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Working Papers

2017

17-01: Guglielmo Maria Caporale, Hector Carcel and Luis Gil-Alana, Central Bank Policy Rates: Are They Cointegrated?
17-02: Guglielmo Maria Caporale and Luis Gil-Alana, Unemployment in Africa: A Fractional Integration Approach
17-03: Jan Fidrmuc, Martin Hulényi and Çiğdem Börke Tunalı, Money Can't Buy EU Love: European Funds and the Brexit Referendum
17-04: Guglielmo Maria Caporale and Alex Plastun, Is There a Friday Effect in Financial Markets?
17-05: Mustafa Ozer, Jan Fidrmuc and Mehmet Ali Eryurt, Does Maternal Education Affect Childhood Immunization Rates? Evidence from Turkey
17-06: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Long Memory and Data Frequency in Financial Markets
17-07: Ray Barrell, Abdulkader Nahhas and John Hunter, Exchange Rates and Bilateral FDI: Gravity models of Bilateral FDI in High Income Economies
17-08: Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You, Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
17-09: Francis Atsu and Mauro Costantini, Modelling Country and Group Levels Corporate Default Dependence: Evidence from the Euro Area
17-10: Guglielmo Maria Caporale and Luis A. Gil-Alana, Testing the Fisher Hypothesis in the G7 Countries Using I(d) Techniques
17-11: Guglielmo Maria Caporale and Kefei You, Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
17-12: Boontarika Paphawasit and Jan Fidrmuc, Beautiful Minds: The Impact of Beauty on Research Productivity in Economics
17-13: Mustafa Ozer and Jan Fidrmuc, Male Education and Domestic Violence in Turkey: Evidence from a Natural Experiment
17-14: Ray Barrell, Abdulkader Nahhas and John Hunter, EU Cross-Border Banking and Financial Crises: Empirical Evidence using the Gravity Model
17-15: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Is Market Fear Persistent? A Long-memory Analysis
17-16: Guglielmo Maria Caporale and Nurdaulet Abilov, The Spillovers between the Russian and Other Asian and European Stock Markets: A Multivariate GARCH-in-Mean Analysis

2016

16-01: Jan Fidrmuc, Boontarika Paphawasit and Çiğdem Börke Tunalı, Nobel Beauty
16-02: Guglielmo Maria Caporale and Mohamad Husam Helmi, Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
16-03: Guglielmo Maria Caporale and Luis A. Gil-Alana, Long-Term Interest Rates in Europe: A Fractional Cointegration Analysis
16-04: Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Exchange Rates in the BRICS
16-05: Guglielmo Maria Caporale, Abdurrahman Nazif Çatık, Mohamad Husam Helmi, Faek Menla Ali and Mohammad Tajik, The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
16-06: E Philip Davis and Rosa M. Lastra, Pension Provision, Care and Dignity in Old Age: Legal and Economic Issues
16-07: Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Exchange Rates and Macro News in Emerging Markets
16-08: Guglielmo Maria Caporale and Alex Plastun, Calendar Anomalies in the Ukrainian Stock Market
16-09: Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini: Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
16-10: Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy, The Performance of Banks in the MENA Region during the Global Financial Crisis
16-11: Guglielmo Maria Caporale, Abdurrahman Nazif Çatık, Mohamad Husam Helmi, Faek Menla Ali and Coşkun Akdeniz, Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?
16-12: Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo, Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis
16-13: Guglielmo Maria Caporale, Mario Cerrato and Xuan Zhang, Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
16-14: Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You, Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
16-15: Guglielmo Maria Caporale and Valentina Zakirova, Calendar Anomalies in the Russian Stock Market
16-16: Guglielmo Maria Caporale and Alex Plastun, Price Gaps: Another Market Anomaly?
16-17: Ted Aranki and Corrado Macchiarelli, The Impact of Income and Health on the Economic Decision to Retire (Early)
16-18: E Philip Davis, Ethics and Banking: Comparing an Economics and a Christian Perspective

2015

15-01: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Long-term Price Overreactions: Are Markets Inefficient?
15-02: Guglielmo Maria Caporale, Luis Gil-Alana and C. James Orlando, Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
15-03: Cigdem Börke Tunali and Jan Fidrmuc, State Aid Policy in the European Union
15-04: Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez, Loan Loss Provision: Some Empirical Evidence for Italian Banks
15-05: Maria de la O Gonzalez, Francisco Jareno and Frank S. Skinner, Can US Stocks provide a Safe Haven from Interest and Inflation Risk? A Sector Level Examination of the Response to Unanticipated Nominal, Real Interest and Inflation Rate Shocks
15-06: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
15-07: Guglielmo Maria Caporale, Anamaria Sova and Robert Sova, Trade Flows and Trade Specialization: The Case of China
15-08: Borja Balparda, Guglielmo Maria Caporale, and Luis A. Gil-Alana, African Growth, Non-linearities and Strong Dependence: An Empirical Study
15-09: Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Spillovers between Food and Energy Prices and Structural Breaks
15-10: Borja Balparda, Guglielmo Maria Caporale, and Luis Alberiko Gil-Alana, The Fisher Relationship in Nigeria
15-11: Borja Balparda, Guglielmo Maria Caporale, and Luis A. Gil-Alana, The Kenyan Stock Market: Inefficiency, Long Memory, Persistence and Anomalities in the NSE-20
15-12: Dimitrios Gounopoulos, Arthur Kraft and Frank Skinner, Voluntary vs. Mandatory Management Earnings Forecasts in IPOs
15-13: Borja Balparda, Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis
15-14: Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy, How has the global financial crisis affected syndicated loan terms in emerging markets? Evidence from China
15-15: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Detecting “Fake” Price Movements: A Convergence/Divergence Indicator
15-16: Qiwei Chen, Mauro Costantini, and Bruno Deschamps, How accurate are the professional forecasts in Asia? Evidence from ten countries
15-17: Andrew Mason, Sam Agyei-Ampomah and Frank Skinner, Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance
15-18: Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta, The Relationship between Health Care Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
15-19: Alessandra Canepa, Maria González and Frank S Skinner, Evaluating the Performance of Hedge Fund Strategies: A non-Parametric Analysis
15-20: Jan Fidrmuc and Çiğdem Börke Tunalı, Happiness and Religion
15-21: E Philip Davis and Dilruba Karim, Exploring the Short- and Long-run Links from Bank Competition to Risk: Reconciling Conflicting Hypotheses?
15-22: Ray Barrell, Dilruba Karim and Alexia Ventouri: Interest Rate Liberalization and Capital Adequacy in Models of Financial Crises
15-23: Alessandra Canepa and Emilio Zanetti Chini, Dynamic Asymmetries in House Price Cycles: A Generalized Smooth Transition Model
15-24: Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Commodity Returns
15-25: Thaana Ghalia and Jan Fidrmuc, The Curse of Tourism?
15-26: Jan Fidrmuc and Shuo Huang, Unemployment and the Speed of Transition in China
15-27: Francis Atsu and Mauro Costantini, Modelling corporate failure dependence of UK public listed firms
15-28: Guglielmo Maria Caporale and Luis A. Gil-Alana, Estimating Time Trends in Life Expectancy in Sub-Saharan Africa
15-29: Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo, International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
15-30: Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks

2014

14-01: Francesco Moscone, Elisa Tosetti and Alessandra Canepa, Real Estate Market and Financial Stability in US Metropolitan Areas: A Dynamic Model with Spatial Effects
14-02: Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani, International Capital Markets Structure, Preferences and Puzzles: The US-China Case
14-03: Guglielmo Maria Caporale and Luis Gil-Alana, Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
14-04: Çiğdem Börke Tunalı and Jan Fidrmuc, State Aid Policy in the European Union
14-05: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
14-06: Guglielmo Maria Caporale and Marinko Škare, A Non-linear Analysis of Gibson’s Paradox in the Netherlands, 1800-2012
14-07: Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, Modelling African Inflation Rates: Non-linear Deterministic Terms and Long-Range Dependence
14-08: María de la O González, Nicolas A. Papageorgiou and Frank S. Skinner, Persistent doubt: An examination of the performance of hedge funds
14-09: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, The Weekend Effect: A Trading Robot and Fractional Integration Analysis
14-10: Laurence D. Booth, Dimitrios Gounopoulos and Frank S. Skinner, The Choice between Non-Callable and Callable Bonds
14-11: Omaima A.G. Hassan and Frank S. Skinner, Analyst Coverage, Financial Reporting Credibility, Investor Base and Listing Location
14-12: Ahmed Elbadry, Dimitrios Gounopoulos and Frank Skinner, Governance Quality and Information Asymmetry
14-13: Jan Fidrmuc and J.D. Tena, Friday the 13th: The Empirics of Bad Luck
14-14: Guglielmo Maria Caporale and Marinko Škare, Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
14-15: Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
14-16: Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
14-17: Siming Diane Liu and Len Skerratt, Earnings quality across listed, mediumsized, and small companies in the UK
14-18: Alessandra Canepa and Abdullah Ibnrubbian, Does Faith Move Stock Markets? Evidence from Saudi Arabia
14-19: Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo and Juan Sergio Lopez, Local Banking And Local Economic Growth In Italy: Some Panel Evidence
14-20: Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Bond Yield Spreads in the Euro Area
14-21: Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Short-term Price Overreactions: Identification, Testing, Exploitation
14-22: Stefano Cabras, Jan Fidrmuc and J.D. Tena, Minimum Wage and Employment: Escaping from the Parametric Straitjacket

2013

13-01: Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha, The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-memory Model
13-02: Omaima A. G. Hassan and Ray Barrell, Accounting for the determinants of banks’ credit ratings
13-03: John Hunter and Seyedeh Asieh Tabaghdehi , Cointegration and US Regional Gasoline Prices: Testing market efficiency from the stationarity of price proportions
13-04: Guglielmo Maria Caporale, Roberta De Santis and Alessandro Girardi, Trade Intensity and Output Synchronisation: On the Endogeneity Properties of the EMU
13-05: Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, Long Memory in the Ukrainian Stock Market
13-06: R. Barrell, D. Karim and A. Ventouri, Financial Liberalization and Capital Adequacy in Models of Financial Crises
13-07: Guglielmo Maria Caporale, John Hunter and Faek Menla Ali, On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
13-08: John Hunter and Faek Menla Ali, The Monetary Model of the US Dollar– Japanese Yen Exchange Rate: An Empirical Investigation
13-09: Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
13-10: Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Exchange Rate Uncertainty and International Portfolio Flows
13-11: Jan Fidrmuc, Jarko Fidrmuc and Shuo Huang, Whither China? Reform and Economic Integration among Chinese Regions
13-12: Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Financial development and economic growth in an oil-rich economy: The case of Saudi Arabia
13-13: Jan Fidrmuc and J.D. Tena, National minimum wage and employment of young workers in the UK
13-14: S. Bhaumik, M. Karanasos and A. Kartsaklas, Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market
13-15: Vassilis Babalos, Guglielmo Maria Caporale and Nikolaos Philippas, Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
13-16: Aris Kartsaklas and Menelaos Karanasos, Long Run Dependencies in Stock Volatility and Trading Volume
13-17: Aris Kartsaklas, Trader Type Effects on the Volatility- Volume Relationship. Evidence from the KOSPI 200 Index Futures Market
13-18: Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez, Bank Lending Procyclicality And Credit Quality During Financial Crises
13-19: John Hunter and Seyedeh Asieh Tabaghdehi, Extracting Long-run Information from Energy Prices: The role of Exogeneity
13-20: Carlos Pestana Barros, Guglielmo Maria Caporale, and Bruno Damásio, Foreign Direct Investment in the Asian Economies
13-21: Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Is the Relationship between Financial Development and Economic Growth Monotonic for Middle Income Countries?
13-22: Amedeo Piolatto and Matthew D. Rablen, Prospect Theory and Tax Evasion: A Reconsideration of the Yitzhaki Puzzle
13-23: Guy Liu and Ali Mirzaei, Industrial Growth: Does Bank Competition, Concentration and Stability Constraint Matter? Evidence from developed and emerging economies
13-24: Ray Barrell and Dilruba Karim, What should we do about (Macro) Pru? Macro Prudential Policy and Credit
13-25: Evangelos V. Dioikitopoulos, Marina-Selini Katsaiti and Philip Shaw, A Growth Model of Weight Preferences, Food Consumption and Public Policy
13-26: Qiwei Chen, Ying Jiang and Len Skerratt, Did the market overreact to the mandatory switch to IFRS in Europe?
13-27: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Long Memory in the Ukrainian Stock Market and Financial Crises
13-28: Luca Agnello, Guglielmo Maria Caporale and Ricardo M. Sousa, Fiscal Adjustments and Business Cycle Synchronization
13-29: Guglielmo Maria Caporale, Luis Gil-Alana, and Yuliya Lovcha, Testing Unemployment Theories: A Multivariate Long Memory Approach

2012

12-01: Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in German Energy Price Indices
12-02: Jan Fidrmuc and Ariane Tichit, How I Learned to Stop Worrying and Love the Crisis
12-03: Jan Fidrmuc and Elira Karaja, Uncertainty, informational spillovers and policy reform: A gravity model approach
12-04: Matthew D. Rablen, Audit Probability Versus Effectiveness: The Beckerian Approach Revisited
12-05: Ray Barrell, Philip Davis, Iana Liadze, and Dilruba Karim, Off-Balance Sheet Exposures and Banking Crises in OECD Countries
12-06: Carlos P. Barros and Guglielmo Maria Caporale, Banking Consolidation in Nigeria, 2000-2010
12-07: Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence and Cycles in US Hours Worked
12-08: Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso, Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
12-09: Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in Angolan Macroeconomic Series: Mean Reversion Versus Explosive Behaviour.
12-10: Alessandra Canepa, Robust Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors: a Bootstrap Approach
12-11: Sanjay Banerji, Alexia Ventouri and Zilong Wang, The sovereign spread in Asian emerging economies: The significance of external versus internal factors
12-12: Georgios E. Chortareas, Claudia Girardone and Alexia Ventouri, Financial Freedom and Bank Efficiency: Evidence from the European Union
12-13: Ray Barrell and Dilruba Karim, The Role of Capital, Liquidity and Credit
12-14: Konstantinos Drakos and Panagiotis T. Konstantinou, Investment Decisions in Manufacturing: Assessing the Effects of Real Oil Prices and their Uncertainty
12-15: Qiwei Chen, Risk and Seasonal Effects: International Evidence
12-16: Qiwei Chen and Ying Jiang, The Impact of Mandatory IFRS Adoption on Accrual Anomaly and Earning Conservatism
12-17: Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence in Youth Unemployment
12-18: Ugur Akgun and Ioana Chioveanu, Loyalty Discounts
12-19: Ioana Chioveanu and Jidong Zhou, Price Competition with Consumer Confusion
12-20: Simon Burke and John Hunter, Arbitrage, Market Definition and Monitoring a Time Series Approach
12-21: Laurence D. Booth, Dimitrios Gounopoulos and Frank S. Skinner, The choice among non-callable bonds and make whole, claw back and otherwise ordinary callable bonds
12-22: Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida, Testing the Marshall-Lerner Condition in Kenya
12-23: Javier Coto-Martinez and Juan C. Reboredo, The Relative Price of Non-Traded Goods under Imperfect Competition
12-24: Weonho Yang, Jan Fidrmuc and Sugata Ghosh, Government Spending Shocks and the Multiplier: New Evidence from the U.S. Based on Natural Disasters
12-25: Guglielmo Maria Caporale and Alessandro Girardi, Business Cycles, International Trade and Capital Flows: Evidence from Latin America
12-26: Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence and Cycles in the US Federal Funds Rate
12-27: Guglielmo Maria Caporale and Luis A. Gil-Alana, Testing the PPP Hypothesis in the Sub-Saharan Countries

2011

Page last updated: Thursday 02 February 2012