Guglielmo Maria Caporale

Prof. Guglielmo Maria Caporale

Department of Economics and Finance, Brunel University London, London UB8 3PH, UK
orcid
Professor of Economics and Finance

Research Focus & Metrics

Academic Career Length

25Years (2002-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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1 April 2019 in Research in International Business and Finance
Verified
Journal Article
Open access
Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
TZTimur Zekokh
Timur Zekokh

7 October 2014 in International Journal of Finance & Economics
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Journal Article
Closed access
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Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
CRChristophe Rault
Christophe Rault
ASAnamaria Diana Sova
Anamaria Diana Sova
RSRobert Sova
Robert Sova

1 December 2019 in Finance Research Letters
Verified
Journal Article
Open access
Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
APAlex Plastun
Alex Plastun

22 October 2013 in Review of International Economics
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Journal Article
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JBJohn Beirne
John Beirne
Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
MSMarianne Schulze‐Ghattas
Marianne Schulze‐Ghattas
NSNicola Spagnolo
Nicola Spagnolo

1 June 2015 in Journal of International Money and Finance
Verified
Journal Article
Open access
Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
FAFaek Menla Ali
Faek Menla Ali
NSNicola Spagnolo
Nicola Spagnolo
This paper examines the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as their dynamic linkages. Specifically, a bivariate VAR GARCH-BEKK-in-mean model is estimated using bilateral monthly data for the US vis-à-vis Australia, Canada, the euro area, Japan, Sweden, and the UK over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area, the UK and Sweden, and positive in Australia. The impact on net bond flows is also negative in all countries except Canada, where it is positive. Under the assumption of risk aversion, the findings suggest that exchange rate uncertainty induces a home bias and causes investors to reduce their financial activities to maximise returns and minimise exposure to uncertainty, this effect being stronger in the UK, the euro area and Sweden compared to Canada, Australia and Japan. Overall, the results indicate that exchange rate or credit controls on these flows can be used as a policy tool in countries with strong uncertainty effects to pursue economic and financial stability

1 September 2006 in Journal of Economics and Finance
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Journal Article
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Guglielmo Maria CaporaleGuglielmo Maria Caporale
Guglielmo Maria Caporale
NPNikitas Pittis
Nikitas Pittis
NSNicola Spagnolo
Nicola Spagnolo