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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 Downloads
Nikolaos Antonakakis, Rangan Gupta and Aviral Twari
201663: Is Inflation Persistence Different in Reality? Downloads
Nikolaos Antonakakis, Juncal Cunado, Luis Gil-Alana and Rangan Gupta
201662: Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach Downloads
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 Downloads
Christina Christou, Juncal Cunado, Rangan Gupta and Christis Hassapis
201660: Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies? Downloads
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 Downloads
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 and Hylton Hollander
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 Downloads
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
201646: Does U.S. Macroeconomic News Make the South African Stock Market Riskier? Downloads
Esin Cakan and Rangan Gupta
201645: Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach Downloads
Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch
201644: The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests Downloads
Mehmet Balcilar, İsmail Genç and Rangan Gupta
201643: The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
Kola Akinsomi, Mehmet Balcilar, Riza Demirer and Rangan Gupta
201642: Foreign Aid and Foreign Direct Investment in Sub-Saharan Africa: A Panel Data Analysis Downloads
Kafayat Amusa, Nara Monkam and Nicola Viegi
201641: Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model Downloads
Rangan Gupta and Xiaojin Sun
201640: Globalisation and Conflict: Evidence from Sub-Saharan Africa Downloads
Carolyn Chisadza and Manoel Bittencourt
201639: Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach Downloads
Nikolaos Antonakakis, Mehmet Balcilar, Rangan Gupta and Clement Kyei
201638: The Effect of Investor Sentiment on Gold Market Dynamics Downloads
Mehmet Balcilar, Matteo Bonato, Riza Demirer and Rangan Gupta
201637: Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach Downloads
Christina Christou, Rangan Gupta and Christis Hassapis
201636: Structural Breaks in Renewable Energy in South Africa: A Bai and Perron Break Test Application Downloads
Jaco Weideman and Roula Inglesi-Lotz
201635: Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas Downloads
Christophe André, Rangan Gupta and John Weirstrasd Muteba Mwamba
201634: Can Weather Conditions in New York Predict South African Stock Returns? Downloads
Nicholas Apergis and Rangan Gupta
201633: Dynamic Inconsistency, Falling Cost of Capital Relocation and Preferential Taxation of Foreign Capital Downloads
Kaushal Kishore
201632: A Note on Home Bias and the Gain from Non-Preferential Taxation Downloads
Kaushal Kishore
201631: Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test Downloads
Mehmet Balcilar, Esin Cakan and Rangan Gupta
201630: Are Preferential Tax Holidays Dynamic Inconsistent? Downloads
Kaushal Kishore
201629: Price Convergence Patterns across U.S. States
Christina Christou, Juncal Cuñado and Rangan Gupta
201628: The Political and Economic Dynamics of Foreign Aid: A Case Study of United States and Chinese Aid to Sub-Sahara Africa Downloads
Kafayat Amusa, Nara Monkam and Nicola Viegi
201627: A Time Series Analysis of Long Island Sound Lobster Fishery
Zinnia Mukherjee, Dipak Dey and Rangan Gupta
201626: Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach Downloads
Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch and Mark Wohar
201625: Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks Downloads
Goodness Aye, Tsangyao Chang, Wen-Yi Chen, Rangan Gupta and Mark Wohar
201624: Periodically Collapsing Bubbles in the South African Stock Market
Mehmet Balcilar, Rangan Gupta, Charl Jooste and Mark Wohar
201623: Emerging Multinational Corporations: A Prominent Player in the Global Economy Downloads
Mustafa Sakr and Andre Jordaan
201622: Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty Downloads
Christina Christou and Rangan Gupta
201621: Pareto Optimality and Indeterminacy of General Equilibrium under Knightian Uncertainty Downloads
Wei Ma
201620: Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty Downloads
Mehmet Balcilar, Riza Demirer, Rangan Gupta and Reneé van Eyden
201619: The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis Downloads
Nikolaos Antonakakis, Tsangyao Chang, Juncal Cuñado and Rangan Gupta
201618: An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure Downloads
Nicholas Apergis, Rangan Gupta, Chi Keung Marco Lau and Zinnia Mukherjee
201617: Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
Luis Gil-Alana, Rangan Gupta, Olanrewaju Shittu and OlaOluwa Yaya
201616: Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
Nikolaos Antonakakis, Christina Christou, Juncal Cuñado and Rangan Gupta
201615: Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis Downloads
Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar
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