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  1. 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
  2. Modelling loans to non-financial corporations within the Eurozone
    a long-memory approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France, Italy... mehr

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    This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France, Italy and Spain. More specifically, ARFIMA (AutoRegressive Fractionally Integrated Moving Average) and FCVAR (Fractionally Cointegrated Vector Autoregression) models are estimated and then forecasts are also produced. All series are found to be highly persistent and long-run equilibrium relationships between them are also identified, confirming the role of real GDP and real gross investment as determinants of loans to NFCs. The forecasting accuracy of the FCVAR was also assessed by comparing it to that of the ARFIMA specifications, and the former were found to outperform the latter in all cases.

     
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    hdl: 10419/229492
    Schriftenreihe: CESifo working paper ; no. 8674 (2020)
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. 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
  4. 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
  5. 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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    hdl: 10419/235340
    Schriftenreihe: CESifo working paper ; no. 8970 (2021)
    Schlagworte: real output; prices; persistence; fractional integration
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  6. 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
  7. 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)
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  8. 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
  9. The Covid-19 pandemic and European trade patterns
    a sectoral analysis
    Autor*in: Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, Robert
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    This paper examines how the Covid-19 pandemic affected European trade patterns. Specifically, dynamic panel data models are estimated to assess the effects on exports and imports of various sectors and products (selected on the basis of their trading... mehr

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    This paper examines how the Covid-19 pandemic affected European trade patterns. Specifically, dynamic panel data models are estimated to assess the effects on exports and imports of various sectors and products (selected on the basis of their trading volume or strategic importance) of the restrictions and of other policy measures adopted by national governments during the crisis. The results suggest that the impact of the Covid-19 pandemic was heterogeneous across sectors and product types, both the initial drop and the subsequent rebound being different depending on sectoral characteristics and the degree of resilience. In particular, trade flows of durable products were more significantly affected by the pandemic compared to those of non-durable ones.

     
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    hdl: 10419/267347
    Schriftenreihe: CESifo working papers ; 10115 (2022)
    Schlagworte: Covid-19 pandemic; trade patterns; sectoral analysis; product analysis; stringency; policy responses; uncertainty; Europe; dynamic panel models; GMM estimator
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  10. Small and medium sized European firms and energy efficiency measures
    a probit analysis
    Autor*in: Caporale, Guglielmo Maria; Donati, Cristiana; Spagnolo, Nicola
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    This paper investigates the factors (such as different sources of financing, energy audits and internal monitoring activities) affecting the propensity of European small and medium sized enterprises (SMEs) to adopt energy efficiency measures (EEMs).... mehr

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    This paper investigates the factors (such as different sources of financing, energy audits and internal monitoring activities) affecting the propensity of European small and medium sized enterprises (SMEs) to adopt energy efficiency measures (EEMs). For this purpose, a Probit model is estimated using data from the 2017 Flash Eurobarometer survey covering a large sample of European firms. The analysis is carried out for the full sample as well as for clusters based on an environmental performance index (EPI) and on the level of economic development in turn. The results indicate that internal financing always has a positive effect on a firm’s propensity to adopt EEMs. Private external sources of financing appear to be more important for Western European firms as well as for those located in countries with a greater level of environmental awareness; in the latter, when firms combine private financing with energy audits or internal monitoring activities the propensity to adopt EEMs increases further. By contrast, in the Eastern Countries this occurs when firms simultaneously rely on public funds and monitoring activities.

     
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    hdl: 10419/267299
    Schriftenreihe: CESifo working papers ; 10066 (2022)
    Schlagworte: energy efficiency measures; EPI; financing; SMEs
    Umfang: 1 Online-Ressource (circa 30 Seiten)
  11. Inflation persistence in Europe
    the effects of the Covid-19 pandemic and of the Russia-Ukraine war
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Gil-Alaña, Luis A.; Ayestaran, Raquel
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is... mehr

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    This note analyses the possible effects of the Covid-19 pandemic and of the Russia-Ukraine war on the degree of inflation persistence in both the euro zone and the European Union as a whole (EU27). For this purpose a fractional integration model is estimated, first using the full sample and then recursively. Although the recursive analysis provides clear evidence of a significant increase in inflation persistence (especially in the case of the EU27, for which in addition to jumps an upward trend is clearly identifiable), the full-sample results imply long-lasting but only temporary effects of the two shocks being examined. These findings suggest that the required policy response to both shocks should also have a temporary nature.

     
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    hdl: 10419/267304
    Schriftenreihe: CESifo working papers ; 10071 (2022)
    Schlagworte: inflation persistence; fractional integration; recursive estimation; Covid-19 pandemic; Russia-Ukraine war
    Umfang: 1 Online-Ressource (circa 10 Seiten), Illustrationen
  12. Gold and silver as safe havens
    a fractional integration and cointegration analysis
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock... mehr

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    This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample from January 2010 until December 2019, then for one from January 2020 until July 2022 which includes the Covid-19 pandemic. The results can be summarised as follows. In the case of the pre-Covid-19 sample ending in December 2019, mean reversion is found for the gold price differential vis-à-vis BEF, BSE, CAC, DOW, KLS, KS1, MXX, N100, NAS, NYA and SP5 and for both differentials vis-à-vis CAC, KLS and N100, i.e. the evidence is mixed on whether these precious metals can be seen as safe havens, though it appears that this property characterises gold in a slightly higher number of cases. By contrast, when using the sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since mean reversion is only found in a single case, namely that of the gold differential vis-à-vis NZX.

     
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    hdl: 10419/267316
    Schriftenreihe: CESifo working papers ; 10084 (2022)
    Schlagworte: gold and silver; hedge; safe heaven; fractional integration and cointegration
    Umfang: 1 Online-Ressource (circa 17 Seiten)
  13. The Covid-19 pandemic and European trade flows
    evidence from a dynamic panel model
    Autor*in: Caporale, Guglielmo Maria; Sova, Anamaria Diana; Sova, Robert
    Erschienen: July 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the impact of the Covid-19 pandemic on trade flows in the case of the European countries. First, an ARDL dynamic panel model is estimated using the PMG method to analyse monthly data covering the most recent period... mehr

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    This paper investigates the impact of the Covid-19 pandemic on trade flows in the case of the European countries. First, an ARDL dynamic panel model is estimated using the PMG method to analyse monthly data covering the most recent period (2019M1-2021M12); then, the GMM and PCSE approaches are applied to a much longer span of quarterly data (2000Q1-2021Q4), which also includes the Global Financial Crisis (GFC) of 2007-2009, in order to compare the trade impact of two different crises. The findings based on the monthly data provide clear evidence of the significant negative effects of the Covid-19 pandemic on both exports and imports in both the short and the long run, and also suggest that digitalization was instrumental in mitigating the impact of the crisis and speeding up the recovery. The quarterly analysis over a longer time period indicates that both the GCF and the Covid-19 pandemic had negative effects on trade but of a different magnitude. The use of digital technology enabling remote work and e-commerce are again some of the factors likely explaining why international trade fell by less and also rebounded much more quickly during the Covid-19 pandemic compared to the GFC.

     
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    hdl: 10419/263778
    Schriftenreihe: CESifo working paper ; no. 9848 (2022)
    Schlagworte: Covid-19 pandemic; trade flows; dynamic panel models; pooled mean group (PMG) estimator
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  14. US house prices by census division
    persistence, trends and structural breaks
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: December 2022
    Verlag:  CESifo, Munich, Germany

    This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole... mehr

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    This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above 1 in all cases, and is particularly high for the aggregate series. However, when the possibility of structural breaks is taken into account, segmented trends are detected; the subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases, and the time trend coefficient being at its highest in the last subsample, which in most cases starts around May 2020.

     
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    hdl: 10419/271787
    Schriftenreihe: CESifo working papers ; 10143 (2022)
    Schlagworte: US house prices; fractional integration; persistence; trends; structural breaks
    Umfang: 1 Online-Ressource (circa 26 Seiten)
  15. The asymmetric impact of economic policy and oil price uncertainty on inflation
    evidence from developed and emerging economies
    Autor*in: Anderl, Christina; Caporale, Guglielmo Maria
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s... mehr

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    This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and emerging countries, we find that the estimated effects of both EPU and OPU shocks are larger when allowing for asymmetries in the context of the NARDL framework. Further, EPU shocks, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent, monetary policy uncertainty, greater transparency and more timely communications from monetary authorities to the public would be helpful to anchor inflation expectations.

     
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    hdl: 10419/271920
    Schriftenreihe: CESifo working papers ; 10276 (2023)
    Schlagworte: inflation; asymmetries; NARDL; oil price uncertainty; economic policy uncertainty
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  16. Financial integration and European tourism stocks
    Autor*in: Caporale, Guglielmo Maria; Yfanti, Stavroula; Karanasos, Menelaos; Wu, Jiaying
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This study examines the macro drivers of the time-varying (dynamic) connectedness between eleven European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is... mehr

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    This study examines the macro drivers of the time-varying (dynamic) connectedness between eleven European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is explained by common global fundamentals. The empirical results provide new evidence on the counter-cyclical behaviour of the correlations; in particular, stronger cross-country interdependence can be attributed to economic slowdowns characterized by higher uncertainty and geopolitical risk, tighter credit and liquidity conditions, and sluggish economic and real estate activity. Further, economic and political uncertainty is found to intensify the macro effects on tourism correlations. Finally, crises such as the 2008 financial turmoil, the subsequent European debt crisis, and the recent Covid-19 pandemic crash, also magnify the impact of macro drivers on the evolution of co-movement and integration in the tourism sector.

     
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    hdl: 10419/271913
    Schriftenreihe: CESifo working papers ; 10269 (2023)
    Schlagworte: cross-country tourism correlations; economic policy uncertainty; financial/health crisis; financial integration; sectoral contagion; travel and leisure industry
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  17. Tourism persistence in the Southeastern European countries
    the impact of Covid-19
    Autor*in: Caporale, Guglielmo Maria; Imeri, Amir; Gil-Alaña, Luis A.
    Erschienen: October 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign... mehr

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    This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign tourist arrivals and overnight stays. The results indicate that the COVID-19 pandemic has increased the degree of persistence of the series examined and also reduced the importance of their seasonal component.

     
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    hdl: 10419/267239
    Schriftenreihe: CESifo working paper ; no. 10006 (2022)
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  18. Long-run linkages between US stock prices and cryptocurrencies
    a fractional cointegration analysis
    Autor*in: Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; Gil-Alaña, Luis A.
    Erschienen: September 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices... mehr

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    This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging markets) as well as the possible existence of long-run linkages between them. Daily data from 9 November 2017 to 28 June 2002 are used for the analysis. The results provide evidence of market efficiency in the case of the cryptocurrencies but not of the stock market indices considered. They also indicate that in most cases there are no long-run equilibrium relationships linking the assets in question, which implies that cryptocurrencies can be a useful tool for investors to diversify and hedge when required in the case of the US markets.

     
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    hdl: 10419/265985
    Schriftenreihe: CESifo working paper ; no. 9950 (2022)
    Schlagworte: stock market prices; cryptocurrencies; persistence; fractional integration and cointegration
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  19. Modelling profitability of private equity
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Puertolas, Francisco
    Erschienen: July 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas... mehr

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    This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the World and the Total) and investment types (Buyout & Growth Equity, Venture Capital, Fund of Funds & Secondary Funds, Infrastructure, Natural Resources, Real Estate, Subordinated Capital & Distressed as well as the aggregate category All Types). The results support the hypothesis of stationarity and mean reversion in all cases; however, there are differences in the degree of persistence across regions, the series for Europe being the closest to a short-memory process, while those for the US exhibit long memory, which implies that shocks have long-lived effects. Differences are also found in the results by asset class. The implications of these findings for private equity management, profit smoothing and return benchmarking are briefly discussed.

     
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    hdl: 10419/263773
    Schriftenreihe: CESifo working paper ; no. 9843 (2022)
    Schlagworte: private equity; profitability; fractional integration; long memory; mean reversion
    Umfang: 1 Online-Ressource (circa 42 Seiten)
  20. Nominal and real wages in the UK, 1750 - 2015
    mean reversion, persistence and structural breaks
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: October 2022
    Verlag:  CESifo, Munich, Germany

    This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages... mehr

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    This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which reflects relatively long lags between inflation and wage adjustments. Endogenous break tests are also carried out and various structural breaks are identified in both series. On the whole the corresponding subsample estimates imply an increase over time in the degree of persistence of both series.

     
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    hdl: 10419/267251
    Schriftenreihe: CESifo working papers ; 10018 (2022)
    Schlagworte: nominal and real wages; mean reversion; persistence; fractional integration; structural breaks
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  21. Measuring persistence of the world population
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A.
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation... mehr

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    This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that the series considered are highly persistent; in particular, the estimated values of the fractional diffencing parameter are above 1, which implies that shocks have permanent effects. Endogenous break tests detect one main break shortly after WWII. The evidence based on the corresponding sub-sample estimation indicates a sharp fall in the degree of dependence between the observations in the second sub-sample. Although the original data and their log transformation still exhibit explosive behaviour in that sub-sample, the growth rates are mean-reverting, and thus shocks to these series will only have transitory effects; moreover, there is a negative time trend. This has implications for the design of policies aimed at containing population growth.

     
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    hdl: 10419/271930
    Schriftenreihe: CESifo working papers ; 10286 (2023)
    Schlagworte: population growth; long memory; fractional integration; time trends
    Umfang: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  22. Persistence in UK historical data on life expectancy
    Autor*in: Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A.
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former... mehr

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    This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but mean reverting; the same holds for the latter, though its degree of persistence is higher. Similar results are obtained for the logged values. On the whole, this evidence suggests that the effects of shocks to the series are transitory though persistent, which is useful information for policy makers whose task is to take appropriate measures to increase life expectancy.

     
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    hdl: 10419/271931
    Schriftenreihe: CESifo working papers ; 10287 (2023)
    Schlagworte: life expectancy; long memory; fractional integration
    Umfang: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  23. Seven pitfalls of technical analysis
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: January 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls:... mehr

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    This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified algorithms; Low profitability; Data snooping; Statistically insignificant results; Unrealistic simplifications. The key conclusion is that it is high time that (self-fulfilling) technical analysis be replaced by more sophisticated time-series forecasting methods and models such as fractional integration, R/S analysis and autoregressive specifications .

     
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    hdl: 10419/271857
    Schriftenreihe: CESifo working papers ; 10213 (2023)
    Schlagworte: technical analysis; data snooping; financial markets; price forecasting; trading
    Umfang: 1 Online-Ressource (circa 10 Seiten)
  24. Atmospheric pollution in Chinese cities
    trends and persistence
    Autor*in: Caporale, Guglielmo Maria; Carmona-González, Nieves; Gil-Alaña, Luis A.
    Erschienen: December 2022
    Verlag:  CESifo, Munich, Germany

    "This paper applies fractional integration methods to investigate the behaviour of various pollutants (PM10, PM25, SO2 and NO2) in seven Chinese cities (Shanghai, Beijing, Chongqing, Tianjin, Shenzhen, Nanjing and Xian) using daily data over the... mehr

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    "This paper applies fractional integration methods to investigate the behaviour of various pollutants (PM10, PM25, SO2 and NO2) in seven Chinese cities (Shanghai, Beijing, Chongqing, Tianjin, Shenzhen, Nanjing and Xian) using daily data over the period January 1, 2014 - November 18, 2022. The results suggest that the steps recently taken by the Chinese authorities to reduce emissions and improve air quality have already had some effect: in most cases the air pollutant series are in the stationary range, with mean reversion occurring and shocks only having temporary effects, and there are significant downward trends indicating a decline over time in the degree of pollution in Chinese cities. It is also interesting that in the most recent period the Zero-Covid policy of the Chinese authorities has led to a further fall. On the whole, it would appear that the action plan adopted by the Chinese government is bringing the expected environmental benefits and therefore it is to be hoped that such policies will continue to be implemented and extended to improve air quality even further.

     
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    hdl: 10419/271805
    Schriftenreihe: CESifo working papers ; 10161 (2022)
    Schlagworte: China; pollution; trends; persistence; long-range dependence
    Umfang: 1 Online-Ressource (circa 16 Seiten)
  25. US municipal green bonds and financial integration
    Autor*in: Caporale, Guglielmo Maria; Spagnolo, Nicola
    Erschienen: March 2023
    Verlag:  CESifo, Munich, Germany

    This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements... mehr

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    This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK models are estimated which include suitably defined dummies corresponding to those events. Significant dynamic linkages (interdependence) between the four municipal bonds under investigation are found in some cases. Moreover, there is evidence of shifts in the second moment parameters coinciding with the Covid-19 pandemic (contagion), whilst the COP policy announcements do not appear to affect the transmission mechanism between municipal green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of financial integration (and greater portfolio diversification opportunities), during the Covid-19 period, though this is likely to be only a temporary phenomenon.

     
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    hdl: 10419/271967
    Schriftenreihe: CESifo working papers ; 10323 (2023)
    Schlagworte: municipal bonds; financial integration; spillovers; multivariate GARCH-BEKK; volatility
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen