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Working Papers

From University of Pretoria, Department of Economics
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201586: The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach Downloads
Mehmet Balcilar, Rangan Gupta, Won Joong Kim and Clement Kyei
201585: Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR Downloads
Rangan Gupta, Eric Olson and Mark Wohar
201584: The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014 Downloads
Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari
201583: Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
Carlos Barros and Rangan Gupta
201582: The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach Downloads
Christophe André, Lumengo Bonga-Bonga and Rangan Gupta
201581: The US Real GNP is Trend-Stationary After All Downloads
Tolga Omay, Rangan Gupta and Giovanni Bonaccolto
201580: Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes Downloads
Luis Gil-Alana, Rangan Gupta, Olusanya Olubusoye and OlaOluwa Yaya
201579: Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note Downloads
Nikolaos Antonakakis, Rangan Gupta and John Muteba Mwamba
201578: Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis Downloads
Lei Chen, Rangan Gupta, Zinnia Mukherjee and Peter Wanke
201577: The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test Downloads
Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar
201576: Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test Downloads
Nikolaos Antonakakis, Vassilios Babalos, Rangan Gupta and Clement Kyei
201575: Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test Downloads
Mehmet Balcilar, Rangan Gupta and Clement Kyei
201574: Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates Downloads
Luis Gil-Alana, Juncal Cunado and Rangan Gupta
201573: Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States Downloads
Nikolaos Antonakakis and Rangan Gupta
201572: Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data Downloads
Mehmet Balcilar, Rangan Gupta and Mark Wohar
201571: Energy Efficiency Drivers in South Africa: 1965-2014 Downloads
Goodness Aye, Rangan Gupta and Peter Wanke
201570: South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
Mehmet Balcilar, Rangan Gupta and Clement Kyei
201569: Labour Market and Monetary Policy in South Africa Downloads
Vincent Dadam and Nicola Viegi
201568: Portfolio Flows in a Two-Country RBC Model with Financial Intermediaries Downloads
Haakon Kavli and Nicola Viegi
201567: Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve Downloads
Rangan Gupta, Hylton Hollander and Rudi Steinbach
201566: Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data Downloads
Mulatu Zerihun, Juncal Cunado and Rangan Gupta
201565: Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers Downloads
Abdulnasser Hatemi-J, Tsangyao Chang, Wen-Yi Chen, Feng-Li Lin and Rangan Gupta
201564: The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk Downloads
Giovanni Bonaccolto, Massimiliano Caporin and Rangan Gupta
201563: The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework Downloads
Rangan Gupta, Charl Jooste and Omid Ranjbar
201562: Vulnerability to Climatic Variability: An Assessment of Drought Prevalence on Water Resources Availability and Implications for the Ugandan Economy Downloads
Nicholas Kilimani
201560: Energy Demand in South Africa: Is it Asymmetric?
Rangan Gupta, Roula Inglesi-Lotz and John Muteba Mwamba
201559: Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model
Goodness Aye, Tsangyao Chang and Rangan Gupta
201558: The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-Frequency Markov-Switching Vector Autoregressive Approach Downloads
Mehmet Balcilar, Rangan Gupta and Mawuli Segnon
201557: A New International Database on Financial Fragility Downloads
Svetlana Andrianova, Badi Baltagi, Thorsten Beck, Panicos Demetriades, David Fielding, Stephen Hall, Steven Koch, Robert Lensink, Johan Rewilak and Peter Rousseau
201556: The Demand for Reproductive Health Care Downloads
Gauthier Tshiswaka-Kashalala and Steven Koch
201555: Globalisation and Conflicts: A Theoretical Approach Downloads
Bonginkosi Mamba, Andre Jordaan and Matthew Clance
201554: Do Commodities Herd? Evidence from a Time-Varying Stochastic Volatility Model
Vassilios Babalos, Stavros Stavroyiannis and Rangan Gupta
201553: Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data Downloads
Luis Gil-Alana, Juncal Cuñado and Rangan Gupta
201552: Forecasting Accuracy Evaluation of Tourist Arrivals: Evidence from Parametric and Non-Parametric Techniques Downloads
Hossein Hassani, Emmanuel Silva, Nikolaos Antonakakis, George Filis and Rangan Gupta
201551: The South African Economic Response to Monetary Policy Uncertainty
Mehmet Balcilar, Rangan Gupta and Charl Jooste
201550: Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models Downloads
Mawuli Segnon, Thomas Lux and Rangan Gupta
201549: 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
201548: The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach Downloads
Periklis Gogas, Theophilos Papadimitriou, Vasilios Plakandaras and Rangan Gupta
201547: Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models Downloads
Rangan Gupta, Alessia Paccagnini and Charles Rahal
201546: Detection of Multiple Bubbles in South African Electricity Prices
Rangan Gupta and Roula Inglesi-Lotz
201545: Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis Downloads
Stelios Bekiros, Rangan Gupta and Anandamayee Majumdar
201544: Identifying Periods of US Housing Market Explosivity Downloads
Mehmet Balcilar, Nico Katzke and Rangan Gupta
201543: Forecasting Core Inflation: The Case of South Africa
Franz Ruch, Mehmet Balcilar, Mampho Modise and Rangan Gupta
201542: Convergence of Health Care Expenditures across the US States: A Reconsideration Downloads
Nicholas Apergis, Tsangyao Chang, Christina Christou and Rangan Gupta
201541: Trust and Quality of Growth: A Note Downloads
Simplice Asongu and Rangan Gupta
201540: An Economy-Wide Evaluation of New Power Generation in South Africa: The Case of Kusile and Medupi Downloads
Jessica Bohlmann, Heinrich Bohlmann and Roula Inglesi-Lotz
201539: Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States Downloads
Nicholas Apergis, Christina Christou, Rangan Gupta and Stephen Miller
201538: Hydroelectricity Consumption and Economic Growth Nexus: Evidence from a Panel of Ten Largest Hydroelectricity Consumers
Nicholas Apergis, Tsangyao Chang, Rangan Gupta and Emmanuel Ziramba
201537: Identifying Asymmetries between Socially Responsible and Conventional Investments Downloads
Nicholas Apergis, Vassilios Babalos, Christina Christou and Rangan Gupta
201536: A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices Downloads
Stelios Bekiros, Rangan Gupta and Clement Kyei
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