Details about David Gabauer

Access statistics for papers by David Gabauer.

Last updated 2022-06-17. Update your information in the RePEc Author Service.

Short-id: pga953

Working Papers

2022

1. On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data
   Working Papers, University of Pretoria, Department of Economics

2021

2. Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century
   Working Papers, University of Pretoria, Department of Economics
3. Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
   Working Papers, University of Pretoria, Department of Economics
4. Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves
   Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (1)
5. Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach
   Working Papers, University of Pretoria, Department of Economics View citations (2)
6. Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach
   Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (11)
   See also Journal Article in Economics Letters (2021)
7. On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures
   Working Papers, University of Pretoria, Department of Economics View citations (3)
8. Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
   Working Papers, University of Pretoria, Department of Economics View citations (1)
9. The Evolution of Monetary Policy Focal Points
   Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group
10. Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2020

11. Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (2)
12. Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
    Working papers, University of Connecticut, Department of Economics View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (4)
13. Monetary Policy and Speculative Spillovers in Financial Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2021)
14. Return Connectedness across Asset Classes around the COVID-19 Outbreak
    Working Papers, University of Pretoria, Department of Economics View citations (20)
    See also Journal Article in International Review of Financial Analysis (2021)
15. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (1)
16. Time-Varying Influence of Household Debt on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Empirical Economics (2021)
17. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
18. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2021)
19. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
    Working Papers, University of Pretoria, Department of Economics View citations (2)
20. Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
    Working Papers, University of Pretoria, Department of Economics
21. Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Behavioral and Experimental Finance (2021)

2019

22. A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (2)
23. EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (5)
    See also Journal Article in The Quarterly Review of Economics and Finance (2021)
24. From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2020)
25. Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Structural Change and Economic Dynamics (2020)
26. Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2020)

2018

27. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (99)
    See also Journal Article in Economics Letters (2018)
28. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
29. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
30. Oil volatility, oil and gas firms and portfolio diversification
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University View citations (84)
    See also Journal Article in Energy Economics (2018)
31. On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2022)
32. On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach
    Working Papers, University of Pretoria, Department of Economics View citations (93)
    See also Journal Article in Economics Letters (2018)

Journal Articles

2022

1. Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies
   Global Finance Journal, 2022, 51, (C) View citations (16)
2. Financial market connectedness: The role of investors’ happiness
   Finance Research Letters, 2022, 44, (C) View citations (2)
3. On the transmission mechanism of Asia‐Pacific yield curve characteristics
   International Journal of Finance & Economics, 2022, 27, (1), 473-488
   See also Working Paper (2018)

2021

4. A closer look into the global determinants of oil price volatility
   Energy Economics, 2021, 95, (C) View citations (10)
5. A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification
   The Annals of Regional Science, 2021, 66, (2), 279-307
6. Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
   Resources Policy, 2021, 73, (C) View citations (18)
7. Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system
   Journal of Multinational Financial Management, 2021, 60, (C) View citations (12)
8. EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
   The Quarterly Review of Economics and Finance, 2021, 79, (C), 1-14 View citations (22)
   See also Working Paper (2019)
9. Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
   Economics Letters, 2021, 204, (C) View citations (12)
   See also Working Paper (2021)
10. Monetary policy and speculative spillovers in financial markets
    Research in International Business and Finance, 2021, 56, (C) View citations (5)
    See also Working Paper (2020)
11. Return connectedness across asset classes around the COVID-19 outbreak
    International Review of Financial Analysis, 2021, 73, (C) View citations (76)
    See also Working Paper (2020)
12. The impact of Euro through time: Exchange rate dynamics under different regimes
    International Journal of Finance & Economics, 2021, 26, (1), 1375-1408
13. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2021, 155, (3), 771-788
    See also Working Paper (2020)
14. Time-varying influence of household debt on inequality in United Kingdom
    Empirical Economics, 2021, 61, (4), 1917-1933
    See also Working Paper (2020)
15. Time-varying spillovers between housing sentiment and housing market in the United States☆
    Finance Research Letters, 2021, 42, (C)
16. Volatility connectedness of major cryptocurrencies: The role of investor happiness
    Journal of Behavioral and Experimental Finance, 2021, 30, (C) View citations (7)
    See also Working Paper (2020)

2020

17. From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps
    Journal of International Financial Markets, Institutions and Money, 2020, 69, (C) View citations (10)
    See also Working Paper (2019)
18. Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness
    Energy Economics, 2020, 91, (C) View citations (13)
19. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
    JRFM, 2020, 13, (4), 1-23 View citations (97)
20. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
    Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (16)
    See also Working Paper (2019)
21. Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data
    Finance Research Letters, 2020, 37, (C) View citations (9)
    See also Working Paper (2019)
22. Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
    Journal of Forecasting, 2020, 39, (5), 788-796 View citations (16)

2019

23. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 37-51 View citations (65)
24. Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach
    Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (8)
25. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
    International Review of Financial Analysis, 2019, 65, (C) View citations (23)

2018

26. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
    Economics Letters, 2018, 166, (C), 63-75 View citations (101)
    See also Working Paper (2018)
27. Oil volatility, oil and gas firms and portfolio diversification
    Energy Economics, 2018, 70, (C), 499-515 View citations (84)
    See also Working Paper (2018)
28. On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
    Economics Letters, 2018, 171, (C), 63-71 View citations (95)
    See also Working Paper (2018)
29. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 View citations (24)