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Trade Specialisation and Economic Convergence : Evidence from Two Eastern European Countries

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009

-a-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards …

Persistent link: https://www.econbiz.de/10014206526

EU Banks Rating Assignments : Is There Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …

Persistent link: https://www.econbiz.de/10013141115

Financial Development and Economic Growth : Evidence from Ten New EU Members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009

This paper reviews the main features of the banking and financial sector in ten new EU members, and then examines the …

Persistent link: https://www.econbiz.de/10014201474

Brexit and Uncertainty in Financial Markets

Caporale, Guglielmo Maria - 2018

persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU …

Persistent link: https://www.econbiz.de/10012928869

Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

Persistent link: https://www.econbiz.de/10012960910

Macro News and Bond Yield Spreads in the Euro Area

Caporale, Guglielmo Maria - 2014

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

Persistent link: https://www.econbiz.de/10013046450

Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis

Caporale, Guglielmo Maria - 2014

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

Persistent link: https://www.econbiz.de/10013050104

Price Discovery and Trade Fragmentation in a Multi-Market Environment : Evidence from the MTS System

Caporale, Guglielmo Maria; Girardi, Alessandro - 2011

This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...

Persistent link: https://www.econbiz.de/10014179428

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2011

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10013119070

Trade Intensity and Output Synchronisation : On the Endogeneity Properties of EMU

Caporale, Guglielmo Maria - 2013

Using annual bilateral data over the period 1988-2011 for a panel of 24 industrialised and emerging economies, we analyse in a time-varying framework the determinants of output synchronisation in EMU (European Monetary Union) distinguishing between core and peripheral member states. The results...

Persistent link: https://www.econbiz.de/10013084449