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Working Papers

From University of Pretoria, Department of Economics
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2015100: Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013
Nikolaos Antonakakis, Rangan Gupta and Aviral Twari
201749: Oil Speculation and Herding Behavior in Emerging Stock Markets Downloads
Esin Cakan, Riza Demirer, Rangan Gupta and Hardik Marfatia
201748: Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach Downloads
Francis Anguyo, Rangan Gupta and Kevin Kotzé
201747: A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US Downloads
Refk Selmi, Christos Kollias, Stephanos Papadamou and Rangan Gupta
201746: Does the Equivalence Scale Matter? Equivalence and Out-of-Pocket Payments Downloads
Steven Koch
201745: Rationalizable Information Equilibria Downloads
Alexander Zimper
201744: Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model Downloads
Rangan Gupta, Christian Pierdzioch, Refk Selmi and Mark Wohar
201743: Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note Downloads
Elie Bouri, Riza Demirer, Rangan Gupta and Hardik Marfatia
201742: U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict Downloads
Rangan Gupta, Chi Lau, Stephen Miller and Mark Wohar
201741: Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach Downloads
Mehmet Balcilar, Seyi Akadiri, Rangan Gupta and Stephen Miller
201740: Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence
Giorgio Canarella, Rangan Gupta, Stephen Miller and Stephen Pollard
201739: Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data Downloads
Mawuli Segnon, Chi Lau, Bernd Wilfling and Rangan Gupta
201738: Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach Downloads
Christina Christou, Ruthira Naraidoo, Rangan Gupta and Won Kim
201737: Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach Downloads
Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou
201736: A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach Downloads
Rangan Gupta and Hardik Marfatia
201735: Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data Downloads
Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar
201734: Foreign Market Selection of Emerging Multinational Corporations: Evidence from South African and Egyptian Corporations Downloads
Mustafa Sakr and Andre Jordaan
201733: The Effect of Education on a Country’s Energy Consumption: Evidence from Developed and Developing Countries Downloads
Roula Inglesi-Lotz and Luis Morales
201732: Uncertainty and Forecasts of U.S. Recessions Downloads
Christian Pierdzioch and Rangan Gupta
201731: Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar
201730: News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets Downloads
Rangan Gupta, Christos Kollias, Stephanos Papadamou and Mark Wohar
201729: Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach Downloads
Qiang Ji, Elie Bouri, Rangan Gupta and David Roubaud
201728: Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets Downloads
Ruipeng Liu, Riza Demirer, Rangan Gupta and Mark Wohar
201727: Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings Downloads
Rangan Gupta, Chi Lau, Ruipeng Liu and Hardik Marfatia
201726: OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach Downloads
Rangan Gupta and Seong-Min Yoon
201725: The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test Downloads
Mehmet Balcilar, Walid Bahloul, Juncal Cunado and Rangan Gupta
201724: The Effects of Oil Price Uncertainty on Economic Activities in South Africa
Junior Chiweza and Goodness Aye
201723: A Panel Analysis of the Impact of Dividend per Share, Dividend Changes and Dividend Payout Ratio on Companies Performance: An Empirical Test of ``the Dividend Signaling Hypothesis"
Mpinda Mvita and Goodness Aye
201722: The Causal Relationship between Exchange Rates and Stock Price Levels in South Africa
Lelani Coetzee and Goodness Aye
201721: Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa
Ayanda Sikhosana and Goodness Aye
201720: Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries? Downloads
Christina Christou, Rangan Gupta and Fredj Jawadi
201719: Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach Downloads
Mehmet Balcilar, Deven Bathia, Riza Demirer and Rangan Gupta
201718: Exploring Child Poverty and Inequality in Post-Apartheid South Africa: A Multidimensional Perspective Downloads
Kehinde Omotoso and Steven Koch
201717: Gender Differentials in Health: A Differences-in-Decompositions Estimate Downloads
Kehinde Omotoso and Steven Koch
201716: Social Determinants of Health Inequalities in South Africa: A Decomposition Analysis Downloads
Kehinde Omotoso and Steven Koch
201715: The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures Downloads
Walid Bahloul and Rangan Gupta
201714: Preferences Over all Random Variables: Incompatibility of Convexity and Continuity Downloads
Hirbod Assa and Alexander Zimper
201712: The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises Downloads
Hardik Marfatia, Rangan Gupta and Esin Cakan
201711: Asymmetric Behaviour in Nominal and Real Housing Prices: Evidence from Advanced and Emerging Economies
Christophe André, Nikolaos Antonakakis, Rangan Gupta and Mulatu Zerihun
201710: Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda Downloads
Francis Anguyo, Rangan Gupta and Kevin Kotze
201709: Push Factors of Emerging Multinational Corporations: Evidence from South Africa and Egypt Downloads
Mustafa Sakr and Andre Jordaan
201708: Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test Downloads
Nikolaos Antonakakis, Mehmet Balcilar, Elie Bouri and Rangan Gupta
201707: Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach Downloads
Christina Christou, Rangan Gupta, Wendy Nyakabawo and Mark Wohar
201706: Causality between Output and Income Inequality across US States: Evidence from a Heterogeneous Mixed Panel Approach Downloads
Shinhye Chang, Hsiao-Ping Chu, Rangan Gupta and Stephen Miller
201705: Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks
Christophe André, Tsangyao Chang, Luis Gil-Alana and Rangan Gupta
201704: Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model Downloads
Elie Bouri, Rangan Gupta, Seyedmehdi Hosseini and Chi Keung Lau
201703: Openness and Growth: Is the Relationship Non-Linear? Downloads
Rangan Gupta, Lardo Stander and Andrea Vaona
201702: Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016
Nikolaos Antonakakis, Rangan Gupta, Christos Kollias and Stephanos Papadamou
201701: Perturbed Utility and General Equilibrium Analysis Downloads
Wei Ma
201690: Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions
Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud
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