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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
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 Downloads
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
201702: Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016 Downloads
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 Downloads
Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud
201689: The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa Downloads
Pramod Naik, Rangan Gupta and Puja Padhi
201688: Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs Downloads
Omokolade Akinsomi, Yener Coskun, Rangan Gupta and Chi Keung Marco Lau
201687: International Business Cycle and Financial Intermediation Downloads
Tamas Csabafi, Max Gillman and Ruthira Naraidoo
201686: The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach Downloads
Rangan Gupta, John Weirstrasd Muteba Mwamba and Mark Wohar
201685: Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data Downloads
Vasilios Plakandaras, Juncal Cunado, Rangan Gupta and Mark Wohar
201684: Tax Competition, Policy Competition and the Strategic Use of Policy Restrictions on Foreign Direct Investments Downloads
Kaushal Kishore
201683: Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches Downloads
Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller
201682: The Relationship between the Inflation Rate and Inequality across US States: A Semiparametric Approach Downloads
Mehmet Balcilar, Shinhye Chang, Rangan Gupta and Stephen Miller
201681: The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model Downloads
Rangan Gupta, Chi Keung Marco Lau and Mark Wohar
201680: Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty Downloads
Goodness Aye, Christina Christou, Luis Gil-Alana and Rangan Gupta
201679: The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests Downloads
Matteo Bonato, Riza Demirer and Rangan Gupta
201678: Chaos in G7 Stock Markets using Over One Century of Data: A Note
Aviral Tiwari and Rangan Gupta
201677: On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees Downloads
Christian Pierdzioch, Marian Risse, Wendy Nyakabawo and Rangan Gupta
201676: Dynamic Tax Competition, Home Bias and the Gain from Non-preferential Agreements Downloads
Kaushal Kishore
201675: Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach Downloads
Tahir Suleman, Rangan Gupta and Mehmet Balcilar
201674: Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models
Sheung-Chi Chow, Juncal Cunado, Rangan Gupta and Wing-Keung Wong
201673: Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty Downloads
Rangan Gupta, Amine Lahiani, Chi-Chuan Lee and Chien-Chiang Lee
201672: Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation Downloads
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
201671: Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach
Nicholas Apergis, Matteo Bonato, Rangan Gupta and Clement Kyei
201670: The Depreciation of the Pound Post-Brexit: Could it have been Predicted?
Vasilios Plakandaras, Rangan Gupta and Mark Wohar
201669: The Impact of the COMESA-EAC-SADC Tripartite Free Trade Agreement on the South African Economy Downloads
Leone Walters, Heinrich Bohlmann and Matthew Clance
201668: Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach Downloads
Mehmet Balcilar, Riza Demirer, Rangan Gupta and Mark Wohar
201667: Forecasting US GNP Growth: The Role of Uncertainty Downloads
Mawuli Segnon, Rangan Gupta, Stelios Bekiros and Mark Wohar
201666: Analysis of Herding in REITs of an Emerging Market: The Case of Turkey Downloads
Omokolade Akinsomi, Yener Coskun and Rangan Gupta
201665: Merger and Acquisitions in South African Banking: A Network DEA Model Downloads
Peter Wanke, Andrew Maredza and Rangan Gupta
201664: Testing the Efficiency of the Wine Market using Unit Root Tests with Sharp and Smooth Breaks Downloads
Elie Bouri, Tsangyao Chang and Rangan Gupta
201663: Is Inflation Persistence Different in Reality?
Nikolaos Antonakakis, Juncal Cuñado, Luis Gil-Alana and Rangan Gupta
201662: Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach
Mehmet Balcilar, Elie Bouri, Rangan Gupta and David Roubaud
201661: Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model
Christina Christou, Juncal Cuñado, Rangan Gupta and Christis Hassapis
201660: Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies?
Xu Huang, Hossein Hassani, Mansi Ghodsi, Zinnia Mukherjee and Rangan Gupta
201659: Forecasting using a Nonlinear DSGE Model Downloads
Sergey Ivashchenko and Rangan Gupta
201658: Efficiency in South African Agriculture: A Two-Stage Fuzzy Approach Downloads
Goodness Aye, Rangan Gupta and Peter Wanke
201657: Impact of US Biofuel Policy on Food Price in South Africa: Implication for Health and Nutrition
Goodness Aye
201656: Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
Helena Chuliá, Rangan Gupta, Jorge Uribe Gil and Mark Wohar
201655: Near-Rational Expectations: How Far are Surveys from Rationality? Downloads
Sergey Ivashchenko and Rangan Gupta
201654: Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks Downloads
Elie Bouri, Luis Gil-Alana, Rangan Gupta and David Roubaud
201653: The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model Downloads
Goodness Aye, Mehmet Balcilar and Rangan Gupta
201652: The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa Downloads
Rangan Gupta, Hylton Hollander and Mark Wohar
201651: Social Rate of Return to R&D on Various Energy Technologies: Where Should We Invest More? A Study of G7 Countries Downloads
Roula Inglesi-Lotz
201650: South African Trends in Health Outcomes and Health-Related Behaviour: Evidence from Repeated Cross-Sectional Surveys Downloads
Kehinde Omotoso and Steven Koch
201649: Counting the Cost of Drought Induced Productivity Losses in an Agro-Based Economy: The Case of Uganda Downloads
Nicholas Kilimani, Jan van Heerden, Heinrich Bohlmann and Louise Roos
201648: Geopolitical Risks and Stock Market Dynamics of the BRICS
Mehmet Balcilar, Matteo Bonato, Riza Demirer and Rangan Gupta
201647: Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach Downloads
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller
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