcheol, 2008. "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-27, September.

  177. Guglielmo Caporale & Michael Chui & Stephen Hall & Brian Henry, 2003. "Evaluating the Gains to Cooperation in the G-3," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(4), pages 337-356, December.

    Cited by:

    1. Brian M. Doyle & Joseph E. Gagnon & Dale W. Henderson & Laurence H. Meyer, 2002. "International coordination of macroeconomic policies: still alive in the new millennium?," International Finance Discussion Papers 723, Board of Governors of the Federal Reserve System (U.S.).
    2. Shushanik Papanyan, 2010. "The transmission of shocks between Europe, Japan and the United States," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 54-70.

  178. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 136-152, June.

    Cited by:

    1. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    2. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.

  179. Guglielmo Maria Caporale & Andrea Cipollini, 2002. "The Euro and Monetary Policy Transparency," Eastern Economic Journal, Eastern Economic Association, vol. 28(1), pages 59-70, Winter.

    Cited by:

    1. Martin Mandler, 2009. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MAGKS Papers on Economics 200947, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    2. Mandler, Martin, 2007. "The Taylor rule and interest rate uncertainty in the U.S. 1955-2006," MPRA Paper 2340, University Library of Munich, Germany.
    3. Iris Biefang-Frisancho Mariscal & Peter Howells, 2007. "Monetary Policy Transparency in the UK: The Impact of Independence and Inflation Targeting," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(5), pages 603-617.
    4. Mandler, Martin, 2012. "Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 228-245.

  180. Caporale, Guglielmo Maria & Pittis, Nikitas & Spagnolo, Nicola, 2002. "Testing for Causality-in-Variance: An Application to the East Asian Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 235-245, July.

    Cited by:

    1. Liow, Kim Hiang & Schindler, Felix, 2011. "An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels," ZEW Discussion Papers 11-056, ZEW - Leibniz Centre for European Economic Research.
    2. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
    3. Mongi Arfaoui & Aymen Ben Rejeb, 2017. "Oil, gold, US dollar and stock market interdependencies: a global analytical insight," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 26(3), pages 278-293, October.
    4. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
    5. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," Discussion Papers of DIW Berlin 1289, DIW Berlin, German Institute for Economic Research.
    6. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
    7. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2009. "La curva de rendimiento y su relación con la actividad económica: una aplicación para México," Monetaria, CEMLA, vol. 0(3), pages 297-357, octubre-d.
    8. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7.
    9. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
    10. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    11. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    12. Magdalena Osinska, 2011. "On the Interpretation of Causality in Granger’s Sense," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 129-140.
    13. Pablo Mendieta Ossio & Sergio Cerezo Aguirre & Javier Cossío Medinacelli, 2009. "¿La inflación está de vuelta en Sudamérica?. Choques exógenos, expectativas y credibilidad de la política monetaria," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 11(1), pages 111-146, December.
    14. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
    15. Mohammad Isleimeyyeh & Amine Ben Amar & Stéphane Goutte & Ramzi Benkraiem, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," Post-Print hal-03674806, HAL.
    16. Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.
    17. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
    18. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    19. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    20. Abdullah M. Noman & Sarkar Humayun Kabir & Omar K.M.R. Bashar, 2012. "Causality between stock and foreign exchange markets in Bangladesh," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(3), pages 174-186, July.
    21. Guillermo Benavides & Carlos Capistrán, 2009. "Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008," Monetaria, CEMLA, vol. 0(3), pages 391-412, octubre-d.
    22. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
    23. Talla M Aldeehani, 2019. "Have Stock Markets Become Less Volatile After the Great Recession?," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(3), pages 10-25, December.
    24. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
    25. Lucía Morales & Bernadette Andreosso-O’Callaghan, 2014. "Volatility analysis of precious metals returns and oil returns: An ICSS approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 492-517, July.
    26. Javier Pereda, 2009. "Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario," Monetaria, CEMLA, vol. 0(3), pages 413-450, octubre-d.
    27. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004-03, Christian-Albrechts-University of Kiel, Department of Economics.
    28. Harendra Behera & Rajiv Ranjan & Sajjid Chinoy, 2022. "Does offshore NDF market influence onshore forex market? Evidence from India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1167-1185, June.
    29. Han, Young Wook, 2005. "Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate," Japan and the World Economy, Elsevier, vol. 17(1), pages 97-109, January.
    30. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
    31. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
    32. Anhar Fauzan Priyono & Arief Bustaman, 2014. "Volatility Transmission between Exchange Rates and Stock Prices in Indonesia post 1997 Asia Crisis," Working Papers in Economics and Development Studies (WoPEDS) 201404, Department of Economics, Padjadjaran University, revised Feb 2014.
    33. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.
    34. Stefanescu, Razvan & Dumitriu, Ramona, 2011. "Linkages between the stock prices and the exchange rates during the global crisis: the case of Romania," MPRA Paper 43350, University Library of Munich, Germany, revised 22 Oct 2011.
    35. Nàtalia Valls & Helena Chulià, 2014. "“Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis”," IREA Working Papers 201431, University of Barcelona, Research Institute of Applied Economics, revised Dec 2014.
    36. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
    37. Lucía de las Nieves Morales, 2008. "Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 185-215.
    38. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
    39. Manish Kumar, 2009. "A Bivariate Linear and Nonlinear Causality between Stock Prices and Exchange Rates," Economics Bulletin, AccessEcon, vol. 29(4), pages 2884-2895.
    40. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
    41. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
    42. Yau, Hwey-Yun & Nieh, Chien-Chung, 2009. "Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan," Japan and the World Economy, Elsevier, vol. 21(3), pages 292-300, August.
    43. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
    44. Hajra Ihsan & Abdul Rashid & Anam Naz, 2018. "Exchange Rate Exposure and Firm Value: An Assessment of Domestic Versus Multinational Firms," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 51-77, Jan-June.
    45. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    46. Benavides Guillermo & Capistrán Carlos, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México.
    47. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Global Social Science Institute, vol. 17(2), pages 157-202.

  181. Guglielmo Caporale & Mohammad Haq, 2002. "Manufacturing Wage Differentials and Employment in Some Scandinavian Countries, the U.S. and the U.K.: An Analysis of Variance Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 29(4), pages 289-304, December.

    Cited by:

    1. Ewing, Bradley T. & Thompson, Mark A., 2008. "VAR and generalized impulse response analysis of manufacturing unit labor costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2575-2583.

  182. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.

    Cited by:

    1. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin 1077, DIW Berlin, German Institute for Economic Research.
    3. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    4. Jeffrey Jarrett & Eric Kyper, 2006. "Capital market efficiency and the predictability of daily returns," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 631-636.
    5. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    6. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002. "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers 02/02, School of Economics and Business Administration, University of Navarra.
    7. L.A. Gil‐Alana, 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, John Wiley & Sons, vol. 15(1), pages 28-48.
    8. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    9. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    10. G. L. Zou, 2019. "A Study on the Integrated Property of A Chinese Petroleum Firm Stock Prices," Sumerianz Journal of Business Management and Marketing, Sumerianz Publication, vol. 2(1), pages 15-18, 01-2019.
    11. Chaitip, Prasert & Balogh, Peter & Kovacs, Sandor & Chaiboonsri, Chukiat, 2011. "On Tests For Long-Term Dependence: India’S International Tourism Market," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 5(1-2), pages 1-6.
    12. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
    13. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
    14. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016. "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers 201683, University of Pretoria, Department of Economics.
    15. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "Cycles and Long-Range Behaviour in the European Stock Markets," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 293-302, Springer.
    16. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2011. "Forecasting the Spanish Stock Market Returns with Fractional and Non-Fractional Models," American Journal of Economics and Business Administration, Science Publications, vol. 3(4), pages 586-588, December.
    17. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
    18. Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
    19. Simeon Coleman & Vitor Leone, 2015. "An investigation of regime shifts in UK commercial property returns: a time series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6479-6492, December.
    20. Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
    21. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.

  183. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini, 2002. "Does Inflation Targeting Affect the Trade–off Between Output Gap and Inflation Variability?," Manchester School, University of Manchester, vol. 70(4), pages 528-545, June.

    Cited by:

    1. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2010. "Short- and Long-Run Differences in the Treatment Effects of Inflation Targeting on Developed and Developing Countries," Working Papers 1003, University of Nevada, Las Vegas , Department of Economics, revised Aug 2010.
    2. P Arestis & A Mihailov, 2009. "Flexible Rules cum Constrained Discretion: A New Consensus in Monetary Policy," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 27-54, September.
    3. Hakan Berument & Ebru Yuksel, 2007. "Effects of Adopting Inflation Targeting Regimes on Inflation Variability," Working Papers 0702, Department of Economics, Bilkent University.
    4. Nathan Perry & Nathaniel Cline, 2013. "Wages, Exchange Rates, and the Great Inflation Moderation: A Post-Keynesian View," Economics Working Paper Archive wp_759, Levy Economics Institute.
    5. Kesavarajah Mayandy & Paul Middleditch, 2020. "Monetary Policy and Inflation-Output Variability in Sri Lanka: Lessons for Developing Economies," Economics Discussion Paper Series 2001, Economics, The University of Manchester.
    6. International Monetary Fund, 2005. "Inflation Targeting and Output Growth: Empirical Evidence for the European Union," IMF Working Papers 2005/089, International Monetary Fund.
    7. Philip Arestis & Kostas Mouratidis, 2004. "Is There a Trade‐Off Between Inflation Variability and Output‐Gap Variability in the EMU Countries?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(5), pages 691-706, November.
    8. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2009. "Inflation Targeting Evaluation: Short-run Costs and Long-run Irrelevance," Working Papers 0920, University of Nevada, Las Vegas , Department of Economics.
    9. Jan Libich & Petr Stehlík, 2012. "Monetary Policy Facing Fiscal Indiscipline under Generalized Timing of Actions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 168(3), pages 393-431, September.
    10. Sanjeev Parmanand, 2022. "The impact of Philippine monetary policy on domestic prices and output: evaluating the country’s transmission channels," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 59(1), pages 46-76, June.
    11. Libich Jan, 2011. "Inflation Nutters? Modelling the Flexibility of Inflation Targeting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-36, June.
    12. Stephanos Papadamou & Vangelis Arvanitis, 2015. "The effect of the market-based monetary policy transparency index on inflation and output variability," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 105-124, January.
    13. Giuseppe Fontana & Alfonso Palacio- Vera, 2005. "Are Long-Run Price Stability and Short-run Output Stabilization All that Monetary Policy Can Aim For?," Macroeconomics 0511024, University Library of Munich, Germany.
    14. Huang, Ho-Chuan & Yeh, Chih-Chuan & Wang, Xiuhua, 2019. "Inflation targeting and output-inflation tradeoffs," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 102-120.
    15. Nicholas Apergis & Stephen M. Miller & Alexandros Panethimitakis & Athanassios Vamvakidis, 2005. "Inflation Targeting and Output Growth: Evidence from Aggregate European Data," Working papers 2005-06, University of Connecticut, Department of Economics.
    16. Nathan Perry & Nathaniel Cline, 2016. "What caused the great inflation moderation in the US? A post-Keynesian view," Review of Keynesian Economics, Edward Elgar Publishing, vol. 4(4), pages 475-502, October.
    17. Stephen M. Miller & WenShwo Fang & Ozkan Eren, 2012. "Inflation Targeting: Does It Improve Economic Performance?," Working Papers 1207, University of Nevada, Las Vegas , Department of Economics.

  184. Caporale, Guglielmo Maria & Williams, Geoffrey, 2002. "Long-term nominal interest rates and domestic fundamentals," Review of Financial Economics, Elsevier, vol. 11(2), pages 119-130.

    Cited by:

    1. Jean-Paul Fitoussi & Francesco Saraceno, 2007. "Fiscal discipline as a social norm : the European Stability Pact," Sciences Po publications n°2007-22, Sciences Po.
    2. Miyajima, Ken & Mohanty, M.S. & Chan, Tracy, 2015. "Emerging market local currency bonds: Diversification and stability," Emerging Markets Review, Elsevier, vol. 22(C), pages 126-139.
    3. Bruno Ducoudré, 2005. "Fiscal policy and interest rates," Documents de Travail de l'OFCE 2005-08, Observatoire Francais des Conjonctures Economiques (OFCE).
    4. Matteo Deleidi & Enrico Sergio Levrero, 2021. "Monetary policy and long‐term interest rates: Evidence from the U.S. economy," Metroeconomica, Wiley Blackwell, vol. 72(1), pages 121-147, February.
    5. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Fiscal Spillovers in the Euro Area," Discussion Papers of DIW Berlin 1164, DIW Berlin, German Institute for Economic Research.
    6. Agnieszka Gehringer & Thomas Mayer, 2019. "Understanding low interest rates: evidence from Japan, Euro Area, United States and United Kingdom," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 28-53, February.
    7. Koji Nakamura & Tomoyuki Yagi, 2015. "Fiscal Conditions and Long-term Interest Rates," Bank of Japan Working Paper Series 15-E-10, Bank of Japan.
    8. Bandholz, Harm & Clostermann, Joerg & Seitz, Franz, 2007. "Explaining the US Bond Yield Conundrum," MPRA Paper 2386, University Library of Munich, Germany.
    9. Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
    10. Serkan Arslanalp & Tigran Poghosyan, 2016. "Foreign Investor Flows and Sovereign Bond Yields in Advanced Economies," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(6), pages 45-67, June.
    11. Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
    12. Peter Claeys & Rosina Moreno & Jordi Suriñach, 2010. "Fiscal Policy and Interest Rates: The Role of Financial and Economic Integration," Advances in Spatial Science, in: Antonio Páez & Julie Gallo & Ron N. Buliung & Sandy Dall'erba (ed.), Progress in Spatial Analysis, pages 311-336, Springer.
    13. Ardagna Silvia & Caselli Francesco & Lane Timothy, 2007. "Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-35, August.
    14. TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany.
    15. Christoph A. Schaltegger & Martin Weder, 2010. "Fiscal Adjustment and the Costs of Public Debt Service: Evidence from OECD Countries," CREMA Working Paper Series 2010-08, Center for Research in Economics, Management and the Arts (CREMA).
    16. Ardagna, Silvia & Caselli, Francesco & Lane, Timothy, 2005. "Fiscal discipline and the cost of public debt service: some estimates for OECD countries," LSE Research Online Documents on Economics 3562, London School of Economics and Political Science, LSE Library.
    17. Clostermann, Jörg & Seitz, Franz, 2005. "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers 11, Technische Hochschule Ingolstadt (THI).
    18. Jérôme Creel & Bruno Ducoudre & Catherine Mathieu & Henri Sterdyniak, 2005. "Doit-on oublier la politique budgétaire? Une analyse critique de la nouvelle théorie anti-keynésienne des finances publiques," SciencePo Working papers Main hal-01020610, HAL.
    19. Ardagna, Silvia, 2009. "Financial markets' behavior around episodes of large changes in the fiscal stance," European Economic Review, Elsevier, vol. 53(1), pages 37-55, January.
    20. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
    21. Eva‐Maria Kalteier & Peter N. Posch, 2013. "Sovereign asset values and implications for the credit market," Review of Financial Economics, John Wiley & Sons, vol. 22(2), pages 53-60, April.
    22. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    23. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Statistics Norway, Research Department.
    24. Gerhard Reitschuler & Rupert Sendlhofer, 2011. "Fiscal policy, trigger points and interest rates: Additional evidence from the U.S," Working Papers 2011-23, Faculty of Economics and Statistics, Universität Innsbruck.
    25. Posch, Peter N & Bowden, Roger J & Kalteier, Eva-Maria, 2014. "The financial economics of sovereign asset value: functional perspectives and market outcomes," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100439, Verein für Socialpolitik / German Economic Association.
    26. Claeys, Peter & Moreno, Rosina & Suriñach, Jordi, 2012. "Debt, interest rates, and integration of financial markets," Economic Modelling, Elsevier, vol. 29(1), pages 48-59.
    27. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
    28. Kiichi Tokuoka, 2010. "The Outlook for Financing Japan's Public Debt," IMF Working Papers 2010/019, International Monetary Fund.
    29. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    30. Levrero, Enrico Sergio & Deleidi, Matteo, 2019. "The causal relationship between short- and long-term interest rates: an empirical assessment of the United States," MPRA Paper 93608, University Library of Munich, Germany.
    31. González-Fernández, Marcos & González-Velasco, Carmen, 2016. "Which countries pay more or less for their long term debt? A CART approach || ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 21(1), pages 103-116, June.
    32. Kurita, Takamitsu, 2016. "Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 74-80.

  185. Guglielmo Maria Caporale & Margarita Katsimi & Nikitas Pittis, 2002. "Causality Links between Consumer and Producer Prices: Some Empirical Evidence," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 703-711, January.

    Cited by:

    1. Williams Corey J. M., 2023. "Unraveling Producer Price Inflation Pass-Through: Quantification, Structural Breaks, and Causal Direction," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-16, January.
    2. Jing Sun & Jinhui Xu & Xin Cheng & Jichao Miao & Hairong Mu, 2023. "Dynamic causality between PPI and CPI in China: A rolling window bootstrap approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1279-1289, April.

  186. Guglielmo Maria Caporale & Luis Gil-Alana, 2002. "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 347-351.
    See citations under working paper version above.
  187. Guglielmo Maria Caporale & Michael Chui & Stephen G. Hall & S. G. B. Henry, 2002. "Modelling Economic Policy Responses with an Application to the G3," Annals of Economics and Statistics, GENES, issue 67-68, pages 415-433.

    Cited by:

    1. Guglielmo Caporale & Michael Chui & Stephen Hall & Brian Henry, 2003. "Evaluating the Gains to Cooperation in the G-3," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(4), pages 337-356, December.

  188. Caporale, Guglielmo Maria & Pittis, Nikitas, 2002. "Unit Roots versus Other Types of Time Heterogeneity, Parameter Time Dependence and Superexogeneity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 207-223, April.

    Cited by:

    1. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
    2. Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008. "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 1(1), pages 1-20.
    3. Guglielmo Maria Caporale & Andros Gregoriou, 2009. "Non-normality, heteroscedasticity and recursive unit root tests of PPP: solving the PPP puzzle?," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 223-226.
    4. Caporale, Guglielmo Maria & Pittis, Nikitas & Sakellis, Panayiotis, 2003. "Testing for PPP: the erratic behaviour of unit root tests," Economics Letters, Elsevier, vol. 80(2), pages 277-284, August.

  189. Caporale, Guglielmo Maria & Chui, Michael & Hall, Stephen G. & Henry, Brian, 2001. "Coordination and price shocks: an empirical analysis," Economic Modelling, Elsevier, vol. 18(4), pages 569-584, December.

    Cited by:

    1. Guglielmo Caporale & Michael Chui & Stephen Hall & Brian Henry, 2003. "Evaluating the Gains to Cooperation in the G-3," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(4), pages 337-356, December.

  190. Caporale, Guglielmo Maria & Williams, Geoffrey, 2001. "Monetary Policy and Financial Liberalization: The Case of United Kingdom Consumption," Journal of Macroeconomics, Elsevier, vol. 23(2), pages 177-197, April.

    Cited by:

    1. Iacoviello, Matteo, 2004. "Consumption, house prices, and collateral constraints: a structural econometric analysis," Journal of Housing Economics, Elsevier, vol. 13(4), pages 304-320, December.
    2. Abdur Chowdhury, 2001. "The Impact of Financial Reform on Private Savings in Bangladesh," WIDER Working Paper Series DP2001-78, World Institute for Development Economic Research (UNU-WIDER).
    3. James, Ang, 2009. "Financial Liberalization and the Aid-Growth Relationship in India," MPRA Paper 14411, University Library of Munich, Germany.
    4. Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
    5. Marattin, Luigi & Paesani, Paolo & Salotti, Simone, 2011. "Fiscal shocks, public debt, and long-term interest rate dynamics," Working Papers 14/2011, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    6. Cheah, Siew Pong & Law, Siong Hook, 2017. "Roles of Housing Wealth and Financial Wealth in Monetary Transmission Mechanism in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 51(1), pages 77-86.
    7. Shahbaz, Muhammad & Nawaz, Kishwar & Arouri, Mohamed & Teulon, Frédéric & Uddin, Gazi Salah, 2013. "On the validity of the Keynesian Absolute Income hypothesis in Pakistan: An ARDL bounds testing approach," Economic Modelling, Elsevier, vol. 35(C), pages 290-296.
    8. Peltonen, Tuomas A. & Sousa, Ricardo M. & Vansteenkiste, Isabel S., 2012. "Wealth effects in emerging market economies," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 155-166.
    9. Conceição Pereira, 2003. "The Effects of Households’ and Firms’ Borrowing Constraints on Economic Growth," GEMF Working Papers 2003-04, GEMF, Faculty of Economics, University of Coimbra.
    10. Ruttachai Seelajaroen & Pornanong Budsaratragoon & Boonlert Jitmaneeroj, 2020. "Do monetary policy transparency and central bank communication reduce interest rate disagreement?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 368-393, April.
    11. Shahbaz, Muhammad & Nawaz, Kishwer & AROURI, Mohamed El Hedi & Teulon, Frédéric, 2013. "Does The Keynesian Absolute Income Hypothesis Exist in Pakistan?," MPRA Paper 47923, University Library of Munich, Germany, revised 01 Jul 2013.
    12. Emilio Fernandez-Corugedo & John Muellbauer, 2006. "Consumer credit conditions in the United Kingdom," Bank of England working papers 314, Bank of England.
    13. James B. Ang, 2010. "Does Foreign Aid Promote Growth? Exploring the Role of Financial Liberalization," Review of Development Economics, Wiley Blackwell, vol. 14(2), pages 197-212, May.

  191. Guglielmo Caporale & Nikitas Pittis, 2001. "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(3), pages 501-524, September.

    Cited by:

    1. Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008. "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 1(1), pages 1-20.
    2. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
    3. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.

  192. Caporale, Guglielmo Maria & Kalyvitis, Sarantis & Pittis, Nikitas, 2001. "Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan," Journal of Policy Modeling, Elsevier, vol. 23(6), pages 637-650, August.

    Cited by:

    1. Abdalrahman AbuDalu & Elsadig Musa Ahmed, 2013. "The long and short run forcing variables of purchasing power parity of ASEAN-5," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(3), pages 066-081.
    2. Christina Anderl & Guglielmo Maria Caporale, 2022. "Exchange rate parities and Taylor rule deviations," Empirical Economics, Springer, vol. 63(4), pages 1809-1835, October.
    3. Levent, Korap, 2008. "Testing international parity hypothesis in a multivariate identified co-integrating system: the Turkish evidence," MPRA Paper 20020, University Library of Munich, Germany.
    4. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working Papers 1208, University of Nevada, Las Vegas , Department of Economics.
    5. Abdul RASHID, 2009. "Testing The Modified-Combined Ppp And Uip Hypothesis In South Asian Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    6. Chan, Tze-Haw, 2011. "A structural modeling of exchange rate, prices and interest rates between Malaysia-China in the liberalization era," MPRA Paper 32955, University Library of Munich, Germany.
    7. Rodolfo Helg & Massimiliano Serati, "undated". "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Guneratne B Wickremasinghe, 2004. "Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka," Econometric Society 2004 Australasian Meetings 236, Econometric Society.
    9. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
    10. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2014. "Purchasing Power Parity Between the UK and Germany: The Euro Era," Open Economies Review, Springer, vol. 25(4), pages 677-699, September.
    11. Mylonidis, Nikolaos & Paleologou, Suzanna-Maria, 2011. "The real uncovered interest parity: The case of Canada and the USA," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 255-267, March.
    12. Rashid, Abdul & Husain, Fazal, 2012. "On the modeling of exchange rate: some evidence from Pakistan," MPRA Paper 47547, University Library of Munich, Germany.
    13. Chan, Tze-Haw, 2012. "Assessing the international parity conditions and transmission mechanism for Malaysia-China," MPRA Paper 38930, University Library of Munich, Germany.

  193. Guglielmo Maria Caporale & Geoffrey Williams, 2001. "Bond Markets and Macroeconomic Performance," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 4(1), pages 27-44, May.

    Cited by:

    1. Andres Vesilind, 2003. "Application Of Fundamental Models To Money And Exchange Rate Markets," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 22, Faculty of Economics and Business Administration, University of Tartu (Estonia).

  194. Barassi, Marco R & Caporale, Guglielmo Maria & Hall, Stephen G, 2001. "Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 127-138, April.

    Cited by:

    1. Strauch, Rolf & Paesani, Paolo & Kremer, Manfred, 2006. "Public debt and long-term interest rates: the case of Germany, Italy and the USA," Working Paper Series 656, European Central Bank.
    2. Aditya Keshari & Amit Gautam, 2022. "Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong," Jindal Journal of Business Research, , vol. 11(1), pages 34-43, June.
    3. Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    4. Hassan, M. Kabir & Paltrinieri, Andrea & Dreassi, Alberto & Miani, Stefano & Sclip, Alex, 2018. "The determinants of co-movement dynamics between sukuk and conventional bonds," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 73-84.
    5. Peter G. Dunne & Michael J. Moore & Richard Portes, 2002. "Defining Benchmark Status: An Application using Euro-Area Bonds," NBER Working Papers 9087, National Bureau of Economic Research, Inc.
    6. Bhuiyan, Rubaiyat Ahsan & Rahman, Maya Puspa & Saiti, Buerhan & Ghani, Gairuzazmi Bin Mat, 2019. "Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 675-687.
    7. Lucey, Brian M. & Steeley, James, 2006. "Measuring and assessing the effects and extent of international bond market integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 1-3, February.
    8. Najeeb, Syed Faiq & Bacha, Obiyathulla & Masih, Mansur, 2014. "Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis," MPRA Paper 56956, University Library of Munich, Germany.
    9. Selçuk BAYRACI, 2018. "Return, shock and volatility spillovers between the bond markets of Turkey and developed countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(616), A), pages 135-144, Autumn.
    10. Adugna Olani, 2016. "Dynamic Capital Inflow Transmission Of Monetary Policy To Emerging Markets," Working Paper 1358, Economics Department, Queen's University.
    11. Shabeer Khan & Niaz Ahmed Bhutto & Uzair Abdullah Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abdullah Ludeen, 2022. "Ṣukūk or Bond, Which Is More Sustainable during COVID-19? Global Evidence from the Wavelet Coherence Model," Sustainability, MDPI, vol. 14(17), pages 1-20, August.
    12. Marta Gómez†Puig, 2009. "Systemic and Idiosyncratic Risk in EU†15 Sovereign Yield Spreads after Seven Years of Monetary Union," European Financial Management, European Financial Management Association, vol. 15(5), pages 971-1000, November.
    13. Ciner, Cetin, 2007. "Dynamic linkages between international bond markets," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 290-303, October.
    14. Kemal Eyuboglu & Sinem Eyuboglu, 2017. "Examining the Developed and Emerging Bond Market Interactions: A VAR Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 139-156, April.
    15. Yang, Jian, 2005. "International bond market linkages: a structural VAR analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 39-54, January.
    16. Ghoshray, Atanu & Lloyd, Tim A., 2003. "Price Linkages In The International Wheat Market," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25852, International Association of Agricultural Economists.
    17. Babalos, Vassilios & Stavroyiannis, Stavros, 2017. "Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1021-1029.
    18. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).
    19. Jeon, Bang Nam & Ji, Philip & Zhang, Hongfang, 2012. "International linkages of Japanese bond markets: an empirical analysis," MPRA Paper 36929, University Library of Munich, Germany, revised 01 Jan 2012.

  195. Boyd, Derick & Caporale, Gugielmo Maria & Smith, Ron, 2001. "Real Exchange Rate Effects on the Balance of Trade: Cointegration and the Marshall-Lerner Condition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 187-200, July.

    Cited by:

    1. Luciano Nakabashi, 2010. "Thirlwall ou Solow? Uma análise para a economia brasileira entre 1947 e 2008," Working Papers 0110, Universidade Federal do Paraná, Department of Economics.
    2. Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014. "The evolution of risk premium as a measure for intra-regional equity market integration," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
    3. Palazzo, Gabriel & Rapetti, Martín, 2023. "From macro to micro and macro back: Macroeconomic trade elasticities in a developing economy," Structural Change and Economic Dynamics, Elsevier, vol. 65(C), pages 223-252.
    4. Matthieu Bussiere & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization Institute Working Papers 119, Federal Reserve Bank of Dallas.
    5. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "Utilizarea cursurilor valutare drept ancore nominale antiinflaţioniste [The use of exchange rates as nominal anchors]," MPRA Paper 52415, University Library of Munich, Germany.
    6. Issouf Samaké & Yongzheng Yang, 2011. "Low-Income Countries' BRIC Linkage: Are there Growth Spillovers?," IMF Working Papers 2011/267, International Monetary Fund.
    7. Usama Ehsan Khan, Muhammad Umar Zahid, Afshan Uroos, Aamir Hussain Siddiqui, 2018. "Impact of Devaluation on Balance of Trade: A Context of Neighboring Countries," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(2), pages 68-77, October.
    8. Antonis Adam & Margarita Katsimi & Thomas Moutos, 2012. "Inequality and the import demand function," Oxford Economic Papers, Oxford University Press, vol. 64(4), pages 675-701, October.
    9. Hubert Gabrisch, 2015. "Net Capital Flows To And The Real Exchange Rate Of Western Balkan Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 60(205), pages 31-52, April – J.
    10. Homamul Islam, 2021. "Evaluating the Persistence of j Curve Phenomenon in the Bilateral Trade between Bangladesh and USA: The ARDL Bounds Testing Approach and Granger Causality Analysis," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(2), pages 74-81, 06-2021.
    11. Yaya Keho, 2021. "Real Exchange Rate and Trade Balance Dynamics in Cote d Ivoire," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 61-70.
    12. Murshed, Muntasir & Rashid, Seemran, 2020. "An Empirical Investigation of Real Exchange Rate Responses to Foreign Currency Inflows: Revisiting the Dutch Disease phenomenon in South Asia," MPRA Paper 98756, University Library of Munich, Germany.
    13. Ai Lian Tan Author_Email: tanal@utar.edu.my & Shiau Mooi Lim & Seow Shin Koong & Ying Yin Koay, 2011. "Exchange Rate And Current Account: Are They Co-Integrated Symmetrically Or Asymmetrically?," Annual Summit on Business and Entrepreneurial Studies (ASBES 2011) Proceeding 2011-019-150, Conference Master Resources.
    14. Suwanhirunkul, Suwijak & Masih, Mansur, 2018. "Exchange rate and trade balance linkage: sectoral evidence from Thailand based on nonlinear ARDL," MPRA Paper 87541, University Library of Munich, Germany.
    15. Bernardina Algieri, 2011. "Modelling export equations using an unobserved component model: the case of the Euro Area and its competitors," Empirical Economics, Springer, vol. 41(3), pages 593-637, December.
    16. Nasir, Muhammad Ali & Vo, Xuan Vinh, 2020. "A quarter century of inflation targeting & structural change in exchange rate pass-through: Evidence from the first three movers," Structural Change and Economic Dynamics, Elsevier, vol. 54(C), pages 42-61.
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    20. Roberto Basile & Sergio de Nardis & Alessandro Girardi, 2006. "Pricing to market of Italian exporting firms," ISAE Working Papers 70, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    21. Dong, Fang, 2017. "Testing the Marshall-Lerner condition between the U.S. and other G7 member countries," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 30-40.
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    51. Martin Gürtler, 2019. "Dynamic analysis of trade balance behavior in a small open economy: the J-curve phenomenon and the Czech economy," Empirical Economics, Springer, vol. 56(2), pages 469-497, February.
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    53. Cem IŞIK & Magdalena RADULESCU & Aleksandra FEDAJEV, 2019. "The effects of exchange rate depreciations and appreciations on the tourism trade balance: the case of Spain," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-237, June.
    54. Nkenchor Neville Igue & Toyin Segun Ogunleye, 2014. "Impact of Real Exchange Rate on Trade Balance in Nigeria," African Development Review, African Development Bank, vol. 26(2), pages 347-358, June.
    55. Mohsen Bahmani-Oskooee & Orhan Kara, 2003. "Relative Responsiveness of Trade Flows to a Change in Prices and Exchange Rate," International Review of Applied Economics, Taylor & Francis Journals, vol. 17(3), pages 293-308.
    56. Hsing, Yu, 2009. "Test of the J-curve for the DR-CAFTA countries and policy implications," Research in International Business and Finance, Elsevier, vol. 23(3), pages 293-301, September.
    57. Gabrisch, Hubert & Staehr, Karsten, 2014. "The euro plus pact: cost competitiveness and external capital flows in the EU countries," Working Paper Series 1650, European Central Bank.
    58. Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015. "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper 70271, University Library of Munich, Germany, revised 2015.
    59. Scott Davis & Mario Crucini, 2013. "Distribution capital and the short- and long-run import demand elasticity," 2013 Meeting Papers 453, Society for Economic Dynamics.
    60. Bernhard Ozofere Ishioro, 2015. "The Long-Run Relationship between Foreign Reserves Inflows and Domestic Credit: Evidence from a Small Open Economy," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 11(2), pages 18-38, April.
    61. Baek, Jungho & Koo, Won W., 2006. "Identifying macroeconomic linkages to US agricultural trade balance," 2006 Annual meeting, July 23-26, Long Beach, CA 21048, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    62. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    63. Houssem Eddine Chebbi & Marcelo Olarreaga, 2011. "Agricultural Trade Balance and Exchange Rate Depreciation: The Case of Tunisia," Working Papers 610, Economic Research Forum, revised 08 Jan 2011.
    64. Filip Novotný, 2003. "Vliv zhodnocení koruny na český podnikový sektor [Effect of czech crown appreciation on czech corporate sector]," Politická ekonomie, Prague University of Economics and Business, vol. 2003(5), pages 661-675.
    65. Mohsen Bahmani-Oskooee & Amirhossein Mohammadian, 2019. "Who benefits from euro depreciation in the euro zone?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(3), pages 577-595, August.
    66. Kiyotaka Sato & Junko Shimizu & Nagendra Shrestha & Shajuan Zhang, 2013. "Industry-specific Real Effective Exchange Rates and Export Price Competitiveness: The Cases of Japan, China, and Korea," Asian Economic Policy Review, Japan Center for Economic Research, vol. 8(2), pages 298-321, December.
    67. O'Grady, Michael & Rice, Jonathan & Walsh, Graeme, 2017. "Global and Domestic Modeling of Macroeconomic Shocks: A GVAR Analysis of Ireland," Research Technical Papers 09/RT/17, Central Bank of Ireland.
    68. Ferhat Citak, 2018. "Exchange Rate and Turkish Tourism Trade," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 206-213.
    69. Menzie D. Chinn, 2005. "Doomed to Deficits? Aggregate U.S. Trade Flows Re-Examined," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(3), pages 460-485, October.
    70. Menzie D. Chinn, 2004. "Incomes, Exchange Rates and the US Trade Deficit, Once Again," International Finance, Wiley Blackwell, vol. 7(3), pages 451-469, December.
    71. Cheng, Ka Ming & Kim, Hyeongwoo & Thompson, Henry, 2013. "The real exchange rate and the balance of trade in US tourism," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 122-128.
    72. Michael Bleaney & Mo Tian, 2014. "Exchange Rates and Trade Balance Adjustment: A Multi-Country Empirical Analysis," Open Economies Review, Springer, vol. 25(4), pages 655-675, September.
    73. Guglielmo Maria Caporale & Rodrigo Costamagna & Gustavo Rossini, 2016. "Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group," Discussion Papers of DIW Berlin 1581, DIW Berlin, German Institute for Economic Research.
    74. Ghassan, Hassan B., 2007. "La condition de Marshall-Lerner-Robinson est-elle stable ? Approche par le test GLS cointégration à niveau et puissance améliorés [Does the Marshall-Lerner-Robinson condition verify the stability? ," MPRA Paper 56354, University Library of Munich, Germany, revised 15 Jan 2008.
    75. Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers wp06-01, School of Economics, University of Wollongong, NSW, Australia.
    76. Marcelo Randolfo da Costa Januário & Mauro Sayar Ferreira, 2021. "Global shocks and trade response of a commodity exporter small open economy: Terms of Trade, J-Curve and the Marshall-Lerner Condition," Textos para Discussão Cedeplar-UFMG 635, Cedeplar, Universidade Federal de Minas Gerais.
    77. Mohsen Bahmani-Oskooee & Amr Hosny, 2014. "Price and income elasticities: evidence from commodity trade between the U.S. and Egypt," International Economics and Economic Policy, Springer, vol. 11(4), pages 561-574, December.
    78. Juann H. Hung & Edward N. Gamber, 2010. "An Absorption Approach to Modeling the US Current Account," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 334-350, May.
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    80. Are, Olasubomi, 2019. "Currency Devaluation and Trade Balance Nexus: A Test of Marshall-Lerner Condition in Nigeria," BizEcons Quarterly, Strides Educational Foundation, vol. 4, pages 23-43.
    81. Mohsen Bahmani-Oskooee & Jehanzeb Cheema, 2009. "Short-Run And Long-Run Effects Of Currency Depreciation On The Bilateral Trade Balance Between Pakistan And Her Major Trading Partners," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 34(1), pages 19-41, June.
    82. Mohammad Naim Azimi & Mohammad Musa Shafiq, 2022. "The J-curve phenomenon in Afghanistan and its major trading partners: evidence from a non-linear ARDL approach," SN Business & Economics, Springer, vol. 2(7), pages 1-28, July.
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    91. Mohsen Bahmani-Oskooee & Muhammad Ali Nasir, 2020. "Asymmetric J-curve: evidence from industry trade between U.S. and U.K," Applied Economics, Taylor & Francis Journals, vol. 52(25), pages 2679-2693, May.

  196. Guglielmo Maria Caporale & Peter Howells, 2001. "Money, Credit and Spending: Drawing Causal Inferences," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(5), pages 547-557, November.

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    2. Yanis Varoufakis, 2014. "UNITED STATES MONETARY POLICY IN THE POST-BRETTON WOODS ERA Did it cause the Crash of 2008?," Working papers wpaper50, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    3. Badarudin, Z.E. & Ariff, M. & Khalid, A.M., 2013. "Post-Keynesian money endogeneity evidence in G-7 economies," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 146-162.
    4. Dirk Bezemer & Maria Grydaki & Lu Zhang, 2016. "More Mortgages, Lower Growth?," Economic Inquiry, Western Economic Association International, vol. 54(1), pages 652-674, January.
    5. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    6. Bezemer, Dirk & Grydaki, Maria & Zhang, Lu, 2014. "Is financial development bad for growth?," Research Report 14016-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    7. Bezemer, Dirk & Grydaki, Maria, 2013. "Debt and the U.S. Great Moderation," MPRA Paper 47399, University Library of Munich, Germany.
    8. Manfred Borchert, "undated". "The Changing Character of the European Banking Market," Working Papers 201169, Institute of Spatial and Housing Economics, Munster Universitary.
    9. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
    10. Emir Phillips, 2017. "The On-Going Price of Perceiving Money as a Veil," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 215-228, December.
    11. Manfred Borchert, "undated". "The Impact of Banking Behaviour on Monetary Strategy in Europe," Working Papers 201160, Institute of Spatial and Housing Economics, Munster Universitary.
    12. I. Biefang-Frisancho Mariscal & P.G.A. Howells, 2012. "Income velocity and non-GDP transactions in the UK," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 97-110, March.
    13. Grydaki, Maria & Bezemer, Dirk, 2013. "Did Credit Decouple from Output in the Great Moderation?," MPRA Paper 47424, University Library of Munich, Germany.
    14. Manfred Borchert, "undated". "The Impact of Banking Behaviour on Monetary Strategy," Working Papers 201166, Institute of Spatial and Housing Economics, Munster Universitary.
    15. Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016. "A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.

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  198. Maria Caporale, Guglielmo & Pittis, Nikitas, 1999. "Is Europe an Optimum Currency Area? Business Cyc1es in the EU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 14, pages 169-202.

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    1. Beckmann, Rainer & Hebler, Martin & Kösters, Wim & Neimke, Markus, 2000. "Theoretische Konzepte zum Europäischen Integrationsprozeß: Ein aktueller Überblick [Theoretical concepts for the process of European integration: A current overview]," MPRA Paper 35703, University Library of Munich, Germany.
    2. Nikolaos Apostolopoulos & Marios Psychalis & Panagiotis Liargovas, 2022. "Discussing EU Policies and Mechanisms towards the COVID-19 Pandemic Crisis: A Case Study of Greece," World, MDPI, vol. 3(4), pages 1-11, October.
    3. Ansgar Belke & Jens Heine, 2006. "Specialisation patterns and the synchronicity of regional employment cycles in Europe," International Economics and Economic Policy, Springer, vol. 3(2), pages 91-104, November.
    4. Attila Csajbók (ed.) & Ágnes Csermely (ed.), 2002. "Adopting the euro in Hungary: expected costs, benefits and timing," MNB Occasional Papers 2002/24, Magyar Nemzeti Bank (Central Bank of Hungary).
    5. João Sousa Andrade & António Portugal Duarte, 2015. "Optimum Currency Areas, Real and Nominal Convergence in the European Union," GEMF Working Papers 2015-03, GEMF, Faculty of Economics, University of Coimbra.
    6. Ansgar Belke & Jens Heine, 2007. "On the endogeneity of an exogenous OCA-criterion: specialisation and the correlation of regional business cycles in Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(1), pages 15-44, March.

  199. Nikitas Pittis, 1999. "Efficient Estimation Of Cointegrating Vectors and Testing for Causality in Vector Autoregressions," Journal of Economic Surveys, Wiley Blackwell, vol. 13(1), pages 1-35, February.

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    2. Salah A. Nusair, 2017. "The J-Curve phenomenon in European transition economies: A nonlinear ARDL approach," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(1), pages 1-27, January.
    3. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics.
    4. Menyah, Kojo & Wolde-Rufael, Yemane, 2010. "Energy consumption, pollutant emissions and economic growth in South Africa," Energy Economics, Elsevier, vol. 32(6), pages 1374-1382, November.
    5. Jianhong Zhang & Désirée van Gorp & Haico Ebbers, 2019. "What Determines Trade Between China And India During The Recession Of 2008–2012?," Contemporary Economic Policy, Western Economic Association International, vol. 37(2), pages 389-406, April.
    6. Segun Thompson Bolarinwa & Olufemi B. Obembe, 2017. "Empirical Analysis of the Nexus between Saving and Economic Growth in Selected African Countries (1981–2014)," Journal of Development Policy and Practice, , vol. 2(1), pages 110-129, January.
    7. M. Kabir Hassan & Benito Sanchez & Jung-Suk Yu, 2011. "Financial Development and Economic Growth in the Organization of Islamic Conference Countries التطور المالي والنمو الاقتصادي في دول منظمة المؤتمر الإسلامي," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 24(1), pages 145-172, January.
    8. Wolde-Rufael, Yemane, 2005. "Energy demand and economic growth: The African experience," Journal of Policy Modeling, Elsevier, vol. 27(8), pages 891-903, November.
    9. Panos Pashardes & Soteroula Hajispyrou, 2002. "Consumer Demand and Welfare under Increasing Block Pricing," University of Cyprus Working Papers in Economics 0207, University of Cyprus Department of Economics.
    10. Michieka, Nyakundi M. & Fletcher, Jerald & Burnett, Wesley, 2013. "An empirical analysis of the role of China’s exports on CO2 emissions," Applied Energy, Elsevier, vol. 104(C), pages 258-267.
    11. Nusair, Salah A., 2016. "The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis," Energy Policy, Elsevier, vol. 91(C), pages 256-267.
    12. Mulas-Granados, Carlos & Sanz, Ismael, 2008. "The dispersion of technology and income in Europe: Evolution and mutual relationship across regions," Research Policy, Elsevier, vol. 37(5), pages 836-848, June.
    13. Thomas Barnebeck Andersen & Finn Tarp, 2003. "Financial liberalization, financial development and economic growth in LDCs," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(2), pages 189-209.
    14. Tari Moses Karimo & Oliver Ejike Ogbonna, 2017. "Financial Deepening and Economic Growth Nexus in Nigeria: Supply-Leading or Demand-Following?," Economies, MDPI, vol. 5(1), pages 1-18, January.
    15. Yemane Wolde-Rufael, 2009. "Does Public R&D Crowd Out Private R&D? A Note From Taiwan, Roc," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 34(1), pages 59-69, June.
    16. Herzer, Dierk, 2009. "Cross-country heterogeneity and the trade-income relationship," Proceedings of the German Development Economics Conference, Frankfurt a.M. 2009 13, Verein für Socialpolitik, Research Committee Development Economics.
    17. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 1-24.
    18. Guglielmo Maria Caporale & Margarita Katsimi & Nikitas Pittis, 2002. "Causality Links between Consumer and Producer Prices: Some Empirical Evidence," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 703-711, January.
    19. Zhang, Yue-Jun, 2011. "The impact of financial development on carbon emissions: An empirical analysis in China," Energy Policy, Elsevier, vol. 39(4), pages 2197-2203, April.
    20. Adalmir Marquetti, 2004. "Do Rising Real Wages Increase The Rate Of Labor‐Saving Technical Change? Some Econometric Evidence," Metroeconomica, Wiley Blackwell, vol. 55(4), pages 432-441, November.
    21. Nusair, Salah A., 2019. "Oil price and inflation dynamics in the Gulf Cooperation Council countries," Energy, Elsevier, vol. 181(C), pages 997-1011.
    22. Cosimo Magazzino, 2016. "The relationship between real GDP, CO2 emissions, and energy use in the GCC countries: A time series approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1152729-115, December.
    23. Wolde-Rufael, Yemane, 2009. "Re-examining the financial development and economic growth nexus in Kenya," Economic Modelling, Elsevier, vol. 26(6), pages 1140-1146, November.
    24. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
    25. Nyakundi M. Michieka, 2015. "Short- and Long-Run Analysis of Factors Affecting Electricity Consumption in Sub-Saharan Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 639-646.
    26. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Cointegration, structural breaks and monetary fundamentals of the Dollar/Yen Exchange," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(4), pages 397-412, November.
    27. Guglielmo Maria Caporale, & Peter G. A Howells, & Alaa M. Soliman,, 2003. "Endogenous growth and Stock Market Development," Working Papers 0302, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    28. M. Shahe Emran & M. Imam Alam & Forhad Shilpi, 2003. "After the "License Raj": Economic Liberalization and Aggregate Private Investment in India," Development and Comp Systems 0305002, University Library of Munich, Germany, revised 30 Aug 2003.
    29. Salah A Nusair, 2017. "On the Nominal and Real Currency Devaluation Nexus in European Transition Economies," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(4), pages 677-698, September.
    30. Yemane Wolde-Rufael, 2009. "The Defence Spending-External Debt Nexus In Ethiopia," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(5), pages 423-436, October.
    31. Jaganath BEHERA, 2023. "Sectoral Electricity Consumption And Economic Growth In India: An Empirical Study From 1970 To 2016," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 23(2), pages 127-152.
    32. Panos Hatzipanayotou & Sajal Lahiri & Michael S. Michael, 2002. "Reforms of Environmental Policies in the Presence of Cross-border Pollution and Two-stage Clean-up," CESifo Working Paper Series 638, CESifo.
    33. Menyah, Kojo & Wolde-Rufael, Yemane, 2010. "CO2 emissions, nuclear energy, renewable energy and economic growth in the US," Energy Policy, Elsevier, vol. 38(6), pages 2911-2915, June.
    34. Wolde-Rufael, Yemane, 2010. "Coal consumption and economic growth revisited," Applied Energy, Elsevier, vol. 87(1), pages 160-167, January.
    35. Ghali, Khalifa H. & Trabelsi, Hédi, 2006. "Capital Ownership And Its Impact On International Trade And Economic Growth: The Tunisian Experience," MPRA Paper 78974, University Library of Munich, Germany.
    36. Rahman, Md. Saifur & Noman, Abu Hanifa Md. & Shahari, Farihana, 2017. "Does economic growth in Malaysia depend on disaggregate energy?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 78(C), pages 640-647.
    37. Bosupeng, Mpho, 2016. "The Effects of Chinese Interest Rates and Inflation: A Decomposition of The Fisher Effect," MPRA Paper 78160, University Library of Munich, Germany, revised 2016.
    38. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(1), pages 11-40, April.
    39. Yue-Jun Zhang & Zhao Liu & Huan Zhang & Tai-De Tan, 2014. "The impact of economic growth, industrial structure and urbanization on carbon emission intensity in China," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 73(2), pages 579-595, September.
    40. M. Shahe Emran & Forhad Shilpi, 2010. "Estimating an Import Demand Function in Developing Countries: A Structural Econometric Approach with Applications to India and Sri Lanka," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 307-319, May.
    41. Omoshoro-Jones, Oyeyinka Sunday, 2020. "Investigating the Government Revenue–Expenditure Nexus: Empirical Evidence for the Free State Province in a Multivariate Model," MPRA Paper 101349, University Library of Munich, Germany.
    42. Jean-Yves Pitarakis & George Tridimas, 2003. "Joint Dynamics of Legal and Economic Integration in the European Union," European Journal of Law and Economics, Springer, vol. 16(3), pages 357-368, November.
    43. M. Kabir Hassan & Jung Suk-Yu, 2007. "Financial Development and Economic Growth: New Evidence from Panel Data," NFI Working Papers 2007-WP-10, Indiana State University, Scott College of Business, Networks Financial Institute.
    44. M. Shahe Emran & Forhad Shilpi, 2001. "Foreign Trade Regimes and Import Demand Function: Evidence from Sri Lanka," International Trade 0012002, University Library of Munich, Germany, revised 04 Apr 2002.
    45. Christos Kollias & Suzanna-Maria Paleologou & Panayiotis Tzeremes & Nickolaos Tzeremes, 2017. "Defence expenditure and economic growth in Latin American countries: evidence from linear and nonlinear causality tests," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-25, December.
    46. Zhang, Wei & Yang, Shuyun, 2013. "The influence of energy consumption of China on its real GDP from aggregated and disaggregated viewpoints," Energy Policy, Elsevier, vol. 57(C), pages 76-81.
    47. Wolde-Rufael, Yemane, 2010. "Bounds test approach to cointegration and causality between nuclear energy consumption and economic growth in India," Energy Policy, Elsevier, vol. 38(1), pages 52-58, January.
    48. Wolde-Rufael, Yemane & Menyah, Kojo, 2010. "Nuclear energy consumption and economic growth in nine developed countries," Energy Economics, Elsevier, vol. 32(3), pages 550-556, May.
    49. Bosupeng, Mpho, 2017. "On the Effects of the BRICS on World Economic Growth," MPRA Paper 81757, University Library of Munich, Germany, revised 2017.
    50. Wu, Gang & Zhang, Yue-Jun, 2014. "Does China factor matter? An econometric analysis of international crude oil prices," Energy Policy, Elsevier, vol. 72(C), pages 78-86.
    51. Nusair, Salah A., 2020. "The asymmetric effects of oil price changes on unemployment: Evidence from Canada and the U.S," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    52. Wolde-Rufael, Yemane, 2004. "Disaggregated industrial energy consumption and GDP: the case of Shanghai, 1952-1999," Energy Economics, Elsevier, vol. 26(1), pages 69-75, January.
    53. Alam, Mohammad Jahangir & Begum, Ismat Ara & Buysse, Jeroen & Rahman, Sanzidur & Van Huylenbroeck, Guido, 2011. "Dynamic modeling of causal relationship between energy consumption, CO2 emissions and economic growth in India," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(6), pages 3243-3251, August.
    54. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
    55. Wolde-Rufael, Yemane, 2006. "Electricity consumption and economic growth: a time series experience for 17 African countries," Energy Policy, Elsevier, vol. 34(10), pages 1106-1114, July.
    56. Yue-Jun Zhang, 2010. "Interpreting the dynamic nexus between energy consumption and economic growth: Empirical evidence from Russia," CEEP-BIT Working Papers 7, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    57. Bosupeng Mpho, 2016. "The Effect of Exports on Carbon Dioxide Emissions: Policy Implications," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 51(1), pages 20-32, September.
    58. Byoungki Kim & Phouphet Kyophilavong & Kenji Nozaki & Teerawat Charoenrat, 2022. "Does the Export-led Growth Hypothesis Hold for Myanmar?," Global Business Review, International Management Institute, vol. 23(1), pages 48-60, February.
    59. Tsani, Stela Z., 2010. "Energy consumption and economic growth: A causality analysis for Greece," Energy Economics, Elsevier, vol. 32(3), pages 582-590, May.

  200. Caporale, Guglielmo Maria & Chui, Michael K F, 1999. "Estimating Income and Price Elasticities of Trade in a Cointegration Framework," Review of International Economics, Wiley Blackwell, vol. 7(2), pages 254-264, May.

    Cited by:

    1. Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties," a/ Working Papers Series 1405, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    2. Rashid, Abdul & Razzaq, Tayyaba, 2010. "Estimating Import-Demand Function in ARDL Framework: The Case of Pakistan," MPRA Paper 26079, University Library of Munich, Germany.
    3. Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2013. "Food Competition In World Markets: Some Evidence From A Panel Data Analysis Of Top Exporting Countries," DEM Working Papers Series 060, University of Pavia, Department of Economics and Management.
    4. M Bahmani-Oskooee & A Ratha, 2009. "S-Curve Dynamics of Trade: Evidence from US-Canada Commodity Trade," Economic Issues Journal Articles, Economic Issues, vol. 14(1), pages 1-16, March.
    5. Barbara Dluhosch & Daniel Horgos, 2008. "Wage vs. industry subsidies: coping with technology related unemployment in a globalized economy," International Economics and Economic Policy, Springer, vol. 5(4), pages 371-388, December.
    6. Ketenci, Natalya & Uz, Idil, 2010. "Trade in services: The elasticity approach for the case of Turkey," MPRA Paper 86596, University Library of Munich, Germany.
    7. Vesselin Hadjiev, 2001. "Econometric Evaluation of the Elasticity of the Foreign Trade through Bi-Spectral Analysis," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 150-167.
    8. Konstantinos Chisiridis & Theodore Panagiotidis, 2017. "The Relationship Between Greek Exports and Foreign Regional Income," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 111, Hellenic Observatory, LSE.
    9. Fedoseeva, Svetlana, 2014. "Are Agri-food Exports any Special? Exchange Rate Nonlinearities in European Exports to the US," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 63(04), pages 1-12, December.
    10. Xavier Timbeau, 2014. "Le piège de la déflation : Perspectives 2014-2015," Post-Print hal-03460404, HAL.
    11. Bernardina Algieri, 2011. "Modelling export equations using an unobserved component model: the case of the Euro Area and its competitors," Empirical Economics, Springer, vol. 41(3), pages 593-637, December.
    12. Konstantinos Chisiridis & Theodore Panagiotidis, 2018. "The Relationship Between Greek Exports and Foreign Income," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 64(1), pages 99-114.
    13. Byron Gangnes & Craig Parsons, 2004. "Have US-Japan Trade Agreements Made a Difference?," Working Papers 200403, University of Hawaii at Manoa, Department of Economics.
    14. Baek, Jungho & Nam, Soojoong, 2021. "The South Korea–China trade and the bilateral real exchange rate: Asymmetric evidence from 33 industries," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 463-475.
    15. Nicholas‐Joseph Lazarou & Andreas Zervas, 2023. "Declining long‐run income elasticities and the rise of cyclicality of trade: Evidence from Greece, 1995–2018," The World Economy, Wiley Blackwell, vol. 46(6), pages 1873-1888, June.
    16. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "Again on trade elasticities: evidence from a selected sample of countries," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 5(2), pages 259-287, December.
    17. Nickel, Christiane & Funke, Katja, 2006. "Does fiscal policy matter for the trade account? A panel cointegration study," Working Paper Series 620, European Central Bank.
    18. Bahmani-Oskooee, Mohsen & Bolhassani, Marzieh & Hegerty, Scott W., 2010. "The effects of currency fluctuations and trade integration on industry trade between Canada and Mexico," Research in Economics, Elsevier, vol. 64(4), pages 212-223, December.
    19. Marchiori, Luca & Pierrard, Olivier, 2017. "How does global demand for financial services promote domestic growth in Luxembourg? A dynamic general equilibrium analysis," Economic Modelling, Elsevier, vol. 62(C), pages 103-123.
    20. Montobbio Fabio & Rampa Francesco, 2002. "The impact of technology and structural change on export performance on nine developing coutries," Economics and Quantitative Methods qf0219, Department of Economics, University of Insubria.
    21. Mohsen Bahmani-oskooee & Jungho Baek, 2015. "The Marshall-Lerner condition at commodity level: Evidence from Korean-U.S. trade," Economics Bulletin, AccessEcon, vol. 35(2), pages 1136-1147.
    22. Jane Haltmaier, 2011. "Empirical estimation of trend and cyclical export elasticities," International Finance Discussion Papers 1030, Board of Governors of the Federal Reserve System (U.S.).
    23. Mohsen Bahmani-Oskooee & Ruixin Zhang, 2014. "Is there J-Curve effect in the commodity trade between Korea and rest of the world?," Economic Change and Restructuring, Springer, vol. 47(3), pages 227-250, August.
    24. Maja Kadievska-Vojnovic & Danica Unevska, 2007. "Price and Income Elasticities of Export and Import and Economic Growth in the case of the Republic of Macedonia," Working Papers 2007-01, National Bank of the Republic of North Macedonia.
    25. Baiardi, Donatella & Bianchi, Carluccio, 2019. "At the roots of China's striking performance in textile exports: A comparison with its main Asian competitors," China Economic Review, Elsevier, vol. 54(C), pages 367-389.
    26. Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012. "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin 1247, DIW Berlin, German Institute for Economic Research.
    27. D. Baiardi & C. Bianchi, 2018. "At the roots of China's striking performance in textile exports: a comparison with its main Asian competitors," Economics Department Working Papers 2018-EP03, Department of Economics, Parma University (Italy).
    28. Kurtovic, Safet & Halili, Blerim & Maxhuni, Nehat, 2016. "Bilateral Trade Elasticity: B&H versus its seven trade partners," MPRA Paper 72297, University Library of Munich, Germany.
    29. Mr. Claudio A Paiva, 2003. "Trade Elasticities and Market Expectations in Brazil," IMF Working Papers 2003/140, International Monetary Fund.
    30. Bruno Ducoudré & Éric Heyer, 2014. "Baisse de l'euro et désinflation compétitive. Quel pays en profitera le plus ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 221-253.
    31. Masahiro Hori & Yu Ching Wong, 2008. "Efficiency Costs of Myanmar’s Multiple Exchange Rate Regime," IMF Working Papers 2008/199, International Monetary Fund.
    32. Francesco Aiello & Graziella Bonanno & Alessia Via, 2015. "New Evidence on Export Price Elasticity from China and Six OECD Countries," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(6), pages 56-78, November.
    33. Mohsen Bahmani-Oskooee & Thouraya Hadj Amor & Hanafiah Harvey & Huseyin Karamelikli, 2019. "Is there a J-curve effect in Tunisia’s bilateral trade with her partners? New evidence from asymmetry analysis," Economic Change and Restructuring, Springer, vol. 52(1), pages 1-18, February.
    34. Hernando Rendón Obando & Andrés Ramírez Hassan, 2005. "Condición Marshall-Lerner: una aproximación al caso colombiano, 1980-2001," Revista Ecos de Economía, Universidad EAFIT, April.
    35. Mishra Bibhuti Ranjan & Mohanty Asit, 2017. "An Empirical Analysis of Aggregate Import Demand Function for India," Global Economy Journal, De Gruyter, vol. 17(4), pages 1-12, December.
    36. Bernardina Algieri, 2014. "Drivers of Export Demand: A Focus on the GIIPS Countries," The World Economy, Wiley Blackwell, vol. 37(10), pages 1454-1482, October.
    37. Mohsen Bahmani-Oskooee & Hanafiah Harvey, 2018. "Is There J-Curve Effect In The Commodity Trade Of Singapore With Malaysia? An Empirical Study," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(03), pages 567-591, June.
    38. Tang, Chor Foon, 2008. "A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth," MPRA Paper 38536, University Library of Munich, Germany.
    39. Jungho Baek & Jee Hee Yoon, 2023. "The Korea‐Vietnam trade and the bilateral exchange rate: Asymmetric evidence from commodity trade data," Australian Economic Papers, Wiley Blackwell, vol. 62(1), pages 124-148, March.
    40. Mohsen Bahmani-Oskooee & Orhan Kara, 2003. "Relative Responsiveness of Trade Flows to a Change in Prices and Exchange Rate," International Review of Applied Economics, Taylor & Francis Journals, vol. 17(3), pages 293-308.
    41. Dekle, Robert & Ryoo, Heajin H., 2007. "Exchange rate fluctuations, financing constraints, hedging, and exports: Evidence from firm level data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 437-451, December.
    42. Abdul Rashid & Tayyaba Razzaq, 2013. "An Estimation of Structural Import Demand Function for Pakistan," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 156-175.
    43. Dr. Gregor Bäurle & Elizabeth Steiner, 2013. "How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data," Working Papers 2013-09, Swiss National Bank.
    44. Bustamante, Rafael & Morales, Fedor, 2009. "Probando la condición de Marshall-Lerner y el efecto Curva-J: Evidencia empírica para el caso peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 103-126.
    45. Masahiro Hori & Yu Ching Wong, 2013. "Costs of Myanmar's multiple exchange-rate regime," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(2), pages 209-233, March.
    46. Ioanna Konstantakopoulou, 2020. "Further Evidence on Import Demand Function and Income Inequality," Economies, MDPI, vol. 8(4), pages 1-12, October.
    47. Mohsen Bahmani-Oskooee & Marzieh Bolhasani, 2008. "The J-Curve: Evidence from commodity trade between Canada and the U.S," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 207-225, July.
    48. Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2014. "Food competition in world markets: Some evidence from a panel data analysis of top exporting countries," DEM Working Papers Series 083, University of Pavia, Department of Economics and Management.
    49. Kiyotaka Sato & Junko Shimizu & Nagendra Shrestha & Shajuan Zhang, 2013. "Industry-specific Real Effective Exchange Rates and Export Price Competitiveness: The Cases of Japan, China, and Korea," Asian Economic Policy Review, Japan Center for Economic Research, vol. 8(2), pages 298-321, December.
    50. David Norman, 2006. "Modelling Manufactured Exports: Evidence from Australian States," RBA Research Discussion Papers rdp2006-01, Reserve Bank of Australia.
    51. M. Shahe Emran & Forhad Shilpi, 2010. "Estimating an Import Demand Function in Developing Countries: A Structural Econometric Approach with Applications to India and Sri Lanka," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 307-319, May.
    52. Mr. Christiane Nickel & Ms. Katja Funke, 2006. "Does Fiscal Policy Matter for the Trade Account? A Panel Cointegration Study," IMF Working Papers 2006/147, International Monetary Fund.
    53. Bernardina Algieri & Antonio Aquino & Lidia Mannarino, 2018. "Non-Price Competitiveness and Financial Drivers of Exports: Evidences from Italian Regions," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 4(1), pages 107-133, March.
    54. Juan Carlos Moreno‐Brid, 2003. "Capital Flows, Interest Payments and the Balance‐of‐Payments Constrained Growth Model: A Theoretical and Empirical Analysis," Metroeconomica, Wiley Blackwell, vol. 54(2‐3), pages 346-365, May.
    55. Bruno Ducoudré & Eric Heyer, 2014. "Baisse de l'euro et désinflation compétitive," Post-Print hal-01093016, HAL.
    56. Mohsen Bahmani-Oskooee & Nazif Durmaz, 2017. "Evidence on Orcutt's hypothesis using Turkish–US commodity trade," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(1), pages 25-44, January.
    57. M. Shahe Emran & Forhad Shilpi, 2001. "Foreign Trade Regimes and Import Demand Function: Evidence from Sri Lanka," International Trade 0012002, University Library of Munich, Germany, revised 04 Apr 2002.
    58. Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers wp06-01, School of Economics, University of Wollongong, NSW, Australia.
    59. Mohsen Bahmani-Oskooee & Amr Hosny, 2015. "Commodity trade between EU and Egypt and Orcutt’s hypothesis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 1-24, February.
    60. Mohsen Bahmani-Oskooee & Marzieh Bolhasani, 2011. "How Sensitive is U.S.-Canadian Trade to the Exchange Rate: Evidence from Industry Data," Open Economies Review, Springer, vol. 22(1), pages 53-91, February.
    61. Yi Wu, 2008. "Growth, Expansion of Markets, and Income Elasticities in World Trade," Review of International Economics, Wiley Blackwell, vol. 16(4), pages 654-671, September.
    62. Mohsen Bahmani-Oskooee & Jungho Baek, 2015. "Further evidence on Orcutt's hypothesis using Korean-US commodity data," Applied Economics Letters, Taylor & Francis Journals, vol. 22(9), pages 717-724, June.
    63. Olugbenga Onafowora, 2003. "Exchange rate and trade balance in east asia: is there a J-curve?," Economics Bulletin, AccessEcon, vol. 5(18), pages 1-13.
    64. Rashid, Abdul & Razzaq, Tayyaba, 2010. "Estimating Import-Demand Function in ARDL Framework: The Case of Pakistan," MPRA Paper 23702, University Library of Munich, Germany.
    65. Bernardina Algieri, 2015. "Price and non-price competitiveness in export demand: empirical evidence from Italy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 157-183, February.
    66. Aiello, Francesco & Bonanno, Graziella & Via, Alessia, 2014. "Do export price elasticities support tensions in currency markets? Evidence from China and six OECD countries," MPRA Paper 56727, University Library of Munich, Germany.

  201. Guglielmo Maria Caporale & Nikitas Pittis, 1999. "Unit Root Testing Using Covariates: Some Theory and Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 583-595, November.

    Cited by:

    1. Lupi, Claudio, 2009. "Covariate Augmented Dickey-Fuller Tests with R," Economics & Statistics Discussion Papers esdp09051, University of Molise, Department of Economics.
    2. Elliott, Graham & Jansson, Michael, 2000. "Testing for Unit Roots with Stationary Covariances," Department of Economics, Working Paper Series qt47k7z69n, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    3. Mauro Costantini & Claudio Lupi, 2013. "A Simple Panel-CADF Test for Unit Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 276-296, April.
    4. Fossati, Sebastian, 2011. "Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function," Working Papers 2011-10, University of Alberta, Department of Economics.
    5. Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
    6. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
    7. Luis Alberiko Gil-Alaña & Shinhye Chang & Mehmet Balcilar & Goodness C. Aye & Rangan Gupta, 2015. "Persistence of precious metal prices: a fractional integration approach with structural breaks," NCID Working Papers 06/2015, Navarra Center for International Development, University of Navarra.
    8. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
    9. Lee, Cheng-Feng & Tsong, Ching-Chuan, 2009. "Bootstrapping covariate stationarity tests for inflation rates," Economic Modelling, Elsevier, vol. 26(6), pages 1443-1448, November.
    10. Costantini, Mauro & Lupi, Claudio & Popp, Stephan, 2007. "A Panel-CADF Test for Unit Roots," Economics & Statistics Discussion Papers esdp07039, University of Molise, Department of Economics.
    11. Siklos, Pierre L., 2010. "Meeting Maastricht: Nominal convergence of the new member states toward EMU," Economic Modelling, Elsevier, vol. 27(2), pages 507-515, March.
    12. Agosto, Arianna & Cerchiello, Paola & Pagnottoni, Paolo, 2022. "Sentiment, Google queries and explosivity in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).

  202. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.

    Cited by:

    1. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics.
    2. Panos Pashardes & Soteroula Hajispyrou, 2002. "Consumer Demand and Welfare under Increasing Block Pricing," University of Cyprus Working Papers in Economics 0207, University of Cyprus Department of Economics.
    3. Tswei, Keshin, 2013. "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1062-1078.
    4. Liu, Xiaming & Wang, Chengang & Wei, Yingqi, 2001. "Causal links between foreign direct investment and trade in China," China Economic Review, Elsevier, vol. 12(2-3), pages 190-202.
    5. Li, Xiaoying & Liu, Xiaming, 2005. "Foreign Direct Investment and Economic Growth: An Increasingly Endogenous Relationship," World Development, Elsevier, vol. 33(3), pages 393-407, March.
    6. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
    7. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
    8. Panos Hatzipanayotou & Sajal Lahiri & Michael S. Michael, 2002. "Reforms of Environmental Policies in the Presence of Cross-border Pollution and Two-stage Clean-up," CESifo Working Paper Series 638, CESifo.
    9. Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012. "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2464-2480.
    10. Nasim Shah Shirazi & Turkhan Ali Abdul Manap, 2004. "Exports and Economic Growth Nexus: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 563-581.
    11. Peter Howells, 2005. "The Endogeneity of Money: Empirical Evidence," Working Papers 0513, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    12. Michaelides, Panayotis G. & Milios, John G. & Konstantakis, Konstantinos N. & Tarnaras, Panayiotis, 2015. "Quantity-of-money fluctuations and economic instability: empirical evidence for the USA (1958–2006)," MPRA Paper 90145, University Library of Munich, Germany.

  203. Caporale, G. M. & Pittis, N., 1998. "Cointegration and predictability of asset prices1," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 441-453, June.

    Cited by:

    1. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
    2. José L. Fernández-Serrano & Simón Sosvilla-Rivero, "undated". "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
    3. Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany.
    4. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
    5. Fernandez-Serrano, Jose L. & Sosvilla-Rivero, Simon, 2001. "Modelling evolving long-run relationships: the linkages between stock markets in Asia," Japan and the World Economy, Elsevier, vol. 13(2), pages 145-160, April.
    6. Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
    7. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
    8. Focker, Fulvia & Triacca, Umberto, 2006. "Interpreting the concept of joint unpredictability of asset returns: A distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 765-770.
    9. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, vol. 9(1), pages 61-68.
    10. Umberto Triacca, 2013. "The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process," Econometrics, MDPI, vol. 1(3), pages 1-10, November.
    11. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
    12. Alan Speight & David McMillan, 2001. "Cointegration and predictability in prereform east European black-market exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 8(12), pages 755-759.
    13. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
    14. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank.
    15. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.

  204. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Conditional Leptokurtosis and Non-Linear Dependence in Exchange Rate Returns," Journal of Policy Modeling, Elsevier, vol. 20(5), pages 581-601, October.

    Cited by:

    1. Emekter, Riza & Jirasakuldech, Benjamas & Snaith, Sean M., 2009. "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 179-192, July.
    2. Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.
    3. Chun Lee & Ike Mathur & Kimberly Gleason, 2005. "The tick/volatility ratio as a determinant of the compass rose pattern," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 93-109.

  205. Guglielmo Maria Caporale, 1997. "Sectoral shocks and business cycles: a disaggregated analysis of output fluctuations in the UK," Applied Economics, Taylor & Francis Journals, vol. 29(11), pages 1477-1482.

    Cited by:

    1. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics.
    2. Gianluigi Pelloni & Wolfgang Polasek, 2003. "Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S.: A VAR-GARCH-M Approach," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 65-85, February.

  206. Caporale, Guglielmo Maria, 1997. "Common features and output fluctuations in the United Kingdom," Economic Modelling, Elsevier, vol. 14(1), pages 1-9, January.

    Cited by:

    1. Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    2. Dixon, R. & Shepherd, D., 2000. "Trends and Cycles in Australian State and Territory Unemployment Rates," Department of Economics - Working Papers Series 730, The University of Melbourne.
    3. Harvey, David I. & Mills, Terence C., 2002. "Common features in UK sectoral output," Economic Modelling, Elsevier, vol. 19(1), pages 91-104, January.
    4. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
    5. Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009. "Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features," MPRA Paper 22550, University Library of Munich, Germany.

  207. Caporale, Guglielmo Maria & Pittis, Nikitas, 1996. "Modelling the sterling-deutschmark exchange rate: Non-linear dependence and thick tails," Economic Modelling, Elsevier, vol. 13(1), pages 1-14, January.

    Cited by:

    1. John Cotter, 2011. "Tail Behaviour of the Euro," Papers 1103.5418, arXiv.org.
    2. Logan Rangasamy, 2009. "Exports and economic growth: The case of South Africa," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(5), pages 603-617.
    3. Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005. "Performance evaluation of judgemental directional exchange rate predictions," International Journal of Forecasting, Elsevier, vol. 21(3), pages 473-489.

  208. Caporale, Guglielmo Maria & Kalyvitis, Sarantis & Pittis, Nikitas, 1996. "Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 693-714.

    Cited by:

    1. Philip Arestis & Kostas Mouratidis, 2003. "Credibility of Monetary Policy in Four Accession Countries: A Markov Regime-Switching Approach," Economics Working Paper Archive wp_371, Levy Economics Institute.
    2. Philip Arestis & Kostas Mouratidis, 2004. "Is There a Trade‐Off Between Inflation Variability and Output‐Gap Variability in the EMU Countries?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(5), pages 691-706, November.
    3. Marco Barassi & Guglielmo Caporale & Stephen Hall, 2005. "A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates," Open Economies Review, Springer, vol. 16(2), pages 107-133, April.
    4. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
    5. Christopher F. Baum & John Barkoulas, 2001. "Dynamics of Intra-EMS Interest Rate Linkages," Boston College Working Papers in Economics 492, Boston College Department of Economics, revised 04 May 2004.
    6. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
    7. Amigo Dobaño, Lucy, 2000. "Cointegration Analysis: Exchange Rate Markets Of The European Monetary System," ERSA conference papers ersa00p270, European Regional Science Association.
    8. M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
    9. William Bryant & Roselyne Joyeux, 2010. "Interest linkages between the US, UK and German interest rates: should the UK join the European Monetary Union?," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(6), pages 633-647.
    10. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
    11. Guglielmo Caporale & Nikitas Pittis, 1995. "Inflation convergence in the EMS: Some additional evidence. A reply," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 587-593, September.
    12. Kleimeier, Stefanie & Sander, Harald, 2000. "Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1005-1043, June.
    13. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
    14. Kerkemeier, Marco & Kruse-Becher, Robinson, 2022. "Join the club! Dynamics of global ESG indices convergence," Finance Research Letters, Elsevier, vol. 49(C).

  209. Guglielmo Maria Caporale & Nikitas Pittis, 1995. "Interest rate linkages within the European Monetary System: an alternative interpretation," Applied Economics Letters, Taylor & Francis Journals, vol. 2(2), pages 45-47.

    Cited by:

    1. Bajo-Rubio, Oscar & Montavez-Garces, M. Dolores, 2002. "Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Universidad del CEMA, vol. 5(2), pages 1-26, November.
    2. M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
    3. Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, "undated". "There was monetary autonomy in Europe on the eve of EMU?. The German dominance hypothesis re-examined," Studies on the Spanish Economy 52, FEDEA.
    4. Caporale, Guglielmo Maria & Kalyvitis, Sarantis & Pittis, Nikitas, 1996. "Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 693-714.

  210. Guglielmo Caporale & Nikitas Pittis, 1995. "Inflation convergence in the EMS: Some additional evidence. A reply," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 587-593, September.

    Cited by:

    1. William Bryant & Roselyne Joyeux, 2010. "Interest linkages between the US, UK and German interest rates: should the UK join the European Monetary Union?," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(6), pages 633-647.

  211. Caporale, Guglielmo Maria & Pittis, Nikitas, 1995. "Nominal exchange rate regimes and the stochastic behavior of real variables," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 395-415, June.

    Cited by:

    1. Daniel Aromi & Marcos Dal Bianco, 2014. "Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen," Working Papers 1431, BBVA Bank, Economic Research Department.
    2. Dushko Josheski & Darko Lazarov, 2012. "Nominal Effective Exchange Rate Neutrality: The Case Of Macedonia," Journal Articles, Center For Economic Analyses, pages 17-24, June.
    3. Malika Hamadi & Andreas Heinen, 2011. "Ownership Structure and Firm Performance : Evidence from a non-parametric panel," DEM Discussion Paper Series 11-16, Department of Economics at the University of Luxembourg.
    4. Toseef Azid & Muhammad Jamil & Aneela Kousar, 2005. "Impact of Exchange rate Volatility on Growth and Economic Performance: A Case Study of Pakistan, 1973-2003," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(4), pages 749-775.
    5. Guillermo Benavides & Isela Elizabeth Téllez-León & Francisco Venegas-Martínez, 2015. "Effects of Volatility of the Exchange Rate on Inflation Expectations and Growth Prospects in Mexico (2002-2014)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 63-78, November.
    6. Angelos Kanas & Christos Ioannidis, 2010. "Causality from real stock returns to real activity: evidence of regime-dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 180-197.
    7. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
    8. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
    9. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    10. Axel Jochem, 1999. "Monetary stabilization in countries in transition," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(1), pages 37-47, February.
    11. Flavian Emmanuel Sapnken & Jean Gaston Tamba & Salome Essiane Ndjakomo & Francis Djanna Koffi, 2020. "Oil Products Consumption and Economic Growth in Cameroon Households: An Assessment Using ARDL Cointegration and Granger Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 510-523.
    12. Giugale, Marcelo*Korobow, Adam, 2000. "Shock persistence and the choice of foreign exchange regime - an empirical note from Mexico," Policy Research Working Paper Series 2371, The World Bank.
    13. Horst Feldmann, 2013. "Exchange Rate Regimes and Unemployment," Open Economies Review, Springer, vol. 24(3), pages 537-553, July.
    14. Kilic, Erdem, 2017. "Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets," Economic Modelling, Elsevier, vol. 62(C), pages 51-67.

  212. Caporale, Guglielmo Maria & Kalyvitis, Sarantis & Pittis, Nikitas, 1994. "Persistence in real variables under alternative exchange rate regimes : Some multi-country evidence," Economics Letters, Elsevier, vol. 45(1), pages 93-102, May.

    Cited by:

    1. Giugale, Marcelo*Korobow, Adam, 2000. "Shock persistence and the choice of foreign exchange regime - an empirical note from Mexico," Policy Research Working Paper Series 2371, The World Bank.
    2. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 76-101, February.

  213. Guglielmo Maria Caporale, 1993. "Is Europe an optimum currency area?," National Institute Economic Review, National Institute of Economic and Social Research, vol. 144(1), pages 95-113, May.

    Cited by:

    1. Stefaan Ide & Philippe Moës, 2003. "Scope of asymmetries in the Euro area," Working Paper Document 37, National Bank of Belgium.
    2. Campos, Nauro F. & Macchiarelli, Corrado, 2021. "The dynamics of core and periphery in the European monetary union: A new approach," Journal of International Money and Finance, Elsevier, vol. 112(C).
    3. Shu-ki Tsang, 2002. "Optimum Currency Area for Mainland HCina and Hong Kong? Empirical Tests," Working Papers 162002, Hong Kong Institute for Monetary Research.
    4. Raúl Ramos & Miquel Clar & Jordi Suriñach, 1999. "Specialisation in Europe and Asymmetric Shocks: Potential Risks of EMU," Advances in Spatial Science, in: Manfred M. Fischer & Peter Nijkamp (ed.), Spatial Dynamics of European Integration, chapter 4, pages 63-93, Springer.
    5. Hochreiter, Eduard & Winckler, Georg, 1995. "The advantages of tying Austria's hands: The success of the hard currency strategy," European Journal of Political Economy, Elsevier, vol. 11(1), pages 83-111, March.
    6. Shu-ki Tsang, 2002. "Inflation Targeting in China?," Working Papers 192002, Hong Kong Institute for Monetary Research.
    7. Shu-ki Tsang, 2002. "From "One Country, Two Systems" to Monetary Integration?," Working Papers 152002, Hong Kong Institute for Monetary Research.
    8. Leon, Costas, 2006. "The European and the Greek Business Cycles: Are they synchronized?," MPRA Paper 1312, University Library of Munich, Germany.
    9. Eleni Roussou & Norman Cameron, 2005. "The Impact of the European Economic & Monetary Union on the Stability of the Greek Economy," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 85-98.

  214. Guglielmo Caporale & Nikitas Pittis, 1993. "Common stochastic trends and inflation convergence in the EMS," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(2), pages 207-215, June.

    Cited by:

    1. Gil Pareja, Salvador & Sosvilla Rivero, Simon, 2004. "Export market integration in the European Union," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-31, November.
    2. Hassler Uwe & Demetrescu Matei, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 413-426, August.
    3. Hassapis, Christis & Pittis, Nikitas & Prodromidis, Kyprianos, 1999. "Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 47-73, January.
    4. Terence D. Agbeyegbe, 2008. "On the feasibility of a monetary union in the Southern Africa Development Community," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 150-157.
    5. Taufiq Choudhry, 2002. "Money-Income Relationships between Three ERM Countries," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 59-94, May.
    6. Choudhry, Taufiq, 2002. "Money-Income Relationships between Three ERM Countries," Journal of Applied Economics, Universidad del CEMA, vol. 5(1), pages 1-37, May.
    7. Arestis, Philip & Chortareas, Georgios & Magkonis, Georgios & Moschos, Demetrios, 2014. "Inflation targeting and inflation convergence: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 285-295.
    8. Helmut Herwartz & Florian Siedenburg, 2013. "To converge or not converge: unit labor cost inflation in the Euro area," Empirical Economics, Springer, vol. 44(2), pages 455-467, April.
    9. Nikiforos Laopodis, 2001. "International Interest-Rate Transmission and the “German Dominance Hypothesis” Within EMS," Open Economies Review, Springer, vol. 12(4), pages 347-377, October.
    10. Mark Holmes, 2002. "Panel data evidence on inflation convergence in the European Union," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 155-158.
    11. Mentz, Markus & Sebastian, Steffen P., 2003. "Inflation convergence after the introduction of the Euro," CFS Working Paper Series 2003/30, Center for Financial Studies (CFS).
    12. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
    13. A M Spiru, 2007. "Inflation convergence in the new EU member states," Working Papers 590260, Lancaster University Management School, Economics Department.
    14. Alina M. Spiru, 2008. "Inflation Convergence In Central And Eastern European Economies," Romanian Economic Business Review, Romanian-American University, vol. 3(4), pages 14-34, Winter.
    15. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.
    16. Rodney Thom, 1995. "Inflation convergence in the EMS: Some additional evidence. A comment," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 577-586, September.
    17. M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
    18. Lee, Hsiu-Yun & Wu, Jyh-Lin, 2001. "Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 477-487, July.
    19. Maria Tsafa-Karakatsanidou & Stilianos Fountas, 2018. "Testing for Inflation Convergence Among European Union Countries: A Panel Approach," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 64(1), pages 17-37.
    20. Laopodis, Nikiforos T., 2005. "Portfolio diversification benefits within Europe: Implications for a US investor," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 455-476.
    21. Guglielmo Caporale & Nikitas Pittis, 1995. "Inflation convergence in the EMS: Some additional evidence. A reply," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 587-593, September.
    22. Gadea, María Dolores & Kaabia, Monia Ben & Sabaté, Marcela, 2009. "Exchange rate regimes and prices: The cases of Italy, Spain and the United Kingdom (1874-1998)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 477-489, July.
    23. Juliane Scharff, 2007. "Inflation and the Divergence of Relative Prices: Evidence from a Cointegration Analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(2), pages 141-158, August.
    24. Crowder, William J. & Phengpis, Chanwit, 2007. "A re-examination of international inflation convergence over the modern float," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 125-139, April.
    25. Caporale, Guglielmo Maria & Kalyvitis, Sarantis & Pittis, Nikitas, 1996. "Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 693-714.
    26. Laopodis, Nikiforos T., 2004. "Monetary policy implications of comovements among long-term interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 135-164, April.
    27. Consuelo Gámez Amián & Amalia Morales Zumaquero., 2002. "Complete or Partial Inflation Convergence in the EU?," Economic Working Papers at Centro de Estudios Andaluces E2002/09, Centro de Estudios Andaluces.
    28. Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746.
    29. Mark Holmes, 2000. "The Velocity of Circulation: Some new evidence on international integration," International Review of Applied Economics, Taylor & Francis Journals, vol. 14(4), pages 449-459.
    30. Alina M. Spiru, 2008. "Inflation Convergence In Central And Eastern European Economies," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(1), pages 289-316, July.

  215. Caporale, Guglielmo Maria, 1992. "Fiscal Solvency in Europe: Budget Deficits and Government Debt under European Monetary Union," National Institute Economic Review, National Institute of Economic and Social Research, vol. 140, pages 69-77, May.

    Cited by:

    1. John T. Cuddington, 1997. "Analysing the Sustainability of Fiscal Deficits in Developing Countries," International Finance 9706001, University Library of Munich, Germany.
    2. Ronald D. Kneebone, 1994. "Deficits and Debt in Canada: Some Lessons from Recent History," Canadian Public Policy, University of Toronto Press, vol. 20(2), pages 152-164, June.

  216. Anderton, R. & Barrell, R. & Caporale, G., 1992. "The World Economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 139, pages 27-45, February.

    Cited by:

    1. J nos Kollo, 2013. "Patterns of Integration: Low Educated People and their Jobs in Norway, Italy and Hungary," Budapest Working Papers on the Labour Market 1315, Institute of Economics, Centre for Economic and Regional Studies.
    2. FitzGerald, John & Honohan, Patrick & FitzGerald, John & Honohan, Patrick, 1996. "Overall Macroeconomic Assessment," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 6, pages 143-169, Economic and Social Research Institute (ESRI).
    3. Diallo Mamadou Saliou Kokouma & Kaning Xu, 2013. "Attracting Chinese Foreign Direct Investment (FDI) to Africa: Determinants and Policies - The Case of Guinea," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 52-71, October.
    4. Baker, Terence J. & FitzGerald, John & Honohan, Patrick, 1996. "Economic Implications for Ireland of EMU," Research Series, Economic and Social Research Institute (ESRI), number PRS28, June.
    5. Studer, Roman, 2008. "India and the Great Divergence: Assessing the Efficiency of Grain Markets in Eighteenth- and Nineteenth-Century India," The Journal of Economic History, Cambridge University Press, vol. 68(2), pages 393-437, June.
    6. Köllő, János, 2013. "Patterns of Integration: Low Educated People and their Jobs in Norway, Italy and Hungary," IZA Discussion Papers 7632, Institute of Labor Economics (IZA).
    7. Duggan, Delma & FitzGerald, John & Johnston, Justin & Kavanagh, Ella & FitzGerald, John & Honohan, Patrick, 1996. "Macroeconomic Response to Shocks," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 5, pages 105-142, Economic and Social Research Institute (ESRI).
    8. José M. Albert & Marta R. Casanova & Jorge Mateu & Vicente Orts, 2013. "Distance-Based Methods: An improvement of Ripley’s K function vs. the K density function," Working Papers 2013/07, Economics Department, Universitat Jaume I, Castellón (Spain).
    9. Kelly, Jane & FitzGerald, John & Honohan, Patrick, 1996. "The Tourism Sector," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 11, pages 321-338, Economic and Social Research Institute (ESRI).
    10. Morgenroth, Edgar & FitzGerald, John & FitzGerald, John, 2006. "Summary and Conclusions," Book Chapters, in: Morgenroth, Edgar (ed.),Ex-Ante Evaluation of the Investment Priorities for the National Development Plan 2007-2013, chapter 24, pages 317-333, Economic and Social Research Institute (ESRI).
      • Baker, Terence J. & FitzGerald, John & Honohan, Patrick & FitzGerald, John & Honohan, Patrick, 1996. "Summary and Conclusions," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 12, pages 339-352, Economic and Social Research Institute (ESRI).
    11. Anja Shortland & Sourafel Girma, 2005. "The Political Economy of Financial Liberalisation," Money Macro and Finance (MMF) Research Group Conference 2005 39, Money Macro and Finance Research Group.
    12. Baker, Terence J. & Duffy, David & Duggan, Delma & FitzGerald, John & Honohan, Patrick, 1996. "The Manufacturing Sector," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 7, pages 174-221, Economic and Social Research Institute (ESRI).
    13. Ortiz Valverde, Gabriela & Latorre, María C., 2020. "A short- and long-term general equilibrium analysis of the impact of Brexit," Conference papers 333192, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    14. Baker, Terence J. & FitzGerald, John & Honohan, Patrick & FitzGerald, John & Honohan, Patrick, 1996. "Introduction," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, chapter 1, pages 1-9, Economic and Social Research Institute (ESRI).
    15. Bulent Esiyok, 2015. "Does Inward Foreign Direct Investment Increase Imports To Turkey? An Instrumental Variables Approach," Journal Articles, Center For Economic Analyses, pages 23-35, June.
    16. Shigeru Otsubo*Masahiko Tsutsumi, 1996. "Is the"Japan Problem"real? How problems in Japan's financial sector could affect developing regions," Policy Research Working Paper Series 1682, The World Bank.
    17. Palmer, Edward, 2001. "The New Swedish Pension System," Discussion Paper 36, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    18. Honohan, Patrick & FitzGerald, John & Honohan, Patrick, 1996. "Adapting to Regime Change," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, pages 10-36, Economic and Social Research Institute (ESRI).
    19. Geomina Turlea & Cezar Mereuta, 2002. "Markets and networks in Romania - life after disorganisation," UCL SSEES Economics and Business working paper series 15, UCL School of Slavonic and East European Studies (SSEES).
    20. Duggan, Delma & FitzGerald, John & Johnston, Justin & Kelly, Jane & FitzGerald, John & Honohan, Patrick, 1996. "The Macroeconomy in Stable Conditions," Book Chapters, in: Baker, Terence J. (ed.),Economic Implications for Ireland of EMU, pages 50-86, Economic and Social Research Institute (ESRI).

Chapters

  1. Guglielmo Maria Caporale & Christophe Rault & Anamaria Sova & Robert Sova, 2014. "The finance–growth nexus: evidence from ten new EU members," Chapters, in: Ewald Nowotny & Doris Ritzberger-Grünwald & Peter Backé (ed.), Financial Cycles and the Real Economy, chapter 13, pages 217-234, Edward Elgar Publishing.

    Cited by:

    1. Gergana Mihaylova-Borisova, 2023. "Determinants of Credits on Private Sector in CEE Countries," Economic Research Guardian, Weissberg Publishing, vol. 13(1), pages 2-15, June.

  2. Guglielmo Maria Caporale & Kalin Hristov & Jeffrey B. Miller & Nickolay Nenovsky & Boris Petrov, 2002. "The Banking System in Bulgaria," Chapters, in: Zeljko Sevic (ed.), Banking Reforms in South-East Europe, chapter 11, pages 219-240, Edward Elgar Publishing.
    See citations under working paper version above.
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