Guglielmo Maria Caporale
Biographic Data
| ID | 5935116 |
|---|---|
| NAME | Guglielmo Maria Caporale |
| GIVEN NAMES | Guglielmo Maria |
| FAMILY NAME | Caporale |
| SIGNATURE | CAPORALE G M |
| AFFILIATIONS | Brunel University of London |
| ORCID | 0000-0002-0144-4135 |
| VERIFIED | Yes |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 40 |
| WORKS AS AUTHOR | 8 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2001 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 2 |
Global food prices and inflation
Purpose This paper aims to examine the role of global food price mean as well as volatility shocks as determinants of domestic food price inflation for a range of countries with different food shares in total consumption and in the CPI basket. The analysis provides useful information to policymakers to control inflation and also to market participants to develop appropriate investment strategies. Design/methodology/approach It uses the endogenous…
Persistence in UK Historical Data on Life Expectancy
This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. This method is the most appropriate for our purposes since it is more general and flexible than the classical methods based on integer differentiation. The results indicate that the former exhibits an upward trend and is persistent but mean …
Exchange rate parities and Taylor rule deviations
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeting ones (the USA, the Euro Area and Switzerland). Both a benchmark l…
Shadow rates as a measure of the monetary policy stance
This paper examines the usefulness of shadow rates to measure the monetary policy stance by comparing them to the official policy rates and those implied by three types of Taylor rules in both inflation‐targeting countries (the UK, Canada, Australia and New Zealand) and others that have only targeted inflation at times (the United States, Japan, the Euro Area and Switzerland) over the period from the early 1990s to December 2021. Shadow rates est…
Time‐Varying Spot and Futures Oil Price Dynamics
In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time‐varying dynamics provides evidence of…
Environmental Regulation and Competitiveness
Income and happiness across Europe
Money, Credit and Spending
It is widely accepted that loans cause deposits. Hitherto, though, the empirical evidence has come from bivariate causality tests which we now know can give rise to invalid inference if either of the two variables is causally influenced by some third, omitted, variable. In this paper we have used tests developed by Toda and Yamamoto to investigate the possibility that earlier inferences were incorrect because of the omission of a third relevant v…
Income and happiness across Europe
Time‐Varying Spot and Futures Oil Price Dynamics
In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time‐varying dynamics provides evidence of…
Money, Credit and Spending
It is widely accepted that loans cause deposits. Hitherto, though, the empirical evidence has come from bivariate causality tests which we now know can give rise to invalid inference if either of the two variables is causally influenced by some third, omitted, variable. In this paper we have used tests developed by Toda and Yamamoto to investigate the possibility that earlier inferences were incorrect because of the omission of a third relevant v…
Money, Credit and Spending
It is widely accepted that loans cause deposits. Hitherto, though, the empirical evidence has come from bivariate causality tests which we now know can give rise to invalid inference if either of the two variables is causally influenced by some third, omitted, variable. In this paper we have used tests developed by Toda and Yamamoto to investigate the possibility that earlier inferences were incorrect because of the omission of a third relevant v…
Income and happiness across Europe
Environmental Regulation and Competitiveness
Time‐Varying Spot and Futures Oil Price Dynamics
In this paper, we investigate the role of crude oil spot and futures prices in the process of price discovery by using daily data over the period from January 1992 to September 2012. We provide evidence that futures markets play a more important role than spot markets, but their relative contributions turn out to be highly unstable, especially for the most deferred contracts. Furthermore, considering the time‐varying dynamics provides evidence of…
Exchange rate parities and Taylor rule deviations
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and three non-targeting ones (the USA, the Euro Area and Switzerland). Both a benchmark l…
Shadow rates as a measure of the monetary policy stance
This paper examines the usefulness of shadow rates to measure the monetary policy stance by comparing them to the official policy rates and those implied by three types of Taylor rules in both inflation‐targeting countries (the UK, Canada, Australia and New Zealand) and others that have only targeted inflation at times (the United States, Japan, the Euro Area and Switzerland) over the period from the early 1990s to December 2021. Shadow rates est…
Persistence in UK Historical Data on Life Expectancy
This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. This method is the most appropriate for our purposes since it is more general and flexible than the classical methods based on integer differentiation. The results indicate that the former exhibits an upward trend and is persistent but mean …
Global food prices and inflation
Purpose This paper aims to examine the role of global food price mean as well as volatility shocks as determinants of domestic food price inflation for a range of countries with different food shares in total consumption and in the CPI basket. The analysis provides useful information to policymakers to control inflation and also to market participants to develop appropriate investment strategies. Design/methodology/approach It uses the endogenous…
Economics (8 works) · Econometrics (5 works) · Monetary Policy and Economic Impact (5 works) · Market Dynamics and Volatility (4 works) · Monetary economics (4 works) · Mathematics (3 works) · Business (2 works) · Central bank (2 works) · Computer Science (2 works) · Geography (2 works)