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    <title>EconStor Collection: DIW-Diskussionspapiere</title>
    <link>http://hdl.handle.net/10419/10</link>
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      <title>Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate</title>
      <link>http://hdl.handle.net/10419/72627</link>
      <description>Title: Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate
&lt;br/&gt;
&lt;br/&gt;Authors: Caporale, Guglielmo Maria; Gil-Alana, Luis A.
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for the error term. In brief, we find evidence that a lower degree of integration is associated with lower data frequencies. In particular, when the data are collected every 10 minutes there are several cases with values of d strictly smaller than 1, implying mean-reverting behaviour; however, for higher data frequencies the unit root null cannot be rejected. This holds for all four series examined, namely Open, High, Low and Last observations for the US dollar / British pound spot exchange rate and for different sample periods.</description>
      <pubDate>Mon, 29 Oct 2012 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>The PPP hypothesis revisited: Evidence using a multivariate long-memory model</title>
      <link>http://hdl.handle.net/10419/72626</link>
      <description>Title: The PPP hypothesis revisited: Evidence using a multivariate long-memory model
&lt;br/&gt;
&lt;br/&gt;Authors: Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, Yuliya
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent with the relative version of PPP.</description>
      <pubDate>Mon, 29 Oct 2012 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Informational opacity and honest certification</title>
      <link>http://hdl.handle.net/10419/72625</link>
      <description>Title: Informational opacity and honest certification
&lt;br/&gt;
&lt;br/&gt;Authors: Pollrich, Martin; Wagner, Lilo
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper studies the interaction of information disclosure and reputational concerns in certification markets. We argue that by revealing less precise information a certifier reduces the threat of capture. Opaque disclosure rules may reduce profits but also constrain feasible bribes. For large discount factors a certifier is unconstrained in the choice of a disclosure rule and full disclosure maximizes profits. For intermediate discount factors, only less precise, such as noisy, disclosure rules are implementable. Our results suggest that contrary to the common view, coarse disclosure may be socially desirable. A ban may provoke market failure especially in industries where certifier reputational rents are low.</description>
      <pubDate>Mon, 29 Oct 2012 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010</title>
      <link>http://hdl.handle.net/10419/72624</link>
      <description>Title: On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010
&lt;br/&gt;
&lt;br/&gt;Authors: Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla
&lt;br/&gt;
&lt;br/&gt;Abstract: This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional spillovers in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period.</description>
      <pubDate>Mon, 29 Oct 2012 22:58:59 GMT</pubDate>
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