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Testing Unemployment Theories : A Multivariate Long Memory Approach

Caporale, Guglielmo Maria - 2014

This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...

Persistent link: https://www.econbiz.de/10013060039

The Deaton paradox in a long memory context with structural breaks

Gil-Alana, Luis A.; Moreno, Antonio; Cho, Seonghoon - School of Economics and Business Administration, … - 2009

This paper contributes to the permanent income hypothesis (PIH) and excess consumption smoothness debate in the context of fractional integration. We show that the excess consumption smoothness result is a consequence of the quarterly data frequency commonly employed in empirical work. In fact,...

Persistent link: https://www.econbiz.de/10004988900

Technology Shocks and Hours Worked : A Fractional Integration Perspective

Gil-Alana, Luis A.; Moreno, Antonio - 2006

Previous research has found that the response of hours worked to a technology shock crucially depends on whether the variable hours is assumed to be an I(0) or an I(1) variable ex-ante. In this paper we employ a multivariate fractionally integrated model which allows us to determine...

Persistent link: https://www.econbiz.de/10014060213

The Dynamics of Unemployment by Territory, Gender, and Age Groups in Iran

Cheratian, Iman; Goltabar, Saleh; Gil-Alana, Luis A. - 2021

High level of unemployment persistence is important for Iran’s policy makers not only becauseof its weakening impacts on the whole economy, but also due to its social, political, and culturalconsequences for the government stability. This paper tests the dynamics and hysteresis of theIran’s...

Persistent link: https://www.econbiz.de/10013238283

Testing for Multiple Bubbles in the BRICS Stock Markets

Chang, Tsangyao; Ranjbar, Omid; Gil-Alana, Luis A.; … - Department of Economics, Faculty of Economic and … - 2014

multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price …-dividend ratio. Our empirical results, the first of its kind for these economies, indicate that there did exist multiple bubbles in … the stock markets of the BRICS. Further, the dates of the bubbles also corresponded to specific events in the stocks …

Persistent link: https://www.econbiz.de/10011274361

On the Persistence of UK Inflation : A Long-Range Dependence Approach

Caporale, Guglielmo Maria - 2018

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the...

Persistent link: https://www.econbiz.de/10012921881

On the Persistence of UK Inflation : A Long-Range Dependence Approach

Caporale, Guglielmo Maria - 2018

Persistent link: https://www.econbiz.de/10012917992

Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria - 2014

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10013071161

Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

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...

Persistent link: https://www.econbiz.de/10014241989

Long-run and Cyclical Dynamics in the US Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - Department of Economics and Finance Research and … - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...

Persistent link: https://www.econbiz.de/10005764147