Guglielmo Maria Caporale
Professor of Economics and Finance
Economics and Finance
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Biography
Qualifications
- Phd Economics (LSE)
- MSc Economics (LSE)
- Laurea (Politics, LUISS, Rome)
Personal Biography
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 and a CESifo Research Network Fellow. 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.
Research
Research Overview
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.
Current Projects
Seventh EU Framework Programme, Marie Curie Actions
The Political Economy of Youth Unemployment
€161,500
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
Recently Completed Projects
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
PhD Supervision
Massimo Sbracia: Real Effects of Exchange Rates; June 2011 -
Teaching
Undergraduate Programmes
Module contributor
- Financial Engineering (Yr 3)
Postgraduate Programmes
Module convenor
- International Finance
- Topics in International Finance
Administration
- QAA Convenor, Director of the Centre for Empirical Finance
External Activity
- 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)
Publications
Publications
Journal Papers
(2013) Caporale, GM., Ciferri, D. and Girardi A., Time-varying spot and futures oil price dynamics, Scottish Journal of Political Economy
(2013) Caporale, GM. and Gil-Alana, L., Long memory and fractional integration in high frequency data on the US dollar/British pound exchange rate, International Review of Financial Analysis 29 1- 9
(2013) Caporale, GM. and Gil-Alana, LA., Long memory in US real output per capita, Empirical Economics 44 (2) : 591- 611
(2013) Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N., Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Review of International Economics
(2013) Caporale, GM., Cunado, J. and Gil-Alana, L., Modelling Long-Run Trends and Cycles in Financial Time Series Data, Journal of Time Series Analysis
(2013) Beirne, J., Caporale, GM. and Spagnolo, N., Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach, Manchester School
(2013) Caporale, GM. and Girardi, A., Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System, Journal of Banking and Finance 37 (2) : 227- 240
(2012) Caporale, GM., Girardi, A. and Paesani, P., Quoted spreads and trade imbalance dynamics in the European Treasury bond market, Quartely Review of Economics and Finance 52 (2) : 173- 182
(2012) Caporale, GM., Matousek, R. and Stewart, C., Rating assignments: lessons from international banks, Journal of International Money and Finance 31 (6) : 1593- 1606
(2012) Caporale, GM., Cunado, J. and Gil-Alana, LA., Deterministic versus stochastic seasonal fractional integration and structural breaks, Statistics and Computing 22 (2) : 349- 358
(2012) Caporale, GM. and Gil-Alana, LA., Estimating persistence in the volatility of asset returns with signal plus noise models, International Journal of Finance and Economics 17 (1) : 23- 30
(2012) Caporale, GM., Onorante, L. and Paesani, P., Inflation and inflation uncertainty in the euro area, Empirical Economics 43 (2) : 597- 615
(2011) Caporale, GM., Ciferri, D. and Girardi, A., Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America, Journal of International Money and Finance 30 (5) : 709- 723
(2011) Caporale, GM., Matousek, R. and Stewart, C., EU banks rating assignments: is there heterogeneity between new and old member countries?, Review of International Economics 19 (1) : 189- 206
(2011) Caporale, GM., Ciferri, D. and Girardi, A., Are the Baltic countries ready to adopt the euro? A Generalized Purchasing Power Parity approach, Manchester School 79 (3) : 429- 454
(2011) Caporale, GM. and Spagnolo, N., Stock market integration between three CEECs, Russia, and the UK, Review of International Economics 19 (1) : 158- 169
(2010) Caporale, GM. and Gil-Alana, LA., Fractional integration and data frequency, Journal of Statistical Computation and Simulation 80 (2) : 121- 132
(2010) Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N., Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis, Emerging Markets Review 11 (3) : 250- 260
(2010) Caporale, GM. and Cerrato, M., Using Chebyshev polynomials to approximate partial differential equations, Computational Economics 35 (3) : 235- 244
(2009) Caporale, GM. and Gil-Alana, LA., A multivariate long-memory model with structural breaks, Journal of Statistical Computation and Simulation 79 (8) : 1001- 1013
(2009) Caporale, GM., Serguieva, A. and Wu, H., Financial contagion: evolutionary optimization of a multinational agent-based model, Intelligent Systems in Accounting, Finance and Management 16 (1-2) : 111- 125
(2009) Caporale, GM., Georgellis, Y., Tsitsianis, N. and Yin, YP., Income and happiness across Europe: do reference values matter?, Journal of Economic Psychology 30 (1) : 42- 51
(2009) Caporale, GM. and Kontonikas, A., The Euro and inflation uncertainty in the European Monetary Union, Journal of International Money and Finance 28 (6) : 954- 971
(2008) Barassi, MR., Caporale, GM. and Hall, SG., A comparison between tests for changes in the adjustment coefficients in cointegrated systems, Journal of Statistical Computation and Simulation 78 (1) : 1- 17
(2008) Caporale, GM. and Cerrato, M., Black market and official exchange rates: long-run equilibrium and short-run dynamics, Review of International Economics 16 (3) : 401- 412
(2008) Caporale, GM. and Gil-Alana, LA., Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks, Computational Statistics and Data Analysis 52 (11) : 4998- 5013
(2007) Caporale, GM. and Gil-Alana, LA., Non-linearities and fractional integration in the US unemployment rate, Oxford Bulletin of Economics and Statistics 69 (4) : 521- 544
(2007) Caporale, GM. and Gil-Alana, LA., The stochastic unit root model and fractional integration: an extension to the seasonal case, Applied Stochastic Models and Data Analysis 23 (5) : 439- 453
(2006) Caporale, GM., Pittis, N. and Spagnolo, N., Volatility transmission and financial crises, Journal of Economics and Finance 30 (3) : 376- 390
(2005) Barassi, MR., Caporale, GM. and Hall, SG., A sequential test for structural breaks in the causal linkages between the G7 short-term interest rates, Open Economies Review 16 (2) : 107- 133
(2005) Caporale, GM. and Gil-Alana, LA., Fractional cointegration and aggregate money demand functions, The Manchester School 73 (6) : 737- 753
(2005) Caporale, GM., Cipollini, A. and Demetriades, PO., Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity, Journal of International Money and Finance 24 (1) : 39- 53
(2005) Caporale, GM., Cipollini, A. and Spagnolo, N., Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance 12 (3) : 476- 489
(2005) Caporale, GM., Ntantamis, C., Pantelidis, T. and Pittis, N., 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) : 282- 309
(2005) Caporale, GM., Panopoulou, E. and Pittis, N., The Feldstein-Horioka puzzle revisited: a Monte Carlo study, Journal of International Money and Finance 24 (7) : 1143- 1149
(2004) Caporale, GM. and Pittis, N., Estimator Choice and Fisher's Paradox: A Monte Carlo Study, Econometric Reviews 23 (1) : 25- 52
(2004) Caporale, GM. and Gil-Alana, LA., Fractional cointegration and real exchange rates, Review of Financial Economics 13 (4) : 327- 340
(2004) Caporale, GM. and Gil-Alana, LA., Fractional cointegration and tests of present value models, Review of Financial Economics 13 (3) : 245- 258
(2003) Caporale, GM. and Spagnolo, N., Asset prices and output growth volatility: the effects of financial crises, Economics Letters 79 (1) : 69- 74
(2003) Caporale, GM., Pittis, N. and Sakellis, P., Testing for PPP: the erratic behaviour of unit root tests, Economics Letters 80 (2) : 277- 284
(2002) Arestis, P., Caporale, GM. and Cipollini, A., Does inflation targeting affect the trade-off between output gap and inflation variability?, Manchester School 70 (4) : 528- 545
(2002) Caporale, GM. and Gil-Alana, LA., Fractional integration and mean reversion in stock prices, Quarterly Review of Economics and Finance 42 (3) : 599- 609
(2002) Caporale, GM. and Williams, G., Long-term nominal interest rates and domestic fundamentals, Review of Financial Economics 11 (2) : 119- 130
(2002) Caporale, GM. and Pittis, N., Unit roots versus other types of time heterogeneity, parameter time dependence and superexogeneity, Journal of Forecasting 21 (3) : 207- 223
(2002) Caporale, GM., Pittis, N. and Spagnolo, N., Testing for causality-in-variance: an application to the East Asian markets, International Journal of Finance and Economics 7 (3) : 235- 245
(2001) Caporale, GM. and Williams, G., Monetary policy and financial liberalization: the case of United Kingdom consumption, Journal of Macroeconomics 23 (2) : 177- 197
(1999) Caporale, GM. and Pittis, N., Efficient estimation of cointegrating vectors and testing for causality in vector autoregressions, Journal of Economic Surveys 13 (1) : 30- 35
(1999) Caporale, GM. and Chui, MKF., Estimating income and price elasticities of trade in a cointegration framework, Review of International Economics 7 (2) : 254- 264
(1998) Caporale, GM. and Pittis, N., Cointegration and predictability of asset prices, Journal of International Money and Finance 17 (3) : 441- 453
(1997) Caporale, GM. and Pittis, N., Causality and forecasting in incomplete systems, Journal of Forecasting 16 (6) : 425- 437
(1996) Caporale, GM., Kalyvitis, S. and Pittis, N., Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS, Journal of Macroeconomics 18 (4) : 693- 714
(1996) Caporale, GM. and Pittis, N., 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) : S565- S569
(1995) Caporale, GM. and Pittis, N., Nominal exchange rate regimes and the stochastic behavior of real variables, Journal of International Money and Finance 14 (3) : 395- 415
