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  1. Abnormal returns and stock price movements
    some evidence from developed and emerging markets
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: December 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and... mehr

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    This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different for developed vis-à-vis emerging markets; H4) they can be used to generate profits from intraday trading. The results suggest that there is a 2-hour window before close of business to exploit momentum effects on days with abnormal returns. On the following day momentum effects occur after positive abnormal returns, and contrarian (momentum) effects in the case of developed (emerging) stock markets after negative abnormal returns. Trading simulations show that some of these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.

     
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    hdl: 10419/229601
    Schriftenreihe: CESifo working paper ; no. 8783 (2020)
    Schlagworte: stock market; anomalies; momentum effect; contrarian effect; abnormal returns
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Unemployment persistence in Europe
    evidence from the 27 EU countries
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Trejo, Pablo Vicente
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of... mehr

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    This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of persistence in all cases. With seasonally adjusted data, a small degree of mean reversion is found in the case of Belgium, Luxembourg and Malta, but this evidence disappears under the assumption of weakly correlated disturbances. More cases of mean reversion are found instead when analysing the unadjusted series. In particular, countries such as Belgium, France, Croatia, Italy, Luxembourg and Malta display orders of integration significantly lower than 1. In addition, significant negative time trends are found in the case of Bulgaria, Croatia, Malta and Romania, and a positive one for Luxembourg. Finally, the Covid-19 pandemic had mixed effects, with (seasonal) persistence increasing in some countries whilst decreasing in others and not changing in a minority of cases. On the whole, our results support the hysteresis hypothesis for the European economies.

     
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    hdl: 10419/248937
    Schriftenreihe: CESifo working paper ; no. 9392 (2021)
    Schlagworte: unemployment persistence; long memory; Europe; fractional integration
    Umfang: 1 Online-Ressource (circa 24 Seiten)
  3. Trade flows, private credit and the Covid-19 pandemic
    panel evidence from 35 OECD countries
    Autor*in: Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, Robert
    Erschienen: November 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the impact of the Covid-19 pandemic on exports and imports in the case of 35 OECD countries during the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In contrast... mehr

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    This paper analyses the impact of the Covid-19 pandemic on exports and imports in the case of 35 OECD countries during the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In contrast to earlier studies, the empirical specification incorporates not only an index for the restrictive (and fiscal) measures adopted by national governments, but also an interaction term with private credit which captures the role of the financial sector in the context of the current crisis. The findings suggest that the negative effects of the Covid-19 pandemic on international trade can be attenuated through (policies supporting) private credit, which confirms the importance of the trade-finance nexus.

     
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    hdl: 10419/248945
    Schriftenreihe: CESifo working paper ; no. 9400 (2021)
    Schlagworte: Covid-19 pandemic; stringency index; overall government response index; credit to the private non-financial sector; dynamic panel models; GMM
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  4. Witching days and abnormal profits in the US stock market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies... mehr

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    This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by using various parametric (Student's t-test, and ANOVA) and non-parametric (Mann-Whitney) tests as well as an event study method and regressions with dummies; then it investigates whether or not any detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading strategies to earn abnormal profits, especially in the case of the Nasdaq index. Such evidence is inconsistent with the Efficient Market Hypothesis (EMH).

     
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    hdl: 10419/248905
    Schriftenreihe: CESifo working paper ; no. 9360 (2021)
    Schlagworte: witching days; abnormal returns; stock markets; anomalies; trading
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  5. The effects of the Covid-19 pandemic on stock markets, CDS and economic activity
    time-varying evidence from the US and Europe
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Helmi, Mohamad Husam; Akdeniz, Coşkun; İlhan, Ali
    Erschienen: September 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the... mehr

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    This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in these countries to February 19, 2021. Specifically, we estimate first benchmark linear VAR models and then, given the evidence of parameter instability, TVP-VAR models with stochastic volatility which are ideally suited to capturing the changing dynamics in both financial markets and the real economy. The empirical findings can be summarised as follows. The linear VAR responses of electricity consumption (a proxy for real economic activity) to a one-standard-deviation shock to the number of COVID-19 cases are statistically insignificant, except for France, whilst the CDS ones are positive and significant only in a few periods, and there are very mixed results for those of stock returns. As for the TVP-VAR results, these indicate that COVID-19 cases had a negative and significant effect on economic activity in all countries in the early stages of the pandemic (especially in Italy), and a positive one on CDS at the same time (with cross-country differences). Finally, the negative impact on stock markets was felt only initially and it had tapered off by mid-April 2020.

     
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    hdl: 10419/245497
    Schriftenreihe: CESifo working paper ; no. 9316 (2021)
    Schlagworte: Covid-19; stock markets; CDS; economic activity; TVP-VAR
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  6. Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries
    a time-varying approach
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, Gül Huyugüzel; Helmi, Mohamad Husam; Akdeniz, Coşkun
    Erschienen: September 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural... mehr

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    This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron (2003) tests, and a state-space model with time-varying parameters is then estimated. The main findings can be summarised as follows. Both the sub-samples and the time-varying estimates indicate a greater role for exchange rate returns. Oil prices have a positive and significant impact on the energy sector in all countries except India; a negative and significant one on the financial sector of Brazil, Russia, India, and South Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and Turkey, and a positive one in the case of Russia. The vulnerability of energy-dependent sectors to global fluctuations implies that appropriate energy policies should be adopted to reduce risk.

     
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    hdl: 10419/245503
    Schriftenreihe: CESifo working paper ; no. 9322 (2021)
    Schlagworte: oil prices; exchange rates; sectoral stock returns; structural breaks; time-varying parameters
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  7. The Covid-19 pandemic, policy responses and stock markets in the G20
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: September 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or... mehr

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    This paper analyses the impact of the Covid-19 pandemic on stock market returns and their volatility in the case of the G20 countries. In contrast to the existing empirical literature, which typically focuses only on either Covid-19 deaths or lockdown policies, our analysis is based on a comprehensive dynamic panel model accounting for the effects of both the epidemiological situation and restrictive measures as well as of fiscal and monetary responses; moreover, instead of Covid-19 deaths it uses a far more sophisticated Covid-19 index based on a Balanced Worth (BW) methodology, and it also takes into account heterogeneity by providing additional estimates for the G7 and the remaining countries (non-G7) separately. We find that the stock markets of the G7 are affected negatively by government restrictions more than the Covid-19 pandemic itself. By contrast, in the non-G7 countries both variables have a negative impact. Further, lockdowns during periods with particularly severe Covid-19 conditions decrease returns in the non-G7 countries whilst increase volatility in the G7 ones. Fiscal and monetary policy (the latter measured by the shadow short rate) have positive and negative effects, respectively, on the stock markets of the G7 countries but not of non-G7 ones. In brief, our evidence suggests that restrictions and other policy measures play a more important role in the G7 countries whilst the Covid-19 pandemic itself is a key determinant in the case the non-G7 stock markets.

     
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    hdl: 10419/245480
    Schriftenreihe: CESifo working paper ; no. 9299 (2021)
    Schlagworte: Covid-19 pandemic; stringency index; Covid-19 index; fiscal policy; shadow rates; stock markets
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  8. The impact of the Covid-19 pandemic on persistence in the European stock markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese Lasaosa, Isabel
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of... mehr

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    This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.

     
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    hdl: 10419/248927
    Schriftenreihe: CESifo working paper ; no. 9382 (2021)
    Schlagworte: Covid-19 pandemic; European stock market indices; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  9. US policy responses to the Covid-19 pandemic and sectoral stock indices
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, Emmanuel Joel Aikins
    Erschienen: October 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to... mehr

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    This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock indices for Technology, Telecom, Health Care, Real Estate, Consumer Staples, Consumer Discretionary, Industrials, Basic Materials, Energy and Utilities from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion for seven sectoral stock indices (Consumer Discretionary, Consumer Staples, Health, Industrials, Technology, Telecom and Utilities), with orders of integration significantly below (though close to) 1 under the assumption of white noise errors. By contrast, three indices (Basic Materials, Energy and Real Estate) are found to be highly persistent (d ≥ 1), with shocks having permanent effects. As for the policy responses, it appears that the containment and health restrictions, income support policy, and debit relief policy have had no impact. By contrast, changes in the Effect Federal Funds Rate have had a significant and positive effect on all sectors except Energy and Industrial, and similarly monetary and fiscal announcements have had a positive and significant effect in most cases. Finally, the higher mortality rate caused by the Covid-19 pandemic has affected negatively most sectoral stock indices.

     
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    hdl: 10419/248931
    Schriftenreihe: CESifo working paper ; no. 9386 (2021)
    Schlagworte: Covid-19 pandemic; US sectoral stock indices; fractional integration
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  10. Did the absence of a central bank backstop in the sovereign bond markets exacerbate spillovers during the euro-area crisis?
    Autor*in: Gibson, Heather D.; Hall, Stephen G.; Gefang, Deborah; Petroulas, Pavlos; Tavlas, George S.
    Erschienen: July 2020
    Verlag:  Bank of Greece, Athens

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    Schriftenreihe: Working paper / Bank of Greece ; 281
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  11. Persistence and long memory in monetary policy spreads
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: October 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the... mehr

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    The overnight money market rate is a key monetary policy tool. In recent years, central banks worldwide have developed new monetary policy strategies aimed at keeping its deviations from the policy rate small and short-lived. This paper describes the main instruments used for this purpose by the US Fed, the ECB and the BoE and also their policy responses to the Great Financial Crisis (GFC). Fractional integration and long-memory methods are then applied to investigate how those affected the persistence of policy spreads (i.e., the difference between overnight rates and policy rates) during different sub-periods. It is found that this increased sharply during the GFC but has fallen back in recent years. In the case of the ECB the introduction of the new €-STR benchmark in particular appears to have made monetary policy more effective.

     
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    hdl: 10419/229482
    Schriftenreihe: CESifo working paper ; no. 8664 (2020)
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  12. The direct and indirect effects of financial development on international trade: evidence from the CEEC-6
    Autor*in: Caporale, Guglielmo Maria; Sova, Anamaria Dana; Sova, Robert
    Erschienen: September 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the relationship between international trade and financial development in six EU members from Central and Eastern Europe (CEEC-6) using dynamic panel data approaches, specifically the system Generalized Method of Moments (GMM) and... mehr

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    This paper analyses the relationship between international trade and financial development in six EU members from Central and Eastern Europe (CEEC-6) using dynamic panel data approaches, specifically the system Generalized Method of Moments (GMM) and pooled mean group (PMG) estimators. The empirical results indicate that financial development affects trade flows and the structure of international trade in the long run; more precisely, it has a positive long-run impact on exports and trade openness. Further, there are indirect long-run effects through the interaction terms between financial development and sectoral value added; these are more pronounced for manufacturing than for agriculture. On the whole, our analysis suggests that the CEEC-6 could benefit in terms of trade from further developing their financial systems.

     
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    hdl: 10419/226287
    Schriftenreihe: CESifo working paper ; no. 8585 (2020)
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  13. Gold and oil prices
    abnormal returns, momentum and contrarian effects
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: July 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the... mehr

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    This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are price effects on days with abnormal returns, H2) there are price effects on the day after abnormal returns occur; H3) the price effects caused by abnormal returns are exploitable. For these purposes average analysis, t-tests, CAR and trading simulation approaches are used. The main results can be summarised as follows. Hourly returns during the day of abnormal returns are significantly bigger than those during average "normal" days. Prices tend to move in the direction of abnormal returns till the end of the day when these occur. The presence of abnormal returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can be detected. On the following day two different price patterns are detected: a momentum effect for Oil prices and a contrarian effect for Gold prices respectively. Trading simulations show that these effects can be exploited to generate abnormal profits.

     
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    hdl: 10419/223517
    Schriftenreihe: CESifo working paper ; no. 8445 (2020)
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  14. Non-linearities and persistence in US long-run interest rates
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Martin-Valmayor, Miguel
    Erschienen: December 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of... mehr

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    This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from Bloomberg including end-of-the-month values over the period January 1962-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation results indicate that both are highly persistent and exhibit non-linearities, the latter being more pronounced in the case of the ECB series.

     
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    hdl: 10419/229562
    Schriftenreihe: CESifo working paper ; no. 8744 (2020)
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  15. Particulate matter 10 (PM10): persistence and trends in eight European capitals
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Carmona-González, Nieves
    Erschienen: June 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is... mehr

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    This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on the classical dichotomy between I(0) stationary and I(1) non-stationary series used in most other studies on air pollutants. All series are found to be characterised by long memory and fractional integration, with orders of integration in the range (0, 1), which implies that mean reversion occurs and shocks do not have permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in Brussels, Paris and Berlin indicates some degree of success in reducing pollution in these capitals.

     
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    hdl: 10419/223474
    Schriftenreihe: CESifo working paper ; no. 8402 (2020)
    Umfang: 1 Online-Ressource (circa 15 Seiten)
  16. Persistence in the private debt-to-GDP ratio
    evidence from 43 OECD countries
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Malmierca, Maria
    Erschienen: February 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of... mehr

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    This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of integration around or above 1. The only exception is Argentina, where the series appears to be mean-reverting. These results highlight the key importance of macroprudential policy as one of the pillars of macro policy.

     
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    hdl: 10419/232486
    Schriftenreihe: CESifo working paper ; no. 8889 (2021)
    Schlagworte: persistence; fractional integration; private debt
    Umfang: 1 Online-Ressource (circa 21 Seiten)
  17. Persistence in ESG and conventional stock market indices
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex; Makarenko, Inna
    Erschienen: May 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and... mehr

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    This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that there are no significant differences between the two types of indices in terms of the degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined (especially the BRICS), which suggests that they are less efficient and thus offer more opportunities for profitable trading strategies. Possible explanations for these findings include different type of companies’ ‘camouflage’ and ‘washing’ (green, blue, pink, social, and SDG) in the presence of rather lax regulations for ESG reporting.

     
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    Schriftenreihe: CESifo working paper ; no. 9098 (2021)
    Schlagworte: stock market; ESG; persistence; long memory; R/S analysis; fractional integration
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  18. The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
    Autor*in: Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: June 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500,... mehr

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    This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World Market Index (ISLAM) over the period 1/01/2020-10/03/2021. The results suggest that all four indices are highly persistent and exhibit orders of integration close to 1. A small degree of mean reversion is observed only for the S&P500 under the assumption of white noise errors and USTB with autocorrelated errors; therefore, market efficiency appears to hold in most cases. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As for the policy responses, both the containment and fiscal measures had a rather limited impact, whilst there were significant announcement effects which lifted markets, especially in the case of monetary announcements. There is also evidence of a significant, positive response to changes in the effective Federal funds rate, which suggests that the financial industry, mainly benefiting from interest rises, plays a dominant role.

     
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    hdl: 10419/236705
    Schriftenreihe: CESifo working paper ; no. 9163 (2021)
    Schlagworte: Covid-19; policy responses and announcements; containment measures; US financial markets; stocks; bonds; Islamic stocks; green bonds
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  19. Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations
    Autor*in: Anderl, Christina; Caporale, Guglielmo Maria
    Erschienen: February 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period... mehr

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    This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear ARDL model and a nonlinear ARDL (NARDL) specification are considered. The results suggest that the nonlinear framework is more appropriate to capture the behaviour of real exchange rates given the presence of asymmetries both in the long- and short-run. In particular, the speed of adjustment towards the PPP-implied long-run equilibrium is three times faster in a nonlinear framework, which provides much stronger evidence in support of PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than market-based ones. Monetary authorities should aim to achieve a high degree of credibility to manage them and thus currency fluctuations effectively. The inflation targeting framework might be especially appropriate for this purpose.

     
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    hdl: 10419/235291
    Schriftenreihe: CESifo working paper ; no. 8921 (2021)
    Schlagworte: nonlinearities; asymmetric adjustment; PPP; real exchange rate; inflation expectations
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  20. Exchange rate parities and taylor rule deviations
    Autor*in: Anderl, Christina; Caporale, Guglielmo Maria
    Erschienen: March 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January... mehr

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    This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeting ones (the US, the Euro-Area and Switzerland). Both a benchmark linear VECM and a nonlinear Threshold VECM are estimated; the latter includes Taylor rule deviations as the threshold variable. The results can be summarised as follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated adjustment speed towards equilibrium being twice as fast. Second, Taylor rule deviations play an important role: the adjustment speed is twice as fast when deviations are small and the credibility of the central bank is higher. Third, inflation targeting tends to generate a higher degree of credibility for the monetary authorities thereby reducing deviations of the exchange rate from the PPP- and UIP-implied equilibrium.

     
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    hdl: 10419/235331
    Schriftenreihe: CESifo working paper ; no. 8961 (2021)
    Schlagworte: PPP; UIP; nonlinearities; Taylor rules deviations; inflation targeting
    Umfang: 1 Online-Ressource (circa 25 Seiten)
  21. Testing for UIP
    nonlinearities, monetary announcements and interest rate expectations
    Autor*in: Anderl, Christina; Caporale, Guglielmo Maria
    Erschienen: April 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition... mehr

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    This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations. The analysis is conducted for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeters (the US, the Euro-Area and Switzerland) using daily data from January 2000 to December 2020. We find that the nonlinear framework is more appropriate to capture the adjustment towards the UIP equilibrium, since the estimated speed of adjustment is substantially faster and the short-run dynamic linkages are stronger. Further, interest rate expectations play an important role: a fast adjustment only occurs when the market expects the interest rate to increase in the near future, namely central banks are perceived as more credible when sticking to their goal of keeping inflation at a low and stable rate. Also, central bank announcements have a more sizeable short-run effect in the nonlinear model. Finally, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of credibility.

     
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    hdl: 10419/235397
    Schriftenreihe: CESifo working paper ; no. 9027 (2021)
    Schlagworte: UIP; exchange rate; nonlinearities; asymmetric adjustment; CVAR (Cointegrated VAR); CVSTAR (Cointegrated Smooth Transition VAR); interest rate expectations; interest rate announcements
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  22. The relationship between prices and output in the UK and the US
    Autor*in: Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; Gil-Alaña, Luis A.
    Erschienen: March 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and... mehr

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    This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the two variables have different degrees of integration in each of the two countries, fractional cointegration tests cannot be carried out. We assume instead weak exogeneity of each of them in turn and test for causality by regressing the other variable against lagged values of the weakly exogenous one. We find that the only significant relationship implies the existence of a lagged effect of prices on output in the case of the US, which suggests a dominant role for demand shocks.

     
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    Schriftenreihe: CESifo working paper ; no. 8970 (2021)
    Schlagworte: real output; prices; persistence; fractional integration
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  23. The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: March 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020... mehr

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    This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.

     
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    hdl: 10419/235346
    Schriftenreihe: CESifo working paper ; no. 8976 (2021)
    Schlagworte: stock market prices; US bonds; persistence; fractional integration; Covid-19
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  24. A suggestion for A Dynamic Multi Factor Model (DMFM)
    Autor*in: Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S.
    Erschienen: July 2020
    Verlag:  Bank of Greece, Athens

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    Schriftenreihe: Working paper / Bank of Greece ; 282
    Schlagworte: Principal Components; Factor Models; Underlying activity; Forecasts
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  25. The effect of Emergency Liquidity Assistance (ELA) on bank lending during the euro area crisis
    Autor*in: Gibson, Heather D.; Hall, Stephen G.; Petroulas, Pavlos; Tavlas, George S.
    Erschienen: [2019]
    Verlag:  University of Leicester, School of Business, [Leicester, United Kingdom]

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    Schriftenreihe: Working paper / University of Leicester, School of Business ; no. 19, 01 (January 2019)
    Schlagworte: euro area financial crisis; Emergency Liquidity Assistance (ELA); European banks; spatial panel model
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen