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Working Papers

  1. Jan Fidrmuc, Boontarika Paphawasit and Çiğdem Börke Tunalı, Nobel Beauty
  2. Guglielmo Maria Caporale and Mohamad Husam Helmi, Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
  3. Guglielmo Maria Caporale and Luis A. Gil-Alana, Long-Term Interest Rates in Europe: A Fractional Cointegration Analysis
  4. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Exchange Rates in the BRICS
  5. 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
  6. E Philip Davis and Rosa M. Lastra, Pension Provision, Care and Dignity in Old Age: Legal and Economic Issues
  7. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Exchange Rates and Macro News in Emerging Markets
  8. Guglielmo Maria Caporale, Rodrigo Costamagna and Gustavo Rossini: Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group
  9. Guglielmo Maria Caporale, Suman Lodh and Monomita Nandy, The Performance of Banks in the MENA Region during the Global Financial Crisis
  10. 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?
  11. 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
  12. Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You, Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB
  13. Guglielmo Maria Caporale and Valentina Zakirova, Calendar Anomalies in the Russian Stock Market
  14. Ted Aranki and Corrado Macchiarelli, The Impact of Income and Health on the Economic Decision to Retire (Early)
  15. E Philip Davis, Ethics and Banking: Comparing an Economics and a Christian Perspective
  1. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Long-term Price Overreactions: Are Markets Inefficient
  2. Guglielmo Maria Caporale, Luis Gil-Alana and C. James Orlando, Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
  3. Cigdem Börke Tunali and Jan Fidrmuc, State Aid Policy in the European Union
  4. Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez, Loan Loss Provision: Some Empirical Evidence for Italian Banks
  5. 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
  6. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
  7. Guglielmo Maria Caporale, Anamaria Sova and Robert Sova, Trade Flows and Trade Specialization: The Case of China
  8. Borja Balparda, Guglielmo Maria Caporale, and Luis A. Gil-Alana, African Growth, Non-linearities and Strong Dependence: An Empirical Study
  9. Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Spillovers between Food and Energy Prices and Structural Breaks
  10. Borja Balparda, Guglielmo Maria Caporale, and Luis Alberiko Gil-Alana, The Fisher Relationship in Nigeria
  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
  12. Dimitrios Gounopoulos, Arthur Kraft and Frank Skinner, Voluntary vs. Mandatory Management Earnings Forecasts in IPOs
  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 Ana
  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. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Detecting “Fake” Price Movements: A Convergence/Divergence Indicator
  16. Qiwei Chen, Mauro Costantini, and Bruno Deschamps, How accurate are the professional forecasts in Asia? Evidence from ten countries
  17. Andrew Mason, Sam Agyei-Ampomah and Frank Skinner, Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance
  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
  19. Alessandra Canepa, Maria González and Frank S Skinner, Evaluating the Performance of Hedge Fund Strategies: A non-Parametric Analysis
  20. Jan Fidrmuc and Çiğdem Börke Tunalı, Happiness and Religion
  21. Ray Barrell, Dilruba Karim and Alexia Ventouri: Interest Rate Liberalization and Capital Adequacy in Models of Financial Crises 
  22. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Commodity Returns
  23. Thaana Ghalia and Jan Fidrmuc, The Curse of Tourism?
  24. Jan Fidrmuc and Shuo Huang, Unemployment and the Speed of Transition in China
  25. Francis Atsu and Mauro Costantini, Modelling corporate failure dependence of UK public listed firms
  26. Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo, International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
  27. Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks
  1. Francesco Moscone, Elisa Tosetti and Alessandra Canepa, Real Estate Market and Financial Stability in US Metropolitan Areas: A Dynamic Model with Spatial Effects
  2. Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani, International Capital Markets Structure, Preferences and Puzzles: The US-China Case
  3. Guglielmo Maria Caporale and Luis Gil-Alana, Youth Unemployment in Europe: Persistence and Macroeconomic Determinants 
  4. Çiğdem Börke Tunalı and Jan Fidrmuc, State Aid Policy in the European Union
  5. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
  6. Guglielmo Maria Caporale and Marinko Škare, A Non-linear Analysis of Gibson’s Paradox in the Netherlands, 1800-2012
  7. Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana, Modelling African Inflation Rates: Non-linear Deterministic Terms and Long-Range Dependence
  8. María de la O González, Nicolas A. Papageorgiou and Frank S. Skinner, Persistent doubt: An examination of the performance of hedge funds
  9. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, The Weekend Effect: A Trading Robot and Fractional Integration Analysis
  10. Laurence D. Booth, Dimitrios Gounopoulos and Frank S. Skinner, The Choice between Non-Callable and Callable Bonds
  11. Omaima A.G. Hassan and Frank S. Skinner, Analyst Coverage, Financial Reporting Credibility, Investor Base and Listing Location
  12.  Ahmed Elbadry, Dimitrios Gounopoulos and Frank Skinner, Governance Quality and Information Asymmetry 
  13. Guglielmo Maria Caporale and Marinko Škare, Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
  14. Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
  15. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
  16. Siming Diane Liu and Len Skerratt, Earnings quality across listed, mediumsized, and small companies in the UK
  17. Alessandra Canepa and Abdullah Ibnrubbian, Does Faith Move Stock Markets? Evidence from Saudi Arabia
  18. Guglielmo Maria Caporale, Stefano Di Colli, Roberto Di Salvo and Juan Sergio Lopez, Local Banking And Local Economic Growth In Italy: Some Panel Evidence
  19. Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo, Macro News and Bond Yield Spreads in the Euro Area
  20. Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun, Short-term Price Overreactions: Identification, Testing, Exploitation
  21. Stefano Cabras, Jan Fidrmuc and J.D. Tena, Minimum Wage and Employment: Escaping from the Parametric Straitjacket
  1. Guglielmo Maria Caporale, Luis A. Gil-Alana and Yuliya Lovcha, The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-memory Model
  2. Omaima A. G. Hassan and Ray Barrell, Accounting for the determinants of banks’ credit ratings 
  3. John Hunter and Seyedeh Asieh Tabaghdehi , Cointegration and US Regional Gasoline Prices: Testing market efficiency from the stationarity of price proportions 
  4. Guglielmo Maria Caporale, Roberta De Santis and Alessandro Girardi, Trade Intensity and Output Synchronisation: On the Endogeneity Properties of the EMU
  5. Guglielmo Maria Caporale and Luis Alberiko Gil-Alana, Long Memory in the Ukrainian Stock Market
  6. R. Barrell, D. Karim and A. Ventouri, Financial Liberalization and Capital Adequacy in Models of Financial Crises
  7. 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
  8. John Hunter and Faek Menla Ali, The Monetary Model of the US Dollar– Japanese Yen Exchange Rate: An Empirical Investigation
  9. 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
  10. Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo, Exchange Rate Uncertainty and International Portfolio Flows 
  11. Jan Fidrmuc, Jarko Fidrmuc and Shuo Huang, Whither China? Reform and Economic Integration among Chinese Regions
  12. Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Financial development and economic growth in an oil-rich economy: The case of Saudi Arabia 
  13. Jan Fidrmuc and J.D. Tena, National minimum wage and employment of young workers in the UK
  14. S. Bhaumik, M. Karanasos and A. Kartsaklas, Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market
  15. Vassilis Babalos, Guglielmo Maria Caporale and Nikolaos Philippas, Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
  16. Aris Kartsaklas and Menelaos Karanasos, Long Run Dependencies in Stock Volatility and Trading Volume
  17. Aris Kartsaklas, Trader Type Effects on the Volatility- Volume Relationship. Evidence from the KOSPI 200 Index Futures Market
  18. Guglielmo Maria Caporale, Stefano Di Colli and Juan Sergio Lopez, Bank Lending Procyclicality And Credit Quality During Financial Crises
  19. John Hunter and Seyedeh Asieh Tabaghdehi, Extracting Long-run Information from Energy Prices: The role of Exogeneity 
  20. Carlos Pestana Barros, Guglielmo Maria Caporale, and Bruno Damásio, Foreign Direct Investment in the Asian Economies 
  21. Nahla Samargandi, Jan Fidrmuc and Sugata Ghosh, Is the Relationship between Financial Development and Economic Growth Monotonic for Middle Income Countries?
  22. Amedeo Piolatto and Matthew D. Rablen, Prospect Theory and Tax Evasion: A Reconsideration of the Yitzhaki Puzzle
  23. Guy Liu and Ali Mirzaei, Industrial Growth: Does Bank Competition, Concentration and Stability Constraint Matter? Evidence from developed and emerging economies
  24. Ray Barrell and Dilruba Karim, What should we do about (Macro) Pru? Macro Prudential Policy and Credit
  25. Evangelos V. Dioikitopoulos, Marina-Selini Katsaiti and Philip Shaw, A Growth Model of Weight Preferences, Food Consumption and Public Policy
  26. Qiwei Chen, Ying Jiang and Len Skerratt, Did the market overreact to the mandatory switch to IFRS in Europe?
  27. Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko, Long Memory in the Ukrainian Stock Market and Financial Crises
  28. Luca Agnello, Guglielmo Maria Caporale and Ricardo M. Sousa, Fiscal Adjustments and Business Cycle Synchronization
  29. Guglielmo Maria Caporale, Luis Gil-Alana, and Yuliya Lovcha, Testing Unemployment Theories: A Multivariate Long Memory Approach
  1. Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in German Energy Price Indices
  2. Jan Fidrmuc and Ariane Tichit, How I Learned to Stop Worrying and Love the Crisis
  3. Jan Fidrmuc and Elira Karaja, Uncertainty, informational spillovers and policy reform: A gravity model approach
  4. Matthew D. Rablen, Audit Probability Versus Effectiveness: The Beckerian Approach Revisited
  5. Ray Barrell, Philip Davis, Iana Liadze, and Dilruba Karim, Off-Balance Sheet Exposures and Banking Crises in OECD Countries
  6. Carlos P. Barros and Guglielmo Maria Caporale, Banking Consolidation in Nigeria, 2000-2010
  7. Guglielmo Maria Caporale, Mauro Costantini and Antonio Paradiso, Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
  8. Carlos P. Barros, Guglielmo Maria Caporale and Luis A. Gil-Alana, Long Memory in Angolan Macroeconomic Series: Mean Reversion Versus Explosive Behaviour.
  9.  Alessandra Canepa, Robust Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors: a Bootstrap Approach
  10. Sanjay Banerji, Alexia Ventouri and Zilong Wang, The sovereign spread in Asian emerging economies: The significance of external versus internal factors
  11. Georgios E. Chortareas, Claudia Girardone and Alexia Ventouri, Financial Freedom and Bank Efficiency: Evidence from the European Union
  12. Ray Barrell and Dilruba Karim, The Role of Capital, Liquidity and Credit
  13. Konstantinos Drakos and Panagiotis T. Konstantinou, Investment Decisions in Manufacturing: Assessing the Effects of Real Oil Prices and their Uncertainty 
  14. Qiwei Chen, Risk and Seasonal Effects: International Evidence 
  15. Qiwei Chen and Ying Jiang, The Impact of Mandatory IFRS Adoption on Accrual Anomaly and Earning Conservatism 
  16. Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence in Youth Unemployment 
  17. Ugur Akgun and Ioana Chioveanu, Loyalty Discounts
  18. Ioana Chioveanu and Jidong Zhou, Price Competition with Consumer Confusion
  19. Simon Burke and John Hunter, Arbitrage, Market Definition and Monitoring a Time Series Approach
  20. 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
  21. Guglielmo Maria Caporale, Luis A. Gil-Alana and Robert Mudida, Testing the Marshall-Lerner Condition in Kenya
  22. Javier Coto-Martinez and Juan C. Reboredo, The Relative Price of Non-Traded Goods under Imperfect Competition
  23. Weonho Yang, Jan Fidrmuc and Sugata Ghosh, Government Spending Shocks and the Multiplier: New Evidence from the U.S. Based on Natural Disasters
  24. Guglielmo Maria Caporale and Alessandro Girardi, Business Cycles, International Trade and Capital Flows: Evidence from Latin America
  25. Guglielmo Maria Caporale and Luis A. Gil-Alana, Persistence and Cycles in the US Federal Funds Rate
  26. Guglielmo Maria Caporale and Luis A. Gil-Alana, Testing the PPP Hypothesis in the Sub-Saharan Countries