Details about Renee van Eyden

Access statistics for papers by Renee van Eyden.

Last updated 2022-12-16. Update your information in the RePEc Author Service.

Short-id: pey11

Working Papers

2022

1. Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries
   Working Papers, University of Pretoria, Department of Economics
2. Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa
   Working Papers, University of Pretoria, Department of Economics
3. The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States
   Working Papers, University of Pretoria, Department of Economics

2021

4. Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data
   Working Papers, University of Pretoria, Department of Economics
5. Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
   Working Papers, University of Pretoria, Department of Economics
6. Fostering Human Empowerment through Education: The Road to Progressive Political Institutions
   Working Papers, University of Pretoria, Department of Economics
7. Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events
   Working Papers, University of Pretoria, Department of Economics
8. The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit View citations (1)
   Also in Working Papers, University of Pretoria, Department of Economics (2021) View citations (1)

2020

9. A Sequence to Reverse Poverty: Institutions, State Capacity and Human Empowerment
   Working Papers, University of Pretoria, Department of Economics
10. The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics Letters (2021)
11. The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2021)

2019

12. Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2018

13. Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2016

14. Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (8)

2015

15. Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
16. Inflation-Growth Nexus in Africa: Evidence from a Pooled CCE Multiple Regime Panel Smooth Transition Model
    Working Papers, University of Pretoria, Department of Economics View citations (3)

2014

17. Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Emerging Markets Review (2015)
18. Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (2)
    Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (9)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
19. The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
    See also Journal Article in African Development Review (2017)

2013

20. Do we need a global VAR model to forecast inflation and output in South Africa?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics (2015)
21. FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING
    Working Papers, University of Pretoria, Department of Economics View citations (3)
22. Identifying a financial conditions index for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (3)
23. Inflation and Economic Growth in the SADC: Some Panel Time-Series Evidence
    Working Papers, University of Pretoria, Department of Economics
24. Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Defence and Peace Economics (2014)
25. Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Emerging Markets Finance and Trade (2015)
26. The impact of economic shocks in the rest of the world on South Africa: Evidence from a global VAR
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Emerging Markets Finance and Trade (2016)
27. The impact of economic shocks in the rest of the world on South Africa: Evidence from a global VAR model
    EcoMod2013, EcoMod View citations (3)
28. Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2014)

2012

29. Monetary policy and inflation in South Africa: A VECM augmented with foreign variables
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in South African Journal of Economics (2014)
30. Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending
    Working Papers, University of Pretoria, Department of Economics
31. The monetary transmission mechanism in South Africa: A VECM augmented with foreign variables
    EcoMod2012, EcoMod

2011

32. Intertemporal portfolio allocation and hedging demand: An application to South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Business Economics and Management (2014)
33. REMITTANCES AND THE DUTCH DISEASE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Contemporary Economics (2014)
34. Remittance Inflows to Sub-Saharan Africa: The Case of SADC
    Working Papers, University of Pretoria, Department of Economics View citations (5)
35. What Drives Remittance Inflows to Sub-Saharan Africa? A Dynamic Panel Approach
    Working Papers, University of Pretoria, Department of Economics View citations (10)

2009

36. Social Ingredients and Conditional Convergence in the Study of Sectoral Growth
    Working Papers, University of Pretoria, Department of Economics

2008

37. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
38. Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The IUP Journal of Monetary Economics (2010)
39. Half-Life Deviations from PPP in the SADC
    Working Papers, University of Pretoria, Department of Economics View citations (2)
40. Market Microstructure Approach to the Exchange Rate Determination Puzzle
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The IUP Journal of Monetary Economics (2009)
41. Testing for Fractional Integration in SADC Real Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (4)
42. Testing for PPP Using SADC Real Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in South African Journal of Economics (2009)

2007

43. Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Modelling (2009)

2006

44. Does South Africa Have the Potential and Capacity to Grow at 7 Per Cent?: A Labour Market Perspective
    Working Papers, University of Pretoria, Department of Economics View citations (4)
45. Modeling the Marginal Revenue of Water in Selected Agricultural Commodities: A Panel Date Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Agrekon (2006)

Journal Articles

2022

1. CONTAGION ACROSS FINANCIAL MARKETS DURING COVID-19: A LOOK AT VOLATILITY SPILLOVERS BETWEEN THE STOCK AND FOREIGN EXCHANGE MARKETS IN SOUTH AFRICA
   Annals of Financial Economics (AFE), 2022, 17, (01), 1-46

2021

2. The impact of disaggregated oil shocks on state-level consumption of the United States
   Applied Economics Letters, 2021, 28, (21), 1818-1824 View citations (1)
   See also Working Paper (2020)
3. The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence
   Finance Research Letters, 2021, 43, (C) View citations (3)
   See also Working Paper (2020)

2019

4. Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
   Applied Energy, 2019, 233-234, 612-621 View citations (85)

2018

5. Comparing the forecasting ability of financial conditions indices: The case of South Africa
   The Quarterly Review of Economics and Finance, 2018, 69, (C), 245-259 View citations (6)
   See also Working Paper (2015)
6. Inflation–growth nexus: evidence from a pooled CCE multiple-regime panel smooth transition model
   Empirical Economics, 2018, 54, (3), 913-944 View citations (8)

2017

7. The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis
   African Development Review, 2017, 29, (2), 319-336 View citations (25)
   See also Working Paper (2014)
8. The impact of US policy uncertainty on the monetary effectiveness in the Euro area
   Journal of Policy Modeling, 2017, 39, (6), 1052-1064 View citations (19)

2016

9. Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach
   Journal of International Financial Markets, Institutions and Money, 2016, 43, (C), 30-43 View citations (21)
   See also Working Paper (2014)
10. The Impact of Economic Shocks in the Rest of the World on South Africa: Evidence from a Global VAR
    Emerging Markets Finance and Trade, 2016, 52, (3), 557-573 View citations (1)
    See also Working Paper (2013)

2015

11. Can We Beat the Random-Walk Model for the South African Rand–U.S. Dollar and South African Rand–UK Pound Exchange Rates? Evidence from Dynamic Model Averaging
    Emerging Markets Finance and Trade, 2015, 51, (3), 502-524 View citations (3)
12. Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
    Emerging Markets Review, 2015, 24, (C), 46-68 View citations (14)
    See also Working Paper (2014)
13. Do we need a global VAR model to forecast inflation and output in South Africa?
    Applied Economics, 2015, 47, (25), 2649-2670 View citations (4)
    See also Working Paper (2013)
14. Inflation and Economic Growth: Evidence from the Southern African Development Community
    South African Journal of Economics, 2015, 83, (3), 411-424 View citations (16)
15. Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa
    Emerging Markets Finance and Trade, 2015, 51, (3), 486-501 View citations (5)
    See also Working Paper (2013)

2014

16. Harnessing remittances through formal channels for development in sub-saharan Africa
    Journal of Developing Areas, 2014, 48, (3), 321-337 View citations (1)
17. Intertemporal portfolio allocation and hedging demand: an application to South Africa
    Journal of Business Economics and Management, 2014, 15, (4), 744-775 View citations (1)
    See also Working Paper (2011)
18. Military expenditure, economic growth and structural instability: a case study of South Africa
    Defence and Peace Economics, 2014, 25, (6), 619-633 View citations (16)
    See also Working Paper (2013)
19. Monetary policy and inflation in South Africa: A VECM augmented with foreign variables
    South African Journal of Economics, 2014, 82, (1), 117-140 View citations (3)
    See also Working Paper (2012)
20. Remittances and the Dutch Disease in Sub-Saharan Africa: A Dynamic Panel Approach
    Contemporary Economics, 2014, 8, (3) View citations (5)
    See also Working Paper (2011)
21. The evolution and contribution of technological progress to the South African economy: Growth accounting and Kalman filter application
    Applied Econometrics and International Development, 2014, 14, (1), 175-188 View citations (1)
22. Time-varying linkages between tourism receipts and economic growth in South Africa
    Applied Economics, 2014, 46, (36), 4381-4398 View citations (18)
    See also Working Paper (2013)

2013

23. Non-linearities in inflation–growth nexus in the SADC region: A panel smooth transition regression approach
    Economic Modelling, 2013, 30, (C), 149-156 View citations (46)

2010

24. Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
    The IUP Journal of Monetary Economics, 2010, VIII, (1 & 2), 77-112
    See also Working Paper (2008)
25. Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
    The African Finance Journal, 2010, 12, (2), 28-49 View citations (1)

2009

26. Half-Life Deviations from PPP in the South African Development Community (SADC)
    Applied Econometrics and International Development, 2009, 9, (1) View citations (3)
27. Linking global economic dynamics to a South African-specific credit risk correlation model
    Economic Modelling, 2009, 26, (5), 1000-1011 View citations (11)
    See also Working Paper (2007)
28. Market Microstructure Approach to the Exchange Rate Determination Puzzle
    The IUP Journal of Monetary Economics, 2009, VII, (3-4), 101-115 View citations (2)
    See also Working Paper (2008)
29. TESTING FOR FRACTIONAL INTEGRATION IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (4), 531-537 View citations (1)
30. TESTING FOR PPP USING SADC REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (3), 351-362 View citations (7)
    See also Working Paper (2008)

2006

31. Modelling the marginal revenue of water in selected agricultural commodities: A panel data approach
    Agrekon, 2006, 45, (1), 11 View citations (4)
    See also Working Paper (2006)

2005

32. CAPITAL MOBILITY IN SUB‐SAHARAN AFRICA: A PANEL DATA APPROACH
    South African Journal of Economics, 2005, 73, (1), 22-35 View citations (19)

2003

33. A LABOUR MODEL FOR SOUTH AFRICA
    South African Journal of Economics, 2003, 71, (1), 49-76 View citations (5)

2001

34. VARIABLE PARAMETER ESTIMATION OF CONSUMER PRICE EXPECTATIONS FOR THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2001, 69, (1), 1-39

1995

35. An Econometric Model for Monetary Policy in South Africa
    South African Journal of Economics, 1995, 63, (4), 317-329 View citations (3)