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Guglielmo Maria Caporale



Guglielmo Maria Caporale is Professor of Economics and Finance and Director of the Centre for Empirical Finance at Brunel University, London. He is also a Visiting Professor at London South Bank University and London Metropolitan University, a Research Professor at DIW Berlin, a CESifo Research Network Fellow, an NCID (Navarra Center for International Development) Non-Resident Fellow and an Associate Researcher at the International Laboratory of Financial Economics (LFE), International College of Economics and Finance (ICEF), Higher School of Economics (HSE), Moscow. Prior to taking up his current position, he was a Research Officer at the National Institute of Economic and Social Research in London; a Research Fellow and then a Senior Research Fellow at the Centre for Economic Forecasting at the London Business School; Professor of Economics at the University of East London; Professor of Economics and Finance as well as Director of the Centre for Monetary and Financial Economics at London South Bank University.


  • Phd Economics (LSE)
  • MSc Economics (LSE)
  • Laurea (Politics, LUISS, Rome)

Research area(s)

  • International finance
  • Monetary and financial economics
  • Macroeconomics and econometrics

Membership and affiliation

  • Research Professor, DIW Berlin
  • CESifo Research Network Fellow
  • Visiting Professor, London Metropolitan University
  • Visiting Professor, London South Bank University
  • Committee Member, Money Macro and Finance Research Group (MMF)
  • Non-Resident Fellow, NCID (Navarra Center for International Development)
  • Associate Researcher, International Laboratory of Financial Economics (LFE), International College of Economics and Finance (ICEF), Higher School of Economics (HSE), Moscow


Research interests

My research focuses mainly on international financial markets and monetary policy. It uses cutting-edge econometrics to analyse issues with crucial business/policy implications. It also aims to make methodological contributions to econometric modelling.

Research project(s) and grant(s)

Seventh EU Framework Programme, Marie Curie Actions
The Political Economy of Youth Unemployment
January 2012 - December 2015
G. Caporale (CI)

Modelling long-run trends and cycles in financial time series data

Price discovery and trade fragmentation in a multi-market environment

Fiscal spillovers in the euro area



Fiscal shocks and real exchange rate dynamics

Inflation and inflation uncertainty in the euro area

Bank ratings

Quoted spreads and trade imbalance dynamics in the European Treasury bond market

Black market and official exchange rates: long-run equilibrium and short-run dynamics




Undergraduate Programmes

Module contributor

  • Financial Engineering (Yr 3)

Postgraduate Programmes

Module convenor

  • International Finance
  • Topics in International Finance


  • QAA Convenor, Director of the Centre for Empirical Finance

Research supervision

Massimo Sbracia: Real Effects of Exchange Rates; June 2011 -

Selected Publications

Journal articles

Caporale, GM. , Costamagna, R.  and Rossini, G.   (2017)   'Competitive Devaluations in Commodity-Based Economies: Colombia and the Pacific Alliance Group'. Review of Development EconomicsDownload publication 

Caporale, GM. , Cerrato, M.  and Zhang, X.   (2017)   'Analysing the Determinants of Insolvency Risk For General Insurance Firms in the UK'. Journal of Banking and FinanceDownload publication 

Caporale, GM. , Gil-Alana, L.  and You, K.   (2017)   'Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB'. Research in International Business and FinanceDownload publication 

Caporale, GM. , Lodh, S.  and Nandy, M.   (2017)   'The performance of banks in the MENA region during the global financial crisis'. Research in International Business and FinanceDownload publication 

Caporale, GM. , Carcel, H.  and Gil-Alana, L.   (2017)   'The EMBI in Latin America: Fractional integration, non-linearities and breaks'. Finance Research LettersDownload publication 

Caporale, GM. , Carcel, H.  and Gil-Alana, L.   (2017)   'Central bank policy rates: are they cointegrated?'. International EconomicsDownload publication 

Caporale, GM. , Cunado, J. , Gil-Alana, L.  and Gupta, R.   (2017)   'The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis'. Empirical EconomicsDownload publication 

Caporale, GM.  and Gil-Alana, L.   (2017)   'Persistence and cycles in the US Federal Funds rate'. International Review of Financial AnalysisDownload publication 

Caporale, GM. , Menla Ali, F. , Spagnolo, F.  and Spagnolo, N.   (2017)   'International portfolio flows and exchange rate volatility in emerging Asian markets'. Journal of International Money and FinanceDownload publication 

Caporale, GM. , Spagnolo, F.  and Spagnolo, N.   (2017)   'Macro News and Bond Yield Spreads in the Euro Area'. European Journal of FinanceDownload publication 

Caporale, GM. , Spagnolo, F.  and Spagnolo, N.   (2017)   'Macro News and Commodity Returns'. International Journal of Finance and EconomicsDownload publication 

Caporale, GM. , Spagnolo, F.  and Spagnolo, N.   (2017)   'Macro News and Exchange Rates in the BRICS'. Finance Research LettersDownload publication 

Agnello, L. , Caporale, GM.  and Sousa, R.   (2017)   'How Do Fiscal Consolidation and Fiscal Stimuli Impact On The Synchronization of Business Cycles?'. Bulletin of Economic ResearchDownload publication 

Caporale, GM. , Spagnolo, F.  and Spagnolo, N.   (2016)   'Macro news and stock returns in the euro area: a VAR-GARCH-in-mean analysis'. International Review of Financial Analysis, 45 pp. 180 - 188. Download publication 

Al-Maadid, A. , Caporale, GM. , Spagnolo, F.  and Spagnolo, N.   (2016)   'Spillovers Between Food and Energy Prices and Structural Breaks'. International EconomicsDownload publication 

Caporale, GM. , Gil-Alana, LA.  and Orlando, CJ.   (2016)   'Linkages between the US and European stock markets: a fractional cointegration approach'. International Journal of Finance and Economics, 21 (2).  pp. 143 - 153. 

Babalos, V. , Caporale, GM.  and Philippas, N.   (2016)   'Gender, style diversity and their effect on fund performance'. Research in International Business and Finance, 35 pp. 57 - 74. Download publication 

Caporale, GM.  and Sousa, RM.   (2016)   'Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets'. Research in International Business and FinanceDownload publication 

Caporale, GM. , Sousa, RM.  and Wohar, ME.   (2016)   'Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries'. Real Estate EconomicsDownload publication 

Caporale, GM. , Rault, C. , Sova, A.  and Sova, R.   (2015)   'Financial development and economic growth: evidence from ten new European Union members'. International Journal of Finance and Economics, 20 pp. 48 - 60. Download publication 

Caporale, GM. , Menla Ali, F.  and Spagnolo, N.   (2015)   'Oil price uncertainty and sectoral stock returns in China: A time-varying approach'. China Economic Review. doi: 10.1016/j.chieco.2014.09.008 Download publication 

Caporale, GM. , Sova, A.  and Sova, R.   (2015)   'Trade Flows and Trade Specialisation: The Case of China'. China Economic Review (Amsterdam)Download publication 

Caporale, GM. , Menla Ali, F.  and Spagnolo, N.   (2015)   'Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach'. Journal of International Money and FinanceDownload publication 

Caporale, GM. , Donadelli, M.  and Varani, A.   (2015)   'International capital markets structure, preferences and puzzles in a "US-China world"'. Journal of International Financial Markets, Institutions and MoneyDownload publication 

Caporale, GM. , Gil-Alana, LA. , Plastun, A.  and Makarenko, I.   (2015)   'Intraday anomalies and market efficiency: A trading robot analysis'. Computational EconomicsDownload publication 

Caporale, GM. , De Santis, R.  and Girardi, A.   (2015)   'Trade intensity and output synchronisation: on the endogeneity properties of EMU'. Journal of Financial Stability, 16 pp. 154 - 163. Download publication 

Caporale, GM. , Di Colli, S.  and Lopez, JS.   (2014)   'Bank lending procyclicality and credit quality during financial crises'. Economic Modelling, 43 pp. 142 - 157. doi: 10.1016/j.econmod.2014.07.031 Download publication 

Caporale, GM.  and Gil-Alana, LA.   (2014)   'Persistence and cycles in US hours worked'. Economic ModellingDownload publication 

Caporale, GM. , Hunter, J.  and Menla Ali, F.   (2014)   'On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010'. International Review of Financial AnalysisDownload publication 

Caporale, GM.  and Gil-Alana, LA.   (2014)   'Fractional integration and cointegration in US financial time series data'. Empirical Economics, 47 pp. 1389 - 1410. Download publication 

Caporale, GM.  and Gil-Alana, LA.   (2014)   'Long run and cyclical dynamics in the US stock market'. Journal of Forecasting, 33 pp. 147 - 161. Download publication 

Caporale, GM. , Ciferri, D.  and Girardi A.   (2014)   'Time-varying spot and futures oil price dynamics'. Scottish Journal of Political Economy, 61 (1).  pp. 78 - 97. Download publication 

Caporale, GM. , Costantini, M.  and Paradiso, A.   (2013)   'Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal'. Journal of International Financial Markets, Institutions and Money, 26 pp. 215 - 225. doi: 10.1016/j.intfin.2013.06.001 

Caporale, GM. , Cunado, J.  and Gil-Alana, LA.   (2013)   'Modelling long-run trends and cycles in financial time series data'. Journal of Time Series Analysis, 34 (3).  pp. 405 - 421. doi: 10.1111/jtsa.12010 Download publication 

Caporale, GM.  and Girardi, A.   (2013)   'Fiscal spillovers in the euro area'. Journal of International Money and Finance, 38 pp. 84e.1 - 84e.16. 

Caporale, GM.  and Gil-Alana, LA.   (2013)   'Long memory in US real output per capita'. Empirical Economics, 44 (2).  pp. 591 - 611. doi: 10.1007/s00181-012-0559-3 

Caporale, GM.  and Gil-Alana, L.   (2013)   'Long memory and fractional integrationin high frequency data on the US dollar/British pound exchange rate'. International Review of Financial Analysis, 29 pp. 1 - 9. 

Beirne, J. , Caporale, GM. , Schulze-Ghattas, M.  and Spagnolo, N.   (2013)   'Volatility Spillovers and Contagion from Mature to Emerging Stock Markets'. Review of International Economics, 21 (5).  pp. 1060 - 1075. 

Caporale, GM.  and Girardi, A.   (2013)   'Price discovery and trade fragmentation in a multi-market environment:Evidence from the MTS system'. Journal of Banking and Finance, 37 (2).  pp. 227 - 240. doi: 10.1016/j.jbankfin.2012.07.027 Download publication 

Beirne, J. , Caporale, GM.  and Spagnolo, N.   (2013)   'Liquidity risk, credit risk and the overnight Interest rate spread: A stochastic volatility modelling approach'. Manchester School, 81 (6).  pp. 925 - 940. doi: 10.1111/j.1467-9957.2012.02330.x 

Caporale, GM. , Onorante, L.  and Paesani, P.   (2012)   'Inflation and inflation uncertainty in the euro area'. Empirical Economics, 43 (2).  pp. 597 - 615. 

Caporale, GM. , Matousek, R.  and Stewart, C.   (2012)   'Rating assignments: lessons from international banks'. Journal of International Money and Finance, 31 (6).  pp. 1593 - 1606. 

Caporale, GM. , Girardi, A.  and Paesani, P.   (2012)   'Quoted spreads and trade imbalance dynamics in the European Treasury bond market'. Quartely Review of Economics and Finance, 52 (2).  pp. 173 - 182. 

Babalos, V. , Caporale, GM.  and Philippas, N.   (2012)   'Efficiency evaluation of Greek equity funds'. Research in International Business and Finance, 26 (2).  pp. 317 - 333. doi: 10.1016/j.ribaf.2012.01.003 

Caporale, GM.  and Gil-Alana, LA.   (2012)   'Estimating persistence in the volatility of asset returns with signal plus noise models'. International Journal of Finance and Economics, 17 (1).  pp. 23 - 30. doi: 10.1002/ijfe.441 

Caporale, GM. , Cunado, J.  and Gil-Alana, LA.   (2012)   'Deterministic versus stochastic seasonal fractional integration and structural breaks'. STATISTICS AND COMPUTING, 22 (2).  pp. 349 - 358. doi: 10.1007/s11222-011-9227-2 

Caporale, GM. , Ciferri, D.  and Girardi, A.   (2011)   'Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America'. Journal of International Money and Finance, 30 (5).  pp. 709 - 723. doi: 10.1016/j.jimonfin.2011.04.001 Download publication 

Caporale, GM.  and Spagnolo, N.   (2011)   'Stock Market Integration between Three CEECs, Russia, and the UK'. REVIEW OF INTERNATIONAL ECONOMICS, 19 (1).  pp. 158 - 169. doi: 10.1111/j.1467-9396.2010.00938.x 

Caporale, GM. , Matousek, R.  and Stewart, C.   (2011)   'EU banks rating assignments: is there heterogeneity between new and old member countries?'. Review of International Economics, 19 (1).  pp. 189 - 206. doi: 10.1111/j.1467-9396.2010.00940.x 

Caporale, GM. , Ciferri, D.  and Girardi, A.   (2011)   'Are the Baltic countries ready to adopt the euro? A generalised purchasing power parity approach'. Manchester School of Economic and Social Studies, 79 (3).  pp. 429 - 454. doi: 10.1111/j.1467-9957.2009.02158.x 

Caporale, GM.  and Gil-Alana, LA.   (2011)   'Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries'. Journal of Applied Statistics, 38 (1).  pp. 71 - 85. doi: 10.1080/02664760903254060 

Beirne, J. , Caporale, GM. , Schulze-Ghattas, M.  and Spagnolo, N.   (2010)   'Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis'. Emerging Markets Review, 11 (3).  pp. 250 - 260. doi: 10.1016/j.ememar.2010.05.002 

Caporale, GM.  and Cerrato, M.   (2010)   'Using Chebyshev polynomials to approximate partial differential equations'. Computational Economics, 35 (3).  pp. 235 - 244. doi: 10.1007/s10614-009-9172-8 

Caporale, GM.  and Gil-Alana, LA.   (2010)   'Fractional integration and data frequency'. Journal of Statistical Computation and Simulation, 80 (2).  pp. 121 - 132. doi: 10.1080/00949650802527487 

Caporale, GM. , Serguieva, A.  and Wu, H.   (2009)   'Financial contagion: evolutionary optimization of a multinational agent-based model'. Intelligent Systems in Accounting, Finance and Management, 16 (1-2).  pp. 111 - 125. doi: 10.1002/isaf.296 

Caporale, GM.  and Gil-Alana, LA.   (2009)   'Multiple shifts and fractional integration in the US and UK unemployment rates'. Journal of Economics and Finance, 33 (4).  pp. 364 - 375. doi: 10.1007/s12197-008-9058-y 

Caporale, GM.  and Gil-Alana, LA.   (2009)   'A multivariate long-memory model with structural breaks'. Journal of Statistical Computation and Simulation, 79 (8).  pp. 1001 - 1013. doi: 10.1080/00949650802087011 

Caporale, GM.  and Kontonikas, A.   (2009)   'The Euro and inflation uncertainty in the European Monetary Union'. Journal of International Money and Finance, 28 (6).  pp. 954 - 971. doi: 10.1016/j.jimonfin.2008.09.004 Download publication 

Caporale, GM. , Georgellis, Y. , Tsitsianis, N.  and Yin, YP.   (2009)   'Income and happiness across Europe: do reference values matter?'. Journal of Economic Psychology, 30 (1).  pp. 42 - 51. doi: 10.1016/j.joep.2008.06.004 

Caporale, GM.  and Gil-Alana, LA.   (2008)   'Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks'. Computational Statistics and Data Analysis, 52 (11).  pp. 4998 - 5013. doi: 10.1016/j.csda.2008.04.023 

Barassi, MR. , Caporale, GM.  and Hall, SG.   (2008)   'A comparison between tests for changes in the adjustment coefficients in cointegrated systems'. Journal of Statistical Computation and Simulation, 78 (1).  pp. 1 - 17. doi: 10.1080/10629360600926958 

Caporale, GM.  and Cerrato, M.   (2008)   'Black market and official exchange rates: long-run equilibrium and short-run dynamics'. Review of International Economics, 16 (3).  pp. 401 - 412. doi: 10.1111/j.1467-9396.2007.00709.x 

Caporale, GM.  and Gil-Alana, LA.   (2007)   'Non-linearities and fractional integration in the US unemployment rate'. Oxford Bulletin of Economics and Statistics, 69 (4).  pp. 521 - 544. doi: 10.1111/j.1468-0084.2007.00449.x 

Caporale, GM.  and Gil-Alana, LA.   (2007)   'The stochastic unit root model and fractional integration: an extension to the seasonal case'. Applied Stochastic Models and Data Analysis, 23 (5).  pp. 439 - 453. doi: 10.1002/asmb.683 

Caporale, GM. , Pittis, N.  and Spagnolo, N.   (2006)   'Volatility transmission and financial crises'. Journal of Economics and Finance, 30 (3).  pp. 376 - 390. doi: 10.1007/BF02752742 

Caporale, GM.  and Gil-Alana, LA.   (2006)   'Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260-1994'. Empirical Economics, 31 (1).  pp. 83 - 93. doi: 10.1007/s00181-005-0017-6 

Caporale, GM. , Ntantamis, C. , Pantelidis, T.  and Pittis, N.   (2005)   'The BDS test as a test for the adequacy of a GARCH(1,1) specification: A Monte Carlo study'. Journal of Financial Econometrics, 3 (2).  pp. 282 - 309. doi: 10.1093/jjfinec/nbi010 

Caporale, GM. , Howells, P.  and Soliman, AM.   (2005)   'Endogenous growth models and stock market development: Evidence from four countries'. Review of Development Economics, 9 (2).  pp. 166 - 176. doi: 10.1111/j.1467-9361.2005.00270.x 

Barassi, MR. , Caporale, GM.  and Hall, SG.   (2005)   'A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates'. Open Economies Review, 16 (2).  pp. 107 - 133. doi: 10.1007/s11079-005-5871-5 

Caporale, GM. , Cipollini, A.  and Demetriades, PO.   (2005)   'Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity'. Journal of International Money and Finance, 24 (1).  pp. 39 - 53. doi: 10.1016/j.jimonfin.2004.10.005 

Caporale, GM. , Panopoulou, E.  and Pittis, N.   (2005)   'The Feldstein-Horioka puzzle revisited: a Monte Carlo study'. Journal of International Money and Finance, 24 (7).  pp. 1143 - 1149. doi: 10.1016/j.jimonfin.2005.08.003 

Arestis, P. , Caporale, GM. , Cipollini, A.  and Spagnolo, N.   (2005)   'Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis'. International Journal of Finance and Economics, 10 (4).  pp. 359 - 367. doi: 10.1002/ijfe.284 

Caporale, GM. , Cipollini, A.  and Spagnolo, N.   (2005)   'Testing for contagion: a conditional correlation analysis'. Journal of Empirical Finance, 12 (3).  pp. 476 - 489. doi: 10.1016/j.jempfin.2004.02.005 

Caporale, GM.  and Gil-Alana, LA.   (2005)   'Fractional cointegration and aggregate money demand functions'. The Manchester School, 73 (6).  pp. 737 - 753. doi: 10.1111/j.1467-9957.2005.00475.x 

Caporale, GM.  and Gil-Alana, LA.   (2004)   'Fractional cointegration and real exchange rates'. Review of Financial Economics, 13 (4).  pp. 327 - 340. doi: 10.1016/j.rfe.2003.12.001 

Caporale, GM.  and Gil-Alana, LA.   (2004)   'Fractional cointegration and tests of present value models'. Review of Financial Economics, 13 (3).  pp. 245 - 258. doi: 10.1016/j.rfe.2003.09.009 

Caporale, GM.  and Pittis, N.   (2004)   'Estimator Choice and Fisher's Paradox: A Monte Carlo Study'. Econometric Reviews, 23 (1).  pp. 25 - 52. 

Caporale, GM. , Pittis, N.  and Sakellis, P.   (2003)   'Testing for PPP: the erratic behaviour of unit root tests'. Economics Letters, 80 (2).  pp. 277 - 284. doi: 10.1016/S0165-1765(03)00090-9 

Caporale, GM.  and Spagnolo, N.   (2003)   'Asset prices and output growth volatility: the effects of financial crises'. Economics Letters, 79 (1).  pp. 69 - 74. doi: 10.1016/S0165-1765(02)00289-6 

Arestis, P. , Caporale, GM.  and Cipollini, A.   (2002)   'Does inflation targeting affect the trade-off between output gap and inflation variability?'. Manchester School, 70 (4).  pp. 528 - 545. 

Caporale, GM.  and Gil-Alana, LA.   (2002)   'Fractional integration and mean reversion in stock prices'. Quarterly Review of Economics and Finance, 42 (3).  pp. 599 - 609. 

Caporale, GM.  and Williams, G.   (2002)   'Long-term nominal interest rates and domestic fundamentals'. Review of Financial Economics, 11 (2).  pp. 119 - 130. 

Caporale, GM.  and Pittis, N.   (2002)   'Unit roots versus othertypesoftime heterogeneity, parameter time dependence andsuperexogeneity'. Journal of Forecasting, 21 (3).  pp. 207 - 223. 

Caporale, GM. , Pittis, N.  and Spagnolo, N.   (2002)   'Testing for causality-in-variance: an application to the East Asian markets'. International Journal of Finance and Economics, 7 (3).  pp. 235 - 245. doi: 10.1002/ijfe.185 

Caporale, GM.  and Williams, G.   (2001)   'Monetary policy and financial liberalization: the case of United Kingdom consumption'. Journal of Macroeconomics, 23 (2).  pp. 177 - 197. 

Boyd, D. , Caporale, GM.  and Smith, R.   (2001)   'Real exchange rate effects on the balance of trade: Cointegration and the Marshall-Lerner condition'. International Journal of Finance and Economics, 6 (3).  pp. 187 - 200. doi: 10.1002/ijfe.157 

Caporale, GM.  and Howells, P.   (2001)   'Money, credit and spending: Drawing causal inferences'. Scottish Journal of Political Economy, 48 (5).  pp. 547 - 557. 

Caporale, GM.  and Chui, MKF.   (1999)   'Estimating income and price elasticities of trade in a cointegration framework'. Review of International Economics, 7 (2).  pp. 254 - 264. 

Caporale, GM.  and Pittis, N.   (1999)   'Efficient estimation of cointegrating vectors and testing for causality in vector autoregressions'. Journal of Economic Surveys, 13 (1).  pp. 30 - 35. 

Caporale, GM.  and Pittis, N.   (1998)   'Cointegration and predictability of asset prices'. Journal of International Money and Finance, 17 (3).  pp. 441 - 453. 

Caporale, GM.  and Pittis, N.   (1997)   'Causality and forecasting in incomplete systems'. Journal of Forecasting, 16 (6).  pp. 425 - 437. 

Caporale, GM.  and Pittis, N.   (1996)   'Testing for unbiasedness of term structure and interest differentials as predictors of future inflation changes and inflation differentials'. Canadian Journal of Economics, 29 (SPEC. ISS. 2).  

Caporale, GM. , Kalyvitis, S.  and Pittis, N.   (1996)   'Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS'. Journal of Macroeconomics, 18 (4).  pp. 693 - 714. doi: 10.1016/S0164-0704(96)80059-0 

Caporale, GM.  and Pittis, N.   (1995)   'Nominal exchange rate regimes and the stochastic behavior of real variables'. Journal of International Money and Finance, 14 (3).  pp. 395 - 415. doi: 10.1016/0261-5606(95)00004-X 

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