Tony Caporale - Academia.edu (original) (raw)
Papers by Tony Caporale
Land Economics, 1996
ABSTRACT Over the course of the past decade, significant steps have been taken to empirically lin... more ABSTRACT Over the course of the past decade, significant steps have been taken to empirically link indicators of resource scarcity to changes in economic growth. This paper extends this previous literature in two ways. First, rather than concentrating exclusively on energy, we focus on the technological change embodied in the prices of an array of complementary natural resource inputs. Second, we investigate (using (G)ARCH methods) the importance of resource price uncertainty as well as resource price levels on aggregate economic growth. We find that output growth is significantly influenced by both resource price levels and resource price uncertainty.
Journal of Policy Modeling, 1997
We test for a liquidity effect by utilizing a Kalman filter and find that monetary innovations lo... more We test for a liquidity effect by utilizing a Kalman filter and find that monetary innovations lowered interest rates in 51 out of the 120 quarters in our sample. This implies that the recent empirical consensus of no liquidity effect has resulted from the implicit assumption that ...
Applied Economics Letters, 1995
Following King and Plosser's (1984) suggestion, we use the growth of four real natural resou... more Following King and Plosser's (1984) suggestion, we use the growth of four real natural resource prices to proxy post-war supply shocks and assess their importance in a VAR which controls for aggregate demand influences on real output. We find that these supply shock proxies are able to account for a sizable portion of US post-war output fluctuations.
Southern Economic Journal, 1998
We estimate an ARCH-M model to analyze the relationship between the conditional standard deviatio... more We estimate an ARCH-M model to analyze the relationship between the conditional standard deviation of real gross national product (GNP) and its growth rate for the period 1871-1993. We find that variability significantly increases output growth rates. In addition, impulse response functions show that the effect of variability on growth rates is dynamic. These results provide evidence in favor of Black's (1987) business cycle hypothesis.
Applied Economics Letters, Feb 1, 1996
Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shift... more Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of inflation uncertainty, and three demand shocks variables (monetary base growth rate, interest rates and inflation rates) are incorporated in a VAR model. Our major findings are: cross-section volatility Granger causes unemployment; the sectoral shifts variable and inflation uncertainty explain a small amount, while demand shocks variables explain a substantial amount of the variation in unemployment.
International Advances in Economic Research, Nov 1, 2001
... K. DOROODIAN AND TONY CAPORALE* ... sales of foreign exchange caused the dollar to depreciate... more ... K. DOROODIAN AND TONY CAPORALE* ... sales of foreign exchange caused the dollar to depreciate (a perverse response) or that official sales prevented a steeper depreciation from occurring, a "leaning against the wind" response [Humpage, 1988; Dominguez and Frankel ...
Review of World Economics, Sep 1, 1995
ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Brett... more ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Bretton Woods and floating exchange rate periods. We estimate both the unconditional variance and the conditional variance of the DM/dollar exchange rate under each exchange rate regime. The former is estimated on the basis of the coefficient of variation and the latter on the basis of a GARCH model. Our GARCH results show that the unconditional variance greatlyunderstates the change in exchange rate uncertainty that resulted from the switch to a flexible exchange rate regime.
Applied Financial Economics, Jun 1, 1997
ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is ... more ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
The Indian Economic Journal
Economics Letters, 1994
This study uses a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model to test... more This study uses a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model to test if real exchange rate volatility has an adverse effect on the value of U.S. imports from Canada. We find that exchange rate uncertainty has a negative and statistically significant affect on trade flows.
Atlantic Economic Journal, 2000
Southern Economic Journal, 2002
We develop a positive political model of the U.S. Supreme Court. Looking at the Court's economic ... more We develop a positive political model of the U.S. Supreme Court. Looking at the Court's economic cases for the period 1953-1993, we find a significant larger fraction of conservative decisions under Republican presidents and more conservative leadership of the House and Senate Judiciary Committees. Conservative decisions are also found to be positively correlated with the fraction of the Court appointed by Republican presidents and the rate of price inflation. We argue that our findings cast serious doubt on the common view of the Supreme Court as a completely independent, apolitical institution.
Applied Financial Economics, 1997
ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is ... more ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
Weltwirtschaftliches Archiv, 1995
ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Brett... more ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Bretton Woods and floating exchange rate periods. We estimate both the unconditional variance and the conditional variance of the DM/dollar exchange rate under each exchange rate regime. The former is estimated on the basis of the coefficient of variation and the latter on the basis of a GARCH model. Our GARCH results show that the unconditional variance greatlyunderstates the change in exchange rate uncertainty that resulted from the switch to a flexible exchange rate regime.
Journal of Economic Behavior & Organization, 1998
In sharp contrast with much recent work in the area of positive political economy, much of the an... more In sharp contrast with much recent work in the area of positive political economy, much of the analysis of U.S. Supreme Court decision making has excluded political changes as possible factors influencing Court rulings. In this essay, we analyze Supreme Court voting on criminal procedure cases for the years 1953±1993 and find evidence of significant Presidential and Congressional impact on Court behavior. We argue that this provides evidence against the conventional wisdom that the Court is an autonomous decision-making body.
Journal of Labor Research, 2015
Works in Progress "Do laboratory tests of social preferences predict individual behavior during a... more Works in Progress "Do laboratory tests of social preferences predict individual behavior during a pandemic?" with Stephen Cotton and Justin Roush "Real Estate Agent Commissions: An Experimental Analysis of Collusion and Punishment" with Abel Winn "International preferences for redistribution: equality of opportunity or of outcome?" with Martin Kocher, Dipanwita Sarkar, and Jayanta Sarkar "University peer effects: How athletic success impacts peer tuition and admission" with Nancy Haskell and Kurt Rotthoff "Age-progressed future self and retirement contributions" with Dipanwita Sarkar and Jayanta Sarkar "Which Joneses? Endogenous earnings inequality and risk-taking behavior across social group assignment in the lab." with Stephen Cotton and Justin Roush
Applied Economics, 2009
This article revisits the key issue raised by researchers who have empirically investigated the b... more This article revisits the key issue raised by researchers who have empirically investigated the behaviour of short term US interest rates during the period 1890–1933. The seminal article of Mankiw, Miron and Weil (1987) argues that changes in the behaviour of nominal interest rates is best explained as a monetary regime shift that occurred with the founding of the Federal
The Journal of Law and Economics, 1998
Political Analysis, 2005
Abstract Of necessity, many tests for political influence on policies or outcomes involve the use... more Abstract Of necessity, many tests for political influence on policies or outcomes involve the use of dummy variables. However, it is often the case that the hypothesis against which the political dummies are tested is the null hypothesis that the intercept is otherwise constant throughout the sample. This simple null can cause inference problems if there are (nonpolitical) intercept shifts in the data and the political dummies are correlated with these unmodeled shifts. Here we present a method for more rigorously testing the significance of ...
Journal of Money, Credit, and Banking, 2005
Inflation, Presidents, Fed Chairs, and Regime Shifts in the U.S. Real Interest Rate Several recen... more Inflation, Presidents, Fed Chairs, and Regime Shifts in the U.S. Real Interest Rate Several recent papers agree on the existence of significant regime shifts in the U.S. real interest rate, but disagree on the proximate causes of the shifts. point to large political changes as correlates, while show that real rate breaks are correlated with inflation regime shifts and argue that the inflation regime changes cause the real rate shifts. In this paper we show that, controlling for the timing of changes in the inflation regime, dummy variables representing either party change in the Presidency or change in the identity of the Fed Chair are still strongly significant for explaining real interest rate fluctuations. When we control for a fixed coefficient linear relationship between inflation and the real rate, we find two real rate regime shifts that line up almost exactly with the accessions of Paul Volcker and Alan Greenspan. Even if we first let inflation regime switches explain the real rate and then look for regime shifts in the residuals, we find almost exactly the same two breaks. These results imply that Fed Chairs sometimes differ with respect to their preferred equilibrium real interest rate.
Land Economics, 1996
ABSTRACT Over the course of the past decade, significant steps have been taken to empirically lin... more ABSTRACT Over the course of the past decade, significant steps have been taken to empirically link indicators of resource scarcity to changes in economic growth. This paper extends this previous literature in two ways. First, rather than concentrating exclusively on energy, we focus on the technological change embodied in the prices of an array of complementary natural resource inputs. Second, we investigate (using (G)ARCH methods) the importance of resource price uncertainty as well as resource price levels on aggregate economic growth. We find that output growth is significantly influenced by both resource price levels and resource price uncertainty.
Journal of Policy Modeling, 1997
We test for a liquidity effect by utilizing a Kalman filter and find that monetary innovations lo... more We test for a liquidity effect by utilizing a Kalman filter and find that monetary innovations lowered interest rates in 51 out of the 120 quarters in our sample. This implies that the recent empirical consensus of no liquidity effect has resulted from the implicit assumption that ...
Applied Economics Letters, 1995
Following King and Plosser's (1984) suggestion, we use the growth of four real natural resou... more Following King and Plosser's (1984) suggestion, we use the growth of four real natural resource prices to proxy post-war supply shocks and assess their importance in a VAR which controls for aggregate demand influences on real output. We find that these supply shock proxies are able to account for a sizable portion of US post-war output fluctuations.
Southern Economic Journal, 1998
We estimate an ARCH-M model to analyze the relationship between the conditional standard deviatio... more We estimate an ARCH-M model to analyze the relationship between the conditional standard deviation of real gross national product (GNP) and its growth rate for the period 1871-1993. We find that variability significantly increases output growth rates. In addition, impulse response functions show that the effect of variability on growth rates is dynamic. These results provide evidence in favor of Black's (1987) business cycle hypothesis.
Applied Economics Letters, Feb 1, 1996
Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shift... more Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of inflation uncertainty, and three demand shocks variables (monetary base growth rate, interest rates and inflation rates) are incorporated in a VAR model. Our major findings are: cross-section volatility Granger causes unemployment; the sectoral shifts variable and inflation uncertainty explain a small amount, while demand shocks variables explain a substantial amount of the variation in unemployment.
International Advances in Economic Research, Nov 1, 2001
... K. DOROODIAN AND TONY CAPORALE* ... sales of foreign exchange caused the dollar to depreciate... more ... K. DOROODIAN AND TONY CAPORALE* ... sales of foreign exchange caused the dollar to depreciate (a perverse response) or that official sales prevented a steeper depreciation from occurring, a "leaning against the wind" response [Humpage, 1988; Dominguez and Frankel ...
Review of World Economics, Sep 1, 1995
ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Brett... more ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Bretton Woods and floating exchange rate periods. We estimate both the unconditional variance and the conditional variance of the DM/dollar exchange rate under each exchange rate regime. The former is estimated on the basis of the coefficient of variation and the latter on the basis of a GARCH model. Our GARCH results show that the unconditional variance greatlyunderstates the change in exchange rate uncertainty that resulted from the switch to a flexible exchange rate regime.
Applied Financial Economics, Jun 1, 1997
ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is ... more ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
The Indian Economic Journal
Economics Letters, 1994
This study uses a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model to test... more This study uses a GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model to test if real exchange rate volatility has an adverse effect on the value of U.S. imports from Canada. We find that exchange rate uncertainty has a negative and statistically significant affect on trade flows.
Atlantic Economic Journal, 2000
Southern Economic Journal, 2002
We develop a positive political model of the U.S. Supreme Court. Looking at the Court's economic ... more We develop a positive political model of the U.S. Supreme Court. Looking at the Court's economic cases for the period 1953-1993, we find a significant larger fraction of conservative decisions under Republican presidents and more conservative leadership of the House and Senate Judiciary Committees. Conservative decisions are also found to be positively correlated with the fraction of the Court appointed by Republican presidents and the rate of price inflation. We argue that our findings cast serious doubt on the common view of the Supreme Court as a completely independent, apolitical institution.
Applied Financial Economics, 1997
ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is ... more ABSTRACT The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
Weltwirtschaftliches Archiv, 1995
ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Brett... more ABSTRACT Conclusion This paper examines the change in exchange rate uncertainty between the Bretton Woods and floating exchange rate periods. We estimate both the unconditional variance and the conditional variance of the DM/dollar exchange rate under each exchange rate regime. The former is estimated on the basis of the coefficient of variation and the latter on the basis of a GARCH model. Our GARCH results show that the unconditional variance greatlyunderstates the change in exchange rate uncertainty that resulted from the switch to a flexible exchange rate regime.
Journal of Economic Behavior & Organization, 1998
In sharp contrast with much recent work in the area of positive political economy, much of the an... more In sharp contrast with much recent work in the area of positive political economy, much of the analysis of U.S. Supreme Court decision making has excluded political changes as possible factors influencing Court rulings. In this essay, we analyze Supreme Court voting on criminal procedure cases for the years 1953±1993 and find evidence of significant Presidential and Congressional impact on Court behavior. We argue that this provides evidence against the conventional wisdom that the Court is an autonomous decision-making body.
Journal of Labor Research, 2015
Works in Progress "Do laboratory tests of social preferences predict individual behavior during a... more Works in Progress "Do laboratory tests of social preferences predict individual behavior during a pandemic?" with Stephen Cotton and Justin Roush "Real Estate Agent Commissions: An Experimental Analysis of Collusion and Punishment" with Abel Winn "International preferences for redistribution: equality of opportunity or of outcome?" with Martin Kocher, Dipanwita Sarkar, and Jayanta Sarkar "University peer effects: How athletic success impacts peer tuition and admission" with Nancy Haskell and Kurt Rotthoff "Age-progressed future self and retirement contributions" with Dipanwita Sarkar and Jayanta Sarkar "Which Joneses? Endogenous earnings inequality and risk-taking behavior across social group assignment in the lab." with Stephen Cotton and Justin Roush
Applied Economics, 2009
This article revisits the key issue raised by researchers who have empirically investigated the b... more This article revisits the key issue raised by researchers who have empirically investigated the behaviour of short term US interest rates during the period 1890–1933. The seminal article of Mankiw, Miron and Weil (1987) argues that changes in the behaviour of nominal interest rates is best explained as a monetary regime shift that occurred with the founding of the Federal
The Journal of Law and Economics, 1998
Political Analysis, 2005
Abstract Of necessity, many tests for political influence on policies or outcomes involve the use... more Abstract Of necessity, many tests for political influence on policies or outcomes involve the use of dummy variables. However, it is often the case that the hypothesis against which the political dummies are tested is the null hypothesis that the intercept is otherwise constant throughout the sample. This simple null can cause inference problems if there are (nonpolitical) intercept shifts in the data and the political dummies are correlated with these unmodeled shifts. Here we present a method for more rigorously testing the significance of ...
Journal of Money, Credit, and Banking, 2005
Inflation, Presidents, Fed Chairs, and Regime Shifts in the U.S. Real Interest Rate Several recen... more Inflation, Presidents, Fed Chairs, and Regime Shifts in the U.S. Real Interest Rate Several recent papers agree on the existence of significant regime shifts in the U.S. real interest rate, but disagree on the proximate causes of the shifts. point to large political changes as correlates, while show that real rate breaks are correlated with inflation regime shifts and argue that the inflation regime changes cause the real rate shifts. In this paper we show that, controlling for the timing of changes in the inflation regime, dummy variables representing either party change in the Presidency or change in the identity of the Fed Chair are still strongly significant for explaining real interest rate fluctuations. When we control for a fixed coefficient linear relationship between inflation and the real rate, we find two real rate regime shifts that line up almost exactly with the accessions of Paul Volcker and Alan Greenspan. Even if we first let inflation regime switches explain the real rate and then look for regime shifts in the residuals, we find almost exactly the same two breaks. These results imply that Fed Chairs sometimes differ with respect to their preferred equilibrium real interest rate.