Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Lorenzo Cappiello"'
Publikováno v:
SSRN Electronic Journal.
Autor:
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, olivier pierrard, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini, Barra McCarthy
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial Econometrics. 12(4):645-678
This article develops an econometric framework to investigate the structure of dependence between random variables and to test whether it changes over time. Our approach is based on the computation—over both a test and a benchmark period—of the c
Publikováno v:
Journal of Financial and Quantitative Analysis. 45:473-502
This paper investigates whether comovements between euro area equity returns at national and industry level changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovem
Autor:
Lorenzo Cappiello, Arnaud Mehl
Publikováno v:
Review of International Economics. 17:1019-1037
This paper estimates uncovered interest parity (UIP) at long horizons using bilateral US dollar rates vis-a-vis mature economy and emerging market currencies. The paper finds support in favor of UIP for dollar rates vis-a-vis major mature economy cur
Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2114b7294f74eec9a89ceb6298ad1441
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1150.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1150.pdf
This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and indus
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd47636154513f2e5a54ba3b8ab709d4
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp913.pdf
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp913.pdf
The study considers three broad categories of financial integration measures: (i) price-based, which capture discrepancies in asset prices across different national mar kets; (ii) news-based, which analyse the impact that common factors have on the r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::e1e478282b8c8b173becc05537b63aa5
http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp81.pdf
http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp81.pdf
Autor:
Lorenzo Cappiello, Gianluigi Ferrucci
This paper deals with two related issues: the sustainability of China’s exchange rate regime and the opening up of its capital account. The exchange rate discussion deliberately passes over the issue of the “equilibrium” value of the renminbi a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::ca5dc8db84a652390b3278e58938a97d
http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp82.pdf
http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp82.pdf