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Details about Rangan Gupta

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Homepage:https://sites.google.com/site/ranganguptaeconomics/
Phone:+27 12 420 3460
Postal address:Department of Economics, University of Pretoria, Pretoria, 0002, South Africa
Workplace:Department of Economics, Faculty of Economic and Management Sciences, University of Pretoria, (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Rangan Gupta.

Last updated 2017-11-07. Update your information in the RePEc Author Service.

Short-id: pgu80


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Working Papers

2017

  1. A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US
    Working Papers, University of Pretoria, Department of Economics
  2. A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
    Working Papers, University of Pretoria, Department of Economics
  3. A Note on the Technology Herd: Evidence from Large Institutional Investors
    Working Papers, University of Pretoria, Department of Economics
  4. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data
    Working Papers, University of Pretoria, Department of Economics Downloads
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017) Downloads
  5. Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  6. Asymmetric Behaviour in Nominal and Real Housing Prices: Evidence from Advanced and Emerging Economies
    Working Papers, University of Pretoria, Department of Economics
  7. Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles
    Working Papers, University of Pretoria, Department of Economics Downloads
  8. Causality between Output and Income Inequality across US States: Evidence from a Heterogeneous Mixed Panel Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  9. Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics Downloads
  10. Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  11. Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks
    Working Papers, University of Pretoria, Department of Economics
  12. Date-stamping US housing market explosivity
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads
  13. Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
    Working Papers, University of Pretoria, Department of Economics Downloads
  14. Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
  15. Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model
    Working Papers, University of Pretoria, Department of Economics
  16. Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016
    Working Papers, University of Pretoria, Department of Economics
  17. Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?
    Working Papers, University of Pretoria, Department of Economics Downloads
  18. Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
    Working Papers, University of Pretoria, Department of Economics
  19. Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks
    Working Papers, University of Pretoria, Department of Economics Downloads
  20. Forecasting the U.S. Real House Price Index
    Papers, arXiv.org Downloads
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2014) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2014) View citations (1)
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2014) Downloads View citations (10)

    See also Journal Article in Economic Modelling (2015)
  21. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Working Papers, University of Pretoria, Department of Economics
  22. Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2017)
  23. Inflation Dynamics in Uganda: A Quantile Regression Approach
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2017) Downloads
  24. Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics Downloads
  25. Kuznets Curve for the US: A Reconsideration Using Cosummability
    Working Papers, University of Pretoria, Department of Economics
  26. Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks
    Working Papers, University of Pretoria, Department of Economics Downloads
  27. Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach
    Working Papers, University of Pretoria, Department of Economics
  28. Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)
  29. Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
    Working Papers, University of Pretoria, Department of Economics
  30. Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda
    Working Papers, University of Pretoria, Department of Economics Downloads
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads
  31. Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads
  32. Near-Rational Expectations: How Far are Surveys from Rationality?
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)

    See also Journal Article in Journal of Economics and Econometrics (2017)
  33. Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (2)
  34. News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets
    Working Papers, University of Pretoria, Department of Economics Downloads
  35. OPEC News Announcement Effect on Volatility Jumps in the Crude Oil Market
    Working Papers, University of Pretoria, Department of Economics Downloads
  36. OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  37. Oil Returns and Volatility: The Role of Mergers and Acquisitions
    Working Papers, University of Pretoria, Department of Economics Downloads
  38. Oil Speculation and Herding Behavior in Emerging Stock Markets
    Working Papers, University of Pretoria, Department of Economics
  39. On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
    Working Papers, University of Pretoria, Department of Economics Downloads
  40. Openness and Growth: Is the Relationship Non-Linear?
    Working Papers, University of Pretoria, Department of Economics Downloads
  41. Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2017) Downloads
  42. Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data
    Working Papers, University of Pretoria, Department of Economics
  43. Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio
    Working Papers, University of Pretoria, Department of Economics Downloads
  44. Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings
    Working Papers, University of Pretoria, Department of Economics Downloads
  45. Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  46. Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices
    Working Papers, University of Pretoria, Department of Economics Downloads
  47. The Effect of Economic Uncertainty on the Housing Market Cycle
    Working Papers, University of Pretoria, Department of Economics Downloads
  48. The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures
    Working Papers, University of Pretoria, Department of Economics Downloads
  49. The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises
    Working Papers, University of Pretoria, Department of Economics
  50. The Relationship between the Inflation Rate and Inequality across U.S. States: A Semiparametric Approach
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)
  51. The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions
    Working Papers, University of Pretoria, Department of Economics Downloads
  52. The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics Downloads
  53. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  54. The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics Downloads
  55. Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  56. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics Downloads
  57. Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  58. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2017) Downloads
  59. Uncertainty and Forecasts of U.S. Recessions
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (1)
  60. Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence
    Working Papers, University of Pretoria, Department of Economics
  61. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
    Working Papers, University of Pretoria, Department of Economics Downloads
  62. Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    Working Papers, University of Pretoria, Department of Economics

2016

  1. A Time Series Analysis of Long Island Sound Lobster Fishery
    Working Papers, University of Pretoria, Department of Economics
  2. A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)

    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2016)
  3. An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure
    Working Papers, University of Pretoria, Department of Economics
  4. Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  5. Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  6. Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty
    Working Papers, University of Pretoria, Department of Economics Downloads
  7. Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  8. Can Weather Conditions in New York Predict South African Stock Returns?
    Working Papers, University of Pretoria, Department of Economics
  9. Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models
    Working Papers, University of Pretoria, Department of Economics
  10. Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
  11. Chaos in G7 Stock Markets using Over One Century of Data: A Note
    Working Papers, University of Pretoria, Department of Economics
  12. Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  13. Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
  14. Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)
  15. Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
  16. Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data
    Working Papers, University of Pretoria, Department of Economics
  17. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
    Working Papers, University of Pretoria, Department of Economics
  18. Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  19. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The Quarterly Review of Economics and Finance (2017)
  20. Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
  21. Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Finance Research Letters (2017)
  22. Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics
  23. Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2017)
  24. Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics
  25. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  26. Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
  27. Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2017)
  28. 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 (4)
  29. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016) Downloads
  30. Efficiency in South African Agriculture: A Two-Stage Fuzzy Approach
    Working Papers, University of Pretoria, Department of Economics
  31. Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (2)
  32. Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2016) Downloads

    See also Journal Article in Empirical Economics (2017)
  33. Forecasting US GNP Growth: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  34. Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics Downloads
  35. Forecasting using a Nonlinear DSGE Model
    Working Papers, University of Pretoria, Department of Economics
  36. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  37. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  38. Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (1)
  39. Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis
    Working Papers, University of Pretoria, Department of Economics
  40. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
  41. Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs
    Working Papers, University of Pretoria, Department of Economics
  42. Income Inequality: A State-by-State Complex Network Analysis
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2016) Downloads
  43. Is Inflation Persistence Different in Reality?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (2016)
  44. Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working papers, University of Connecticut, Department of Economics (2015) Downloads
    Working Papers, University of Pretoria, Department of Economics (2014) Downloads
  45. LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
  46. Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
    Working Papers, University of Pretoria, Department of Economics
  47. Merger and Acquisitions in South African Banking: A Network DEA Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2017)
  48. Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (2)
  49. On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  50. Periodically Collapsing Bubbles in the South African Stock Market
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Research in International Business and Finance (2016)
  51. Price Convergence Patterns across U.S. States
    Working Papers, University of Pretoria, Department of Economics
  52. Productive Efficiency of Connecticut Long Island Lobster Fishery Using a Finite Mixture Model
    Working Papers, University of Pretoria, Department of Economics
  53. Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013
    Working Papers, University of Pretoria, Department of Economics
  54. Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  55. Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks
    Working Papers, University of Pretoria, Department of Economics
  56. The Depreciation of the Pound Post-Brexit: Could it have been Predicted?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2017)
  57. The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Journal of Economics and Finance (2017)
  58. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
  59. The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  60. The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  61. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa
    Working Papers, University of Pretoria, Department of Economics
  62. The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  63. The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2016) Downloads
  64. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
    Working Papers, University of Pretoria, Department of Economics Downloads
  65. The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis
    Working Papers, University of Pretoria, Department of Economics
  66. The Relationship between Population Growth and Standard-of-Living Growth Over 1870-2013: Evidence from a Bootstrapped Panel Granger Causality Test
    Working papers, University of Connecticut, Department of Economics Downloads
    See also Journal Article in Empirica (2017)
  67. The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa
    Working Papers, University of Pretoria, Department of Economics
  68. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Open Economies Review (2017)
  69. The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)

    See also Journal Article in Energy Economics (2017)
  70. The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics
  71. The Term Premium as a Leading Macroeconomic Indicator
    Working Papers, University of Pretoria, Department of Economics Downloads
  72. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)

    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2016)
  73. The time-series linkages between US fiscal policy and asset prices
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (3)
  74. Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) Downloads View citations (1)
  75. Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries
    Working Papers, University of Pretoria, Department of Economics
  76. Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2016) Downloads View citations (2)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
  77. Trends and Cycles in Historical Gold and Silver Prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (3)

    See also Journal Article in Journal of International Money and Finance (2015)

2015

  1. A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2016)
  2. Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  3. Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers
    Working Papers, University of Pretoria, Department of Economics
  4. Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (3)
  5. Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests
    Working Papers, University of Pretoria, Department of Economics
  6. Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads
  7. Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2017)
  8. Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)
  9. Convergence of Health Care Expenditures across the US States: A Reconsideration
    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 (2017)
  10. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Open Access publications, School of Economics, University College Dublin Downloads
    See also Journal Article in Applied Economics (2015)
  11. Detection of Multiple Bubbles in South African Electricity Prices
    Working Papers, University of Pretoria, Department of Economics
  12. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Developing Areas (2017)
  13. Do Commodities Herd? Evidence from a Time-Varying Stochastic Volatility Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  14. Do Precious Metal Prices Help in Forecasting South African Inflation?
    Working Papers, University of Pretoria, Department of Economics
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads
    Working Papers, Stellenbosch University, Department of Economics (2015) Downloads

    See also Journal Article in The North American Journal of Economics and Finance (2017)
  15. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Open Economies Review (2016)
  16. Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Resources Policy (2016)
  17. Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
  18. Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Atlantic Economic Journal (2016)
  19. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Southern Economic Journal (2016)
  20. Energy Demand in South Africa: Is it Asymmetric?
    Working Papers, University of Pretoria, Department of Economics
  21. Energy Efficiency Drivers in South Africa: 1965-2014
    Working Papers, University of Pretoria, Department of Economics
  22. Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data
    Working Papers, University of Pretoria, Department of Economics
  23. Forecasting Accuracy Evaluation of Tourist Arrivals: Evidence from Parametric and Non-Parametric Techniques
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  24. Forecasting Core Inflation: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)
  25. Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2017)
  26. Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  27. Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2017)
  28. Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  29. Forecasting the US CPI: Does Nonlinearity Matter?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  30. How Independent are the South African Reserve Bank’s Monetary Policy Decisions? Evidence from a Global New-Keynesian DSGE Model
    Working Papers, University of Pretoria, Department of Economics
  31. Hydroelectricity Consumption and Economic Growth Nexus: Evidence from a Panel of Ten Largest Hydroelectricity Consumers
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
  32. Identifying Asymmetries between Socially Responsible and Conventional Investments
    Working Papers, University of Pretoria, Department of Economics Downloads
  33. Identifying Periods of US Housing Market Explosivity
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads View citations (1)
    Working Papers, Stellenbosch University, Department of Economics (2015) Downloads View citations (1)
  34. Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Finance Research Letters (2016)
  35. 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 (1)
  36. International Stock Return Predictability: Is the Role of U.S. Time-Varying?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads View citations (4)

    See also Journal Article in Empirica (2017)
  37. Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States
    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 (2017)
  38. Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Resources Policy (2016)
  39. Modeling Persistence of Carbon Emission Allowance Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
  40. Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models
    Working Papers, University of Pretoria, Department of Economics
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads
  41. Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads View citations (1)
  42. Oil Price Forecastability and Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) Downloads View citations (8)
    Open Access publications, School of Economics, University College Dublin (2015) Downloads View citations (8)

    See also Journal Article in Economics Letters (2015)
  43. On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2016)
  44. On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Economics and Economic Policy (2017)
  45. On International Uncertainty Links: BART-Based Empirical Evidence for Canada
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (2016)
  46. Persistence of precious metal prices: a fractional integration approach with structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (5)
    Also in Working Papers, University of Pretoria, Department of Economics (2014)

    See also Journal Article in Resources Policy (2015)
  47. Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
    Working Papers, University of Pretoria, Department of Economics
  48. Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  49. Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  50. Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  51. Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Economics Letters (2015)
  52. Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
  53. Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria
    Working Papers, University of Pretoria, Department of Economics
  54. South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
  55. THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (8)

    See also Journal Article in Empirical Economics (2017)
  56. Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards (2016)
  57. The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework
    Working Papers, University of Pretoria, Department of Economics
  58. The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of International Trade & Economic Development (2016)
  59. The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics
  60. The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach
    Working Papers, University of Pretoria, Department of Economics
  61. The Macroeconomic Effects of Uncertainty Shocks in India
    Working Papers, University of Pretoria, Department of Economics
  62. The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test
    Working Papers, University of Pretoria, Department of Economics
  63. The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (3)
  64. 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
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  65. The South African Economic Response to Monetary Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics
  66. The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014
    Working Papers, University of Pretoria, Department of Economics
  67. The US Real GNP is Trend-Stationary After All
    Working Papers, University of Pretoria, Department of Economics
  68. Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy (2016)
  69. Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2016)
  70. Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  71. Trust and Quality of Growth: A Note
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Working Papers, African Governance and Development Institute. (2015) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)

    See also Journal Article in Economics Bulletin (2016)
  72. US inflation dynamics on long range data
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)

    See also Journal Article in Applied Economics (2015)
  73. Uncertainty and Crude Oil Returns
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2015) Downloads

    See also Journal Article in Energy Economics (2016)
  74. Unconventional Monetary Policy Shocks in OECD Countries: How Important is the Extent of Policy Uncertainty?
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2014

  1. A Reinvestigation of the Oil Price and Consumer Price Nexus in South Africa: An Asymmetric Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  2. A Time-Varying Approach of the US Welfare Cost of Inflation
    Working papers, University of Connecticut, Department of Economics Downloads View citations (14)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (11)
  3. An Application of a New Seasonal Unit Root Test for Trending and Breaking Series to Industrial Production of the BRICS
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Developing Areas (2016)
  4. Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (1)

    See also Journal Article in Journal of Developing Areas (2016)
  5. Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  6. Are there Environmental Kuznets Curves for US State-Level CO2 Emissions?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2017)
  7. Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (6)

    See also Journal Article in Applied Economics Letters (2015)
  8. Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Renewable and Sustainable Energy Reviews (2015)
  9. Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
    Working Papers, Department of Research, Ipag Business School Downloads View citations (9)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (1)
    Working Papers, Department of Research, Ipag Business School (2013) Downloads View citations (1)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  11. Causal Link between Oil Price and Uncertainty in India
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  12. Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test
    Working Papers, University of Pretoria, Department of Economics View citations (14)
  13. 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 (5)
    See also Journal Article in Emerging Markets Review (2015)
  14. Convergence in U.S. Metropolitan Statistical Areas
    Working Papers, University of Pretoria, Department of Economics
  15. Date Stamping Historical Oil Price Bubbles: 1876-2014
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Stellenbosch University, Department of Economics (2014) Downloads View citations (1)
  16. Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test
    Working Papers, University of Pretoria, Department of Economics
  17. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
    Working Papers, University of Pretoria, Department of Economics
  18. Does Sunspot Numbers Cause Global Temperatures? A Reconsideration Using a Non-Parametric Causality Test
    Working Papers, University of Pretoria, Department of Economics
  19. Does the South African Reserve Bank (SARB) Respond to Oil Price Movements? Historical Evidence from the Frequency Domain
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  20. Dutch Disease Effect of Oil Rents on Agriculture Value Added in MENA Countries
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  21. Dynamic Relationship between Oil Price and Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  22. Endogenous Fluctuations in an Endogenous Growth Model with Inflation Targeting
    Working Papers, University of Pretoria, Department of Economics View citations (11)
  23. Energy Efficiency of Selected OECD Countries: A Slacks Based Model with Undesirable Outputs
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2015)
  24. Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    See also Journal Article in The Journal of Real Estate Finance and Economics (2016)
  25. Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes
    Working Papers, University of Pretoria, Department of Economics
  26. Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2012) View citations (7)
    Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (4)
    Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads View citations (5)
  27. Forecasting Aggregate Retail Sales: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)

    See also Journal Article in International Journal of Production Economics (2015)
  28. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Computational Economics (2017)
  29. Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (1)

    See also Journal Article in Applied Economics (2016)
  30. Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2015)
  31. Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors
    Working papers, University of Connecticut, Department of Economics Downloads View citations (7)
    See also Journal Article in Empirical Economics (2016)
  32. Forecasting the Price of Gold
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Applied Economics (2015)
  33. Forecasting the Price of Gold Using Dynamic Model Averaging
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    See also Journal Article in International Review of Financial Analysis (2015)
  34. Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality
    Working Papers, Stellenbosch University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014)

    See also Journal Article in Economic Systems (2016)
  35. Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (3)
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2014) Downloads View citations (2)
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2014) Downloads View citations (3)

    See also Journal Article in International Review of Economics & Finance (2016)
  36. Has Oil Pirce Predicted Stock Returns for Over a Century?
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    Also in Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance Downloads View citations (10)

    See also Journal Article in Energy Economics (2015)
  37. House Values and Proximity to a Landfill: A Quantile Regression Framework
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014)
  38. Housing and the Business Cycle in South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (9)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)

    See also Journal Article in Journal of Policy Modeling (2014)
  39. Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (1)

    See also Journal Article in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) (2016)
  40. Is the Rand Really Decoupled from Economic Fundamentals?
    Working Papers, University of Pretoria, Department of Economics
  41. Is the South African Reserve Bank Influenced by Exchange Rates when Setting Interest Rates?
    Working Papers, University of Pretoria, Department of Economics
  42. Is there an Environmental Kuznets Curve for South Africa? A Co-Summability Approach Using a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2015)
  43. Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2016)
  44. Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2017)
  45. On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (1)
  46. Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013
    Working Papers, University of Pretoria, Department of Economics
  47. Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  48. Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Empirical Economics (2016)
  49. Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working papers, University of Connecticut, Department of Economics (2014) Downloads View citations (1)

    See also Journal Article in Energy Economics (2015)
  50. Relationship between Happiness and Smoking: A Bootstrap Panel Causality Test
    Working Papers, University of Pretoria, Department of Economics
  51. Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2016)
  52. Revisiting Herding Behavior in REITs: A Regime-Switching Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads
  53. Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  54. Testing for Multiple Bubbles in the BRICS Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (17)
  55. Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (9)
    Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (1)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  56. The Asymmetric Effect of Oil Price on Growth across US States
    Working Papers, University of Pretoria, Department of Economics
  57. The Causal Relationship between Energy Consumption and Economic Growth in South Africa: New Evidence from Asymmetric Causality in Frequency Domain
    Working Papers, University of Pretoria, Department of Economics
  58. The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (4)
    Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (1)
  59. The Growth-Inflation Nexus for the US over 1801-2013: A Semiparametric Approach
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)
  60. The Nexus between Military Expenditures and Economic Growth in the BRICS and the US: A Bootstrap Panel Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  61. The Nonparametric Relationship between Oil and South African Agricultural Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  62. The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  63. The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  64. The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (2)
  65. The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (2)
  66. Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  67. Time-Varying Effects of Housing and Stock Prices on U.S. Consumption
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads
    Working Papers, University of Pretoria, Department of Economics (2013)
  68. Time-Varying Persistence in US Inflation
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Empirical Economics (2017)
  69. Volatility Spillover between Energy and Financial Markets
    Working Papers, University of Pretoria, Department of Economics

2013

  1. A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Financial Economic Policy (2014)
  2. Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2015)
  3. Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    Working Papers, Department of Research, Ipag Business School Downloads View citations (5)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)
  4. Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Business and Economics Review (2016)
  5. CROSS-COUNTRY EVIDENCE ON THE CAUSAL RELATIONSHIP BETWEEN POLICY UNCERTAINTY AND HOUSE PRICES
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  6. Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Financial Economics (2014)
  7. Causal relationship between nuclear energy consumption and economic growth in the G6 countries: Evidence from panel Granger causality tests
    Working Papers, University of Pretoria, Department of Economics
  8. Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  9. Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Journal of Developing Areas (2015)
  10. Causality between Research Output and Economic Growth in BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Quality & Quantity: International Journal of Methodology (2015)
  11. Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Applied Economics (2015)
  12. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Urban Studies (2015)
  13. Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Review of Urban & Regional Development Studies (2015)
  14. Convergence of Greenhouse Gas Emissions among G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2015)
  15. DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (8)
  16. Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
    Working Papers, University of Pretoria, Department of Economics
  17. 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 (1)
    See also Journal Article in Applied Economics (2015)
  18. Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2015)
  19. Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (13)
    See also Journal Article in Energy Economics (2013)
  20. Evolution of Monetary Policy in the US: The Role of Asset Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (1)
  21. FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  22. Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2014)
  23. Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models
    Working Papers, University of Pretoria, Department of Economics
  24. Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012
    Working Papers, University of Pretoria, Department of Economics
  25. Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  26. Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors
    Working Papers, University of Pretoria, Department of Economics
  27. House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  28. Housing and the Great Depression
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2013) Downloads View citations (3)
    Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in Applied Economics (2014)
  29. Identifying a financial conditions index for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  30. MACRO SHOCKS AND HOUSE PRICES IN SOUTH AFRICA
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  31. 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)
  32. Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Financial Economics (2014)
  33. Oil Price Uncertainty and Manufacturing Production in South Africa
    Working Papers, University of Pretoria, Department of Economics
  34. Panel Granger causality between oil consumption and GDP: Evidence from the BRICS countries
    Working Papers, University of Pretoria, Department of Economics
  35. Persistence and Cycles in Historical Oil Prices Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2014)
  36. Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  37. Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Journal of Economic Policy in Emerging Economies (2015)
  38. Social Status, Inflation and Endogenous Growth in a Cash-in-Advance Economy: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  39. Tax evasion, financial development and inflation: theory and empirical evidence
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Banking & Finance (2014)
  40. Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (5)

    See also Journal Article in The North American Journal of Economics and Finance (2015)
  41. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2014)
  42. Testing for persistence with breaks and outliers in South African house prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2012)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads
  43. Testing the Impact of Exchange Rate Uncertainty on Exports in South Africa
    Working Papers, University of Pretoria, Department of Economics
  44. 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)
  45. The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Emerging Markets Finance and Trade (2016)
  46. The Causal Relationship between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)

    See also Journal Article in International Journal of Economic Policy in Emerging Economies (2013)
  47. The Causal Relationship between House Prices and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  48. The Dynamic Relationship between House Prices and Output: Evidence from US Metropolitan Statistical Areas
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  49. The Impact of Oil Shocks on the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  50. The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  51. The causal relationship between coal consumption and economic growth in the BRICS countries: Evidence from panel Granger causality tests
    Working Papers, University of Pretoria, Department of Economics
  52. The causal relationship between natural gas consumption and economic growth: Evidence from the G7 countries
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2016)
  53. The causal relationship between renewable energy consumption and economic growth: Evidence from the G7 countries
    Working Papers, University of Pretoria, Department of Economics
  54. The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Energy Policy (2014)
  55. The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in European Journal of Comparative Economics (2013)
  56. Time-Varying Causality between Research Output and Economic Growth in the US
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  57. 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)
  58. Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics (2015)
  59. Was the Recent Downturn in US GDP Predictable?
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2012)
    Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads

2012

  1. Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  2. Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (16)
  3. Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure
    OECD Economics Department Working Papers, OECD Publishing Downloads View citations (15)
    Also in Working Papers, University of Pretoria, Department of Economics (2011) View citations (11)

    See also Journal Article in Applied Economics Quarterly (formerly: Konjunkturpolitik) (2012)
  4. Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (12)
    See also Journal Article in Journal of Emerging Market Finance (2015)
  5. Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  6. HOUSE PRICES AND BALANCE OF TRADE DYNAMICS IN SOUTH AFRICA: EVIDENCE FROM AN AGNOSTIC IDENTIFICATION PROCEDURE
    Working Papers, University of Pretoria, Department of Economics
  7. IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Stellenbosch University, Department of Economics (2012) Downloads View citations (2)
    Working Papers, Eastern Mediterranean University, Department of Economics (2012) Downloads View citations (2)
  8. METROPOLITAN HOUSE PRICES IN INDIA: DO THEY CONVERGE?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  9. Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Econometrics and International Development (2012)
  10. Macroeconomic Surprises and Stock Returns in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    Also in Working Papers, Stellenbosch University, Department of Economics (2012) Downloads View citations (3)

    See also Journal Article in Studies in Economics and Finance (2013)
  11. Predicting BRICS Stock Returns Using ARFIMA Models
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Applied Financial Economics (2014)
  12. Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending
    Working Papers, University of Pretoria, Department of Economics
  13. Real Interest Rate Persistence in South Africa: Evidence and Implications
    Working Papers, University of Pretoria, Department of Economics
    Also in Working Papers, Stellenbosch University, Department of Economics (2012) Downloads

    See also Journal Article in Economic Change and Restructuring (2014)
  14. SHOULD THE SOUTH AFRICAN RESERVE BANK RESPOND TO EXCHANGE RATE FLUCTUATIONS? EVIDENCE FROM THE COSINE-SQUARED CEPSTRUM
    Working Papers, University of Pretoria, Department of Economics
  15. Structural Breaks and Predictive Regressions Models of South African Equity Premium
    Working Papers, University of Pretoria, Department of Economics
  16. THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs
    Working Papers, University of Pretoria, Department of Economics View citations (13)
    See also Journal Article in Housing Studies (2013)
  17. The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2012) View citations (3)
    Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (2)
    Working Papers, Eastern Mediterranean University, Department of Economics (2012) Downloads View citations (2)
  18. Using Large Data Sets to Forecast Sectoral Employment
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2011)
    Working Papers, University of Nevada, Las Vegas , Department of Economics (2011) Downloads View citations (1)

    See also Journal Article in Statistical Methods & Applications (2014)

2011

  1. "Ripple" Effects in South African House Prices
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  2. Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production
    Working Papers, University of Pretoria, Department of Economics
  3. Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection
    Working Papers, University of Pretoria, Department of Economics
  4. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2010)
    Working Papers, Eastern Mediterranean University, Department of Economics (2010) Downloads
    Working papers, University of Connecticut, Department of Economics (2010) Downloads View citations (1)

    See also Journal Article in Empirical Economics (2013)
  5. House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (19)
  6. 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)
  7. Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (12)
  8. Macroeconomic Variables and South African Stock Return Predictability
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Economic Modelling (2013)
  9. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  10. Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Empirical Economics (2014)
  11. Relationship between House Prices and Inflation in South Africa: An ARDL Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  12. Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Contemporary Economics (2013)
  13. The Effects of Monetary Policy On Real Farm Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Regional and Sectoral Economic Studies (2012)
  14. The Role of Asset Prices in Forecasting Inflation and Output in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Emerging Market Finance (2013)

2010

  1. An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Economic Modelling (2011)
  2. Bubbles in South African House Prices and their Impact on Consumption
    Working Papers, University of Pretoria, Department of Economics View citations (29)
  3. Evaluating the Welfare Cost of Inflation in a Monetary Endogenous Growth General Equilibrium Model: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  4. Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2010) View citations (10)
  5. Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  6. Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (2)
    Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (4)

    See also Journal Article in Economic Modelling (2011)
  7. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Annals of Economics and Finance (2010)
  8. Production Lags and Growth Dynamics in an Overlapping Generations Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Economic Modelling (2012)
  11. The Long-Run Impact of Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Policy Modeling (2013)
  12. The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Business Economics and Management (2011)
  13. Valuation Ratios and Stock Price Predictability in South Africa: Is it there?
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2009

  1. "Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix
    Working papers, University of Connecticut, Department of Economics Downloads View citations (13)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) Downloads View citations (5)
    Working Papers, University of Pretoria, Department of Economics (2009) View citations (1)

    See also Journal Article in The Annals of Regional Science (2012)
  2. A Large Factor Model for Forecasting Macroeconomic Variables in South Africa
    Working Papers, Economic Research Southern Africa Downloads View citations (5)
    See also Journal Article in International Journal of Forecasting (2011)
  3. COMPARING SOUTH AFRICAN INFLATION VOLATILITY ACROSS MONETARY POLICY REGIMES: AN APPLICATION OF SAPHE CRACKING
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Journal of Developing Areas (2012)
  4. Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Econometrics and International Development (2010)
  5. Could We Have Predicted the Recent Downturn in Home Sales of the Four US Census Regions?
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  6. Could we have predicted the recent downturn in the South African Housing Market?
    Working Papers, Economic Research Southern Africa Downloads View citations (17)
    Also in Working Papers, University of Pretoria, Department of Economics (2008) View citations (8)

    See also Journal Article in Journal of Housing Economics (2009)
  7. FORECASTING REAL US HOUSE PRICE: PRINCIPAL COMPONENTS VERSUS BAYESIAN REGRESSIONS
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  8. Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
    Working Papers, Economic Research Southern Africa Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2008) View citations (3)

    See also Journal Article in Indian Economic Review (2011)
  9. Has the SARB Become More Effective Post Inflation Targeting?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Change and Restructuring (2010)
  10. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  11. Modelling monetary policy in South Africa: Focus on inflation targeting era using a simple learning rule
    Working Papers, University of Pretoria, Department of Economics View citations (13)
  12. Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (2)
    Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (13)

    See also Journal Article in International Journal of Strategic Property Management (2011)
  13. Some Benefits of Reducing Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  14. THE BLESSING OF DIMENSIONALITY IN FORECASTING REAL HOUSE PRICE GROWTH IN THE NINE CENSUS DIVISIONS OF THE US
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  15. THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Defence and Peace Economics (2010)
  16. THE EFFECT OF MONETARY POLICY ON HOUSE PRICE INFLATION: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    Also in EcoMod2009, EcoMod Downloads

    See also Journal Article in Journal of Economic Studies (2010)
  17. THE EFFECT OF MONETARY POLICY ON REAL HOUSE PRICE GROWTH IN SOUTH AFRICA: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Economic Modelling (2010)
  18. The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (5)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2012)
  19. The Time-Series Properties of Housing Prices: A Case Study of the Southern California Market
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (10)
  20. Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States
    Working papers, University of Connecticut, Department of Economics Downloads View citations (9)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) Downloads View citations (4)
    Working Papers, University of Pretoria, Department of Economics (2009) View citations (4)

2008

  1. A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  2. A New-Keynesian DSGE Model for Forecasting the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2009)
  3. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  4. Costly Tax Enforcement and Financial Repression
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    Also in Working Papers, Economic Research Southern Africa (2008) Downloads View citations (3)

    See also Journal Article in Economic Notes (2008)
  5. Costly Tax Enforcement and Financial Repression: A Reconsideration Using an Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics
  6. Currency Substitution and Financial Repression
    Working Papers, Economic Research Southern Africa Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2008)

    See also Journal Article in International Economic Journal (2011)
  7. 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)
  8. Financial Liberalisation and the Effectiveness of Monetary Policy on House Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in The IUP Journal of Monetary Economics (2010)
  9. Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Journal of Forecasting (2010)
  10. Forecasting the South African Economy: A DSGE-VAR Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Working Papers, Economic Research Southern Africa (2007) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2007) View citations (1)
  11. Half-Life Deviations from PPP in the SADC
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  12. Is a DFM Well Suited for Forecasting Regional House Price Inflation?
    Working Papers, Economic Research Southern Africa Downloads View citations (4)
  13. Is a DFM Well-Suited in Forecasting Regional House Price Inflation?
    Working Papers, University of Pretoria, Department of Economics
  14. 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)
  15. Measuring the Welfare Cost of Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics
    Also in Working Papers, Economic Research Southern Africa (2008) Downloads View citations (1)

    See also Journal Article in South African Journal of Economics (2008)
  16. Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
  17. Misalignment in the Growth-Maximizing Policies under Alternative Assumptions of Tax Evasion
    Working Papers, University of Pretoria, Department of Economics
  18. Openness, Bureaucratic Corruption and Public Policy in an Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  19. Optimal Public Policy with Endogenous Mortality
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economic Policy Reform (2010)
  20. Predicting Downturns in the US Housing Market: A Bayesian Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of Real Estate Finance and Economics (2010)
  21. Should the SARB Have Stayed Time Inconsistent?
    Working Papers, University of Pretoria, Department of Economics
  22. Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (14)
    See also Journal Article in South African Journal of Economics (2008)
  23. Tax Evasion and Financial Repression: A Reconsideration Using Endogenous Growth Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working Papers, Economic Research Southern Africa (2008) Downloads View citations (1)

    See also Journal Article in Journal of Economic Studies (2009)
  24. Testing for Fractional Integration in SADC Real Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  25. 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)
  26. Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  27. Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
    Working Papers, University of Pretoria, Department of Economics

2007

  1. A Panel Bargaining Model within the Regional Boundaries of the South African Grain Industry
    Working Papers, University of Pretoria, Department of Economics
  2. Bayesian Methods of Forecasting Inventory Investment in South Africa
    Working Papers, University of Pretoria, Department of Economics
  3. Forecasting the South African Economy with Gibbs Sampled BVECMs
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in South African Journal of Economics (2007)
  4. 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)
  5. Modelling Preferences of South African Grain Farmers for Adopting Derivative Contracts Using Discrete Choice Models
    Working Papers, University of Pretoria, Department of Economics
  6. Modelling and Forecasting the Metical-Rand Exchange Rate
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The IUP Journal of Monetary Economics (2008)
  7. Tax Evasion and Financial Repression
    Working papers, University of Connecticut, Department of Economics Downloads
    See also Journal Article in Journal of Economics and Business (2008)
  8. Temporal Causality between Budget Deficit and Interest Rate: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics
  9. Temporal Causality between Taxes and Public Expenditures: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2006

  1. A BVAR Model for the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in South African Journal of Economics (2006)
  2. A Small-Scale DSGE Model for Forecasting the South African Economy
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in South African Journal of Economics (2007)
  3. Active versus Passive Policies of Unemployment: Growth and Public Finance Perspectives
    Working Papers, University of Pretoria, Department of Economics
  4. An Endogenous Growth Model of a Financially Repressed Small Open Economy
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Economic Journal (2009)
  5. An Investigation of Openness and Economic Growth Using Panel Estimation
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  6. Financial Liberalization and a Possible Growth-Inflation Trade-Off
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Indian Economic Review (2009)
  7. Financial Liberalization with Productive Public Expenditure and A Curb Market
    Working Papers, University of Pretoria, Department of Economics
  8. Forecasting the South African Economy with VARs and VECMs
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in South African Journal of Economics (2006)
  9. Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Annals of Economics and Finance (2011)
  10. R&D, Openness, and Growth
    Working Papers, University of Pretoria, Department of Economics

2005

  1. A Generic Model of Financial Repression
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
  2. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
    Working papers, University of Connecticut, Department of Economics Downloads
    See also Journal Article in The IUP Journal of Monetary Economics (2006)
  3. Costly State Monitoring and Reserve Requirements
    Working papers, University of Connecticut, Department of Economics Downloads View citations (6)
    See also Journal Article in Annals of Economics and Finance (2005)
  4. Effect of High Yielding Variety of Seeds in the State of West Bengal: An Empirical Quest
    Working Papers, University of Pretoria, Department of Economics
  5. Endogenous Tax Evasion and Reserve Requirements: A Comparative Study in the Context of European Economies
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)
  6. Financial Liberalization and Inflationary Dynamics
    Working papers, University of Connecticut, Department of Economics Downloads View citations (3)
  7. Financial Liberalization and Inflationary Dynamics in the Context of a Small Open Economy
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2005)
  8. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    See also Journal Article in International Economic Journal (2007)
  9. Financial Liberalization and the Dynamics of Inflation, the Nominal Exchange Rate and the Terms of Trade
    Working Papers, University of Pretoria, Department of Economics
  10. Financial Liberalization: A Myth or a Miracle Cure?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The IUP Journal of Monetary Economics (2008)
  11. Rational Expectations and the Effects of Financial Liberalization on Price Level and Output
    Working Papers, University of Pretoria, Department of Economics
  12. Revisiting the Inflation-Repression Relationship
    Working Papers, University of Pretoria, Department of Economics
  13. Revisiting the Temporal Causality between Money and Income
    Working Papers, University of Pretoria, Department of Economics
  14. The Macroeconomic Reform and the Demand for Money in India
    Working Papers, University of Pretoria, Department of Economics View citations (2)

Journal Articles

2017

  1. Are there Environmental Kuznets Curves for US state-level CO2 emissions?
    Renewable and Sustainable Energy Reviews, 2017, 69, (C), 551-558 Downloads View citations (2)
    See also Working Paper (2014)
  2. Can (unusual) weather conditions in New York predict South African stock returns?
    Research in International Business and Finance, 2017, 41, (C), 377-386 Downloads
  3. Can volume predict Bitcoin returns and volatility? A quantiles-based approach
    Economic Modelling, 2017, 64, (C), 74-81 Downloads View citations (6)
  4. Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data
    Energy Economics, 2017, 61, (C), 72-86 Downloads View citations (5)
    See also Working Paper (2015)
  5. Convergence of Health Care Expenditures Across the US States: A Reconsideration
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 133, (1), 303-316 Downloads
    See also Working Paper (2015)
  6. Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area
    Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 129-139 Downloads
    See also Working Paper (2016)
  7. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
    Journal of Developing Areas, 2017, 51, (1), 19-32 Downloads
    See also Working Paper (2015)
  8. Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
    International Review of Economics & Finance, 2017, 48, (C), 269-279 Downloads
  9. Do precious metal prices help in forecasting South African inflation?
    The North American Journal of Economics and Finance, 2017, 40, (C), 63-72 Downloads
    See also Working Paper (2015)
  10. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 276-284 Downloads
    See also Working Paper (2016)
  11. Do trend extraction approaches affect causality detection in climate change studies?
    Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 604-624 Downloads View citations (1)
    See also Working Paper (2016)
  12. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
    Finance Research Letters, 2017, 23, (C), 87-95 Downloads View citations (8)
    See also Working Paper (2016)
  13. Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 50-60 Downloads
    See also Working Paper (2016)
  14. Does the US. macroeconomic news make the South African stock market riskier?
    Journal of Developing Areas, 2017, 51, (4), 17-31 Downloads
  15. Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model
    Journal of Multinational Financial Management, 2017, 40, (C), 92-102 Downloads View citations (1)
    See also Working Paper (2016)
  16. Financial tail risks in conventional and Islamic stock markets: A comparative analysis
    Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 Downloads
  17. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
    Computational Economics, 2017, 49, (1), 83-97 Downloads
    See also Working Paper (2014)
  18. Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
    Empirical Economics, 2017, 53, (1), 117-135 Downloads
    See also Working Paper (2016)
  19. Forecasting accuracy evaluation of tourist arrivals
    Annals of Tourism Research, 2017, 63, (C), 112-127 Downloads View citations (1)
  20. Forecasting inflation in an inflation targeting economy: structural versus nonstructural models
    Applied Economics, 2017, 49, (24), 2316-2321 Downloads
    See also Working Paper (2015)
  21. Forecasting oil and stock returns with a Qual VAR using over 150years off data
    Energy Economics, 2017, 62, (C), 181-186 Downloads View citations (2)
    See also Working Paper (2015)
  22. Geopolitical risks and the oil-stock nexus over 1899–2016
    Finance Research Letters, 2017, 23, (C), 165-173 Downloads
    See also Working Paper (2017)
  23. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 178-191 Downloads View citations (1)
    See also Working Paper (2016)
  24. Income inequality: A complex network analysis of US states
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 423-437 Downloads
  25. International stock return predictability: Is the role of U.S. time-varying?
    Empirica, 2017, 44, (1), 121-146 Downloads View citations (1)
    See also Working Paper (2015)
  26. Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 133, (2), 543-560 Downloads
    See also Working Paper (2015)
  27. Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
    Applied Economics, 2017, 49, (11), 1047-1054 Downloads
  28. Merger and acquisitions in South African banking: A network DEA model
    Research in International Business and Finance, 2017, 41, (C), 362-376 Downloads
    See also Working Paper (2016)
  29. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
    Renewable and Sustainable Energy Reviews, 2017, 69, (C), 692-704 Downloads
  30. Near-Rational Expectations: How Far are Surveys from Rationality?
    Journal of Economics and Econometrics, 2017, 60, (1), 1-27 Downloads
    See also Working Paper (2017)
  31. Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks
    Energy Economics, 2017, 62, (C), 61-69 Downloads
    See also Working Paper (2014)
  32. On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test
    International Economics and Economic Policy, 2017, 14, (4), 691-700 Downloads
    See also Working Paper (2015)
  33. Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries
    Environmental & Resource Economics, 2017, 67, (4), 869-883 Downloads
  34. South Africa’s economic response to monetary policy uncertainty
    Journal of Economic Studies, 2017, 44, (2), 282-293 Downloads
  35. South Africa’s inflation persistence: a quantile regression framework
    Economic Change and Restructuring, 2017, 50, (4), 367-386 Downloads
  36. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach
    Open Economies Review, 2017, 28, (1), 47-59 Downloads
    See also Working Paper (2016)
  37. The depreciation of the pound post-Brexit: Could it have been predicted?
    Finance Research Letters, 2017, 21, (C), 206-213 Downloads View citations (1)
    See also Working Paper (2016)
  38. The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective
    Journal of Economics and Finance, 2017, 41, (4), 774-793 Downloads
    See also Working Paper (2016)
  39. The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach
    Resources Policy, 2017, 51, (C), 77-84 Downloads View citations (1)
  40. The growth-inflation nexus for the U.S. from 1801 to 2013: A semiparametric approach
    Journal of Applied Economics, 2017, 20, 105-120 Downloads
  41. The relationship between population growth and standard-of-living growth over 1870–2013: evidence from a bootstrapped panel Granger causality test
    Empirica, 2017, 44, (1), 175-201 Downloads
    See also Working Paper (2016)
  42. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
    Empirical Economics, 2017, 53, (3), 879-889 Downloads
    See also Working Paper (2015)
  43. The role of oil prices in the forecasts of South African interest rates: A Bayesian approach
    Energy Economics, 2017, 61, (C), 270-278 Downloads
    See also Working Paper (2016)
  44. The time-varying correlation between output and prices in the United States over the period 1800–2014
    Economic Systems, 2017, 41, (1), 98-108 Downloads
  45. Time-varying persistence in US inflation
    Empirical Economics, 2017, 53, (2), 423-439 Downloads
    See also Working Paper (2014)
  46. Time-varying persistence of inflation: evidence from a wavelet-based approach
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 18 Downloads
    See also Working Paper (2016)

2016

  1. A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
    Economics - The Open-Access, Open-Assessment E-Journal, 2016, 10, 1-15 Downloads
    See also Working Paper (2016)
  2. A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices
    Applied Economics, 2016, 48, (31), 2895-2898 Downloads
    See also Working Paper (2015)
  3. AN APPLICATION OF A NEW SEASONAL UNIT ROOT TEST FOR TRENDING AND BREAKING SERIES TO INDUSTRIAL PRODUCTION OF THE BRICS
    Journal of Developing Areas, 2016, 50, (4), 183-194 Downloads
    See also Working Paper (2014)
  4. Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter
    Journal of Developing Areas, 2016, 50, (1), 47-57 Downloads View citations (1)
    See also Working Paper (2014)
  5. Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function
    Global Business and Economics Review, 2016, 18, (5), 517-532 Downloads
    See also Working Paper (2013)
  6. Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del blocco della spesa
    Economia Internazionale / International Economics, 2016, 69, (1), 11-32 Downloads
  7. Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenze o stazionario nel trend in un modello Markov-switching?
    Economia Internazionale / International Economics, 2016, 69, (1), 33-44 Downloads
  8. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Open Economies Review, 2016, 27, (2), 229-250 Downloads View citations (10)
    See also Working Paper (2015)
  9. Does sunspot numbers cause global temperatures? A reconsideration using non-parametric causality tests
    Physica A: Statistical Mechanics and its Applications, 2016, 460, (C), 54-65 Downloads View citations (2)
  10. Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
    Resources Policy, 2016, 49, (C), 74-80 Downloads View citations (11)
    See also Working Paper (2015)
  11. Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note
    Atlantic Economic Journal, 2016, 44, (3), 377-386 Downloads View citations (2)
    See also Working Paper (2015)
  12. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy
    Southern Economic Journal, 2016, 83, (2), 609-624 Downloads View citations (3)
    See also Working Paper (2015)
  13. Erratum to: Real estate returns predictability revisited: novel evidence from the US REITs market
    Empirical Economics, 2016, 51, (3), 1191-1191 Downloads View citations (5)
  14. Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns
    The Journal of Real Estate Finance and Economics, 2016, 52, (3), 226-243 Downloads View citations (1)
    Also in The Journal of Real Estate Finance and Economics, 2016, 52, (3), 226-243 (2016) Downloads View citations (1)

    See also Working Paper (2014)
  15. Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation
    Applied Economics, 2016, 48, (26), 2412-2427 Downloads
    See also Working Paper (2014)
  16. Forecasting US consumer price index: does nonlinearity matter?
    Applied Economics, 2016, 48, (46), 4462-4475 Downloads
  17. Forecasting US real private residential fixed investment using a large number of predictors
    Empirical Economics, 2016, 51, (4), 1557-1580 Downloads
    See also Working Paper (2014)
  18. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
    Energy Economics, 2016, 56, (C), 117-133 Downloads View citations (8)
  19. Forecasting the South African inflation rate: On asymmetric loss and forecast rationality
    Economic Systems, 2016, 40, (1), 82-92 Downloads
    See also Working Paper (2014)
  20. Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
    International Review of Economics & Finance, 2016, 45, (C), 559-571 Downloads View citations (4)
    See also Working Paper (2014)
  21. Hydroelectricity consumption and economic growth nexus: Evidence from a panel of ten largest hydroelectricity consumers
    Renewable and Sustainable Energy Reviews, 2016, 62, (C), 318-325 Downloads View citations (3)
    See also Working Paper (2015)
  22. Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
    Finance Research Letters, 2016, 18, (C), 291-296 Downloads View citations (9)
    See also Working Paper (2015)
  23. Inflation forecasts and forecaster herding: Evidence from South African survey data
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2016, 62, (C), 42-50 Downloads
    See also Working Paper (2014)
  24. Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model
    Resources Policy, 2016, 48, (C), 77-84 Downloads View citations (5)
    See also Working Paper (2015)
  25. Is inflation persistence different in reality?
    Economics Letters, 2016, 148, (C), 55-58 Downloads View citations (1)
    See also Working Paper (2016)
  26. LPPLS bubble indicators over two centuries of the S&P 500 index
    Physica A: Statistical Mechanics and its Applications, 2016, 458, (C), 126-139 Downloads View citations (1)
    See also Working Paper (2016)
  27. Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
    International Review of Economics & Finance, 2016, 43, (C), 443-456 Downloads View citations (1)
    See also Working Paper (2014)
  28. Modeling persistence of carbon emission allowance prices
    Renewable and Sustainable Energy Reviews, 2016, 55, (C), 221-226 Downloads View citations (2)
    See also Working Paper (2015)
  29. On economic uncertainty, stock market predictability and nonlinear spillover effects
    The North American Journal of Economics and Finance, 2016, 36, (C), 184-191 Downloads View citations (12)
    See also Working Paper (2015)
  30. On international uncertainty links: BART-based empirical evidence for Canada
    Economics Letters, 2016, 143, (C), 24-27 Downloads View citations (5)
    See also Working Paper (2015)
  31. Periodically collapsing bubbles in the South African stock market
    Research in International Business and Finance, 2016, 38, (C), 191-201 Downloads View citations (2)
    See also Working Paper (2016)
  32. Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013
    Applied Economics, 2016, 48, (34), 3244-3252 Downloads
  33. Real estate returns predictability revisited: novel evidence from the US REITs market
    Empirical Economics, 2016, 51, (3), 1165-1190 Downloads View citations (5)
    See also Working Paper (2014)
  34. Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing
    Applied Economics, 2016, 48, (24), 2301-2308 Downloads
    See also Working Paper (2014)
  35. Stock price dynamics and the business cycle in an estimated DSGE model for South Africa
    Journal of International Financial Markets, Institutions and Money, 2016, 44, (C), 166-182 Downloads View citations (1)
    See also Working Paper (2014)
  36. Technical efficiency of Connecticut Long Island Sound lobster fishery: a nonparametric approach to aggregate frontier analysis
    Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, 81, (3), 1533-1548 Downloads
    See also Working Paper (2015)
  37. Testing for bubbles in the BRICS stock markets
    Journal of Economic Studies, 2016, 43, (4), 646-660 Downloads View citations (1)
  38. 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 Downloads View citations (3)
    See also Working Paper (2014)
  39. The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach
    Emerging Markets Finance and Trade, 2016, 52, (3), 674-689 Downloads View citations (8)
    See also Working Paper (2013)
  40. The Causal Relationship Between Happiness and Smoking: A Bootstrap Panel Causality Test
    Journal of Happiness Studies, 2016, 17, (3), 1327-1336 Downloads View citations (1)
  41. The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach
    The Journal of International Trade & Economic Development, 2016, 25, (7), 978-991 Downloads
    See also Working Paper (2015)
  42. The Nonparametric Relationship between Oil and South African Agricultural Prices - La relazione nonparametrica tra il prezzo del petrolio e i prezzi dei prodotti agricoli in Sud Africa
    Economia Internazionale / International Economics, 2016, 69, (2), 93-112 Downloads
  43. The causal relationship between natural gas consumption and economic growth: evidence from the G7 countries
    Applied Economics Letters, 2016, 23, (1), 38-46 Downloads
    See also Working Paper (2013)
  44. The dynamic response of the rand real exchange rate to fundamental shocks
    Journal of Economic Studies, 2016, 43, (1), 108-121 Downloads
  45. The relationship between oil and agricultural commodity prices in South Africa: A quantile causality approach
    Journal of Developing Areas, 2016, 50, (3), 93-107 Downloads
    Also in Journal of Developing Areas, 2016, 50, (2), 137-152 (2016) Downloads
  46. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
    Economics - The Open-Access, Open-Assessment E-Journal, 2016, 10, 1-20 Downloads View citations (3)
    See also Working Paper (2016)
  47. Time series analysis of persistence in crude oil price volatility across bull and bear regimes
    Energy, 2016, 109, (C), 29-37 Downloads View citations (2)
    See also Working Paper (2015)
  48. Time series effects of dissolved oxygen and nitrogen on Long Island Sound lobster harvest
    Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, 84, (3), 1849-1858 Downloads
  49. Time-frequency relationship between US output with commodity and asset prices
    Applied Economics, 2016, 48, (3), 227-242 Downloads View citations (4)
    See also Working Paper (2015)
  50. Trust and quality of growth: a note
    Economics Bulletin, 2016, 36, (3), 1854-1867 Downloads
    See also Working Paper (2015)
  51. Uncertainty and crude oil returns
    Energy Economics, 2016, 55, (C), 92-100 Downloads View citations (5)
    See also Working Paper (2015)

2015

  1. Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function
    Applied Economics, 2015, 47, (1), 32-53 Downloads View citations (2)
    See also Working Paper (2013)
  2. Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test
    Economic Systems, 2015, 39, (2), 288-300 Downloads View citations (10)
  3. Are there long-run diversification gains from the Dow Jones Islamic finance index?
    Applied Economics Letters, 2015, 22, (12), 945-950 Downloads
    See also Working Paper (2014)
  4. Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?
    Renewable and Sustainable Energy Reviews, 2015, 52, (C), 19-23 Downloads View citations (1)
    See also Working Paper (2014)
  5. CONVERGENCE IN PROVINCIAL-LEVEL SOUTH AFRICAN HOUSE PRICES: EVIDENCE FROM THE CLUB CONVERGENCE AND CLUSTERING PROCEDURE
    Review of Urban & Regional Development Studies, 2015, 27, (1), 2-17 Downloads View citations (1)
    See also Working Paper (2013)
  6. 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 Downloads View citations (5)
  7. Causal Link between Oil Price and Uncertainty in India - Relazione di causalità tra prezzo del petrolio e incertezza in India
    Economia Internazionale / International Economics, 2015, 68, (4), 437-450 Downloads
  8. Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests
    Journal of Applied Economics, 2015, 18, 225-246 Downloads View citations (2)
    See also Working Paper (2013)
  9. Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
    Journal of Developing Areas, 2015, 49, (2), 163-181 Downloads View citations (4)
    See also Working Paper (2013)
  10. 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 Downloads View citations (2)
    See also Working Paper (2014)
  11. Causality between research output and economic growth in BRICS
    Quality & Quantity: International Journal of Methodology, 2015, 49, (1), 167-176 Downloads View citations (2)
    See also Working Paper (2013)
  12. Comovement in Euro area housing prices: A fractional cointegration approach
    Urban Studies, 2015, 52, (16), 3123-3143 Downloads View citations (2)
    See also Working Paper (2013)
  13. Convergence of greenhouse gas emissions among G7 countries
    Applied Economics, 2015, 47, (60), 6543-6552 Downloads View citations (1)
    See also Working Paper (2013)
  14. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Applied Economics, 2015, 47, (3), 207-221 Downloads View citations (3)
    See also Working Paper (2015)
  15. Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model
    Journal of Emerging Market Finance, 2015, 14, (2), 176-196 Downloads View citations (5)
    See also Working Paper (2012)
  16. Do commodity investors herd? Evidence from a time-varying stochastic volatility model
    Resources Policy, 2015, 46, (P2), 281-287 Downloads View citations (2)
  17. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
    Applied Economics, 2015, 47, (8), 798-808 Downloads View citations (4)
    See also Working Paper (2013)
  18. Do we need a global VAR model to forecast inflation and output in South Africa?
    Applied Economics, 2015, 47, (25), 2649-2670 Downloads View citations (3)
    See also Working Paper (2013)
  19. Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach. - Il prezzo del petrolio predice l’inflazione in Sud Africa? Evidenza storica attraverso l’utilizzo di un approccio basato sulla frequenza
    Economia Internazionale / International Economics, 2015, 68, (4), 451-467 Downloads
  20. Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs
    Energy Economics, 2015, 51, (C), 45-53 Downloads View citations (13)
    See also Working Paper (2014)
  21. Forecasting US real house price returns over 1831-2013: evidence from copula models
    Applied Economics, 2015, 47, (48), 5204-5213 Downloads
    See also Working Paper (2014)
  22. Forecasting aggregate retail sales: The case of South Africa
    International Journal of Production Economics, 2015, 160, (C), 66-79 Downloads View citations (2)
    See also Working Paper (2014)
  23. Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model
    Economic Modelling, 2015, 44, (C), 215-228 Downloads View citations (1)
  24. Forecasting the U.S. real house price index
    Economic Modelling, 2015, 45, (C), 259-267 Downloads View citations (1)
    See also Working Paper (2017)
  25. Forecasting the price of gold
    Applied Economics, 2015, 47, (39), 4141-4152 Downloads View citations (3)
    See also Working Paper (2014)
  26. Forecasting the price of gold using dynamic model averaging
    International Review of Financial Analysis, 2015, 41, (C), 257-266 Downloads View citations (10)
    See also Working Paper (2014)
  27. Guest Editor’s Introduction
    Emerging Markets Finance and Trade, 2015, 51, (3), 445-447 Downloads
  28. Has oil price predicted stock returns for over a century?
    Energy Economics, 2015, 48, (C), 18-23 Downloads View citations (35)
    See also Working Paper (2014)
  29. Identifying an index of financial conditions for South Africa
    Studies in Economics and Finance, 2015, 32, (2), 256-274 Downloads View citations (3)
  30. Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data
    Energy Economics, 2015, 52, (PA), 136-141 Downloads View citations (3)
    See also Working Paper (2014)
  31. Oil price forecastability and economic uncertainty
    Economics Letters, 2015, 132, (C), 125-128 Downloads View citations (8)
    See also Working Paper (2015)
  32. Oil prices and financial stress: A volatility spillover analysis
    Energy Policy, 2015, 82, (C), 278-288 Downloads View citations (11)
  33. Panel Granger causality between oil consumption and GDP: evidence from BRICS countries
    International Journal of Sustainable Economy, 2015, 7, (1), 30-41 Downloads
  34. Persistence of precious metal prices: A fractional integration approach with structural breaks
    Resources Policy, 2015, 44, (C), 57-64 Downloads View citations (6)
    See also Working Paper (2015)
  35. Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
    Economics Letters, 2015, 131, (C), 83-85 Downloads View citations (5)
    See also Working Paper (2015)
  36. Regime switching model of US crude oil and stock market prices: 1859 to 2013
    Energy Economics, 2015, 49, (C), 317-327 Downloads View citations (19)
    See also Working Paper (2014)
  37. Renewable energy and growth: Evidence from heterogeneous panel of G7 countries using Granger causality
    Renewable and Sustainable Energy Reviews, 2015, 52, (C), 1405-1412 Downloads View citations (13)
  38. Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approach
    International Journal of Economic Policy in Emerging Economies, 2015, 8, (2), 169-190 Downloads View citations (1)
    See also Working Paper (2013)
  39. Temporal causality between house prices and output in the US: A bootstrap rolling-window approach
    The North American Journal of Economics and Finance, 2015, 33, (C), 55-73 Downloads View citations (12)
    See also Working Paper (2013)
  40. 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 Downloads View citations (2)
    See also Working Paper (2013)
  41. The Impact of Exchange Rate Uncertainty on Exports in South Africa
    Journal of International Commerce, Economics and Policy (JICEP), 2015, 06, (01), 1-14 Downloads
  42. The Macroeconomic Effects of Uncertainty Shocks in India - Gli effetti macroeconomici degli shock di incertezza in India
    Economia Internazionale / International Economics, 2015, 68, (3), 373-383 Downloads
  43. The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains
    International Review of Economics & Finance, 2015, 38, (C), 220-233 Downloads View citations (9)
  44. The dynamic relationship between house prices and output: evidence from US metropolitan areas
    International Journal of Strategic Property Management, 2015, 19, (4), 336-345 Downloads
  45. Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity - Causalità time-varying tra petrolio e prezzi delle materie prime in presenza di break strutturali e di non-linearità
    Economia Internazionale / International Economics, 2015, 68, (4), 469-491 Downloads
  46. Time-Varying Effects of Housing and Stock Returns on U.S. Consumption
    The Journal of Real Estate Finance and Economics, 2015, 50, (3), 339-354 Downloads View citations (9)
  47. Trends and cycles in historical gold and silver prices
    Journal of International Money and Finance, 2015, 58, (C), 98-109 Downloads View citations (3)
    See also Working Paper (2016)
  48. US inflation dynamics on long-range data
    Applied Economics, 2015, 47, (36), 3874-3890 Downloads View citations (2)
    See also Working Paper (2015)
  49. Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test
    Applied Economics, 2015, 47, (46), 4996-5011 Downloads View citations (7)
    See also Working Paper (2013)
  50. Was the recent downturn in US real GDP predictable?
    Applied Economics, 2015, 47, (28), 2985-3007 Downloads View citations (3)

2014

  1. A time-varying approach to analysing fiscal policy and asset prices in South Africa
    Journal of Financial Economic Policy, 2014, 6, (1), 46-63 Downloads View citations (2)
    See also Working Paper (2013)
  2. Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 367-378 Downloads View citations (10)
    See also Working Paper (2014)
  3. Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?
    Applied Financial Economics, 2014, 24, (17), 1147-1157 Downloads View citations (4)
    See also Working Paper (2013)
  4. Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions
    The North American Journal of Economics and Finance, 2014, 29, (C), 22-35 Downloads View citations (9)
  5. Dutch disease effect of oil rents on agriculture value added in Middle East and North African (MENA) countries
    Energy Economics, 2014, 45, (C), 485-490 Downloads View citations (7)
  6. Fiscal Policy Shocks and the Dynamics of Asset Prices
    Public Finance Review, 2014, 42, (4), 511-531 Downloads View citations (2)
  7. Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty
    The North American Journal of Economics and Finance, 2014, 28, (C), 170-189 Downloads View citations (6)
    See also Working Paper (2013)
  8. Housing and the Great Depression
    Applied Economics, 2014, 46, (24), 2966-2981 Downloads View citations (4)
    See also Working Paper (2013)
  9. Housing and the business cycle in South Africa
    Journal of Policy Modeling, 2014, 36, (3), 471-491 Downloads View citations (9)
    See also Working Paper (2014)
  10. Intertemporal portfolio allocation and hedging demand: an application to South Africa
    Journal of Business Economics and Management, 2014, 15, (4), 744-775 Downloads View citations (1)
    See also Working Paper (2011)
  11. Military expenditure, economic growth and structural instability: a case study of South Africa
    Defence and Peace Economics, 2014, 25, (6), 619-633 Downloads View citations (7)
    See also Working Paper (2013)
  12. Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
    Applied Financial Economics, 2014, 24, (14), 993-1004 Downloads View citations (11)
    See also Working Paper (2013)
  13. Oil price uncertainty and manufacturing production
    Energy Economics, 2014, 43, (C), 41-47 Downloads View citations (9)
  14. Persistence and cycles in historical oil price data
    Energy Economics, 2014, 45, (C), 511-516 Downloads View citations (5)
    See also Working Paper (2013)
  15. Predicting BRICS stock returns using ARFIMA models
    Applied Financial Economics, 2014, 24, (17), 1159-1166 Downloads View citations (2)
    See also Working Paper (2012)
  16. Real interest rate persistence in South Africa: evidence and implications
    Economic Change and Restructuring, 2014, 47, (1), 41-62 Downloads View citations (1)
    See also Working Paper (2012)
  17. Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions
    Empirical Economics, 2014, 46, (4), 1221-1240 Downloads
    See also Working Paper (2011)
  18. Tax evasion, financial development and inflation: Theory and empirical evidence
    Journal of Banking & Finance, 2014, 41, (C), 194-208 Downloads View citations (6)
    See also Working Paper (2013)
  19. Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
    Applied Economics, 2014, 46, (18), 2127-2138 Downloads View citations (8)
    See also Working Paper (2013)
  20. The causal relationship between house prices and growth in the nine provinces of South Africa: evidence from panel - Granger causality tests
    International Journal of Sustainable Economy, 2014, 6, (4), 345-358 Downloads View citations (1)
  21. The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
    Energy Policy, 2014, 66, (C), 359-368 Downloads View citations (49)
    See also Working Paper (2013)
  22. Time-varying causality between research output and economic growth in US
    Scientometrics, 2014, 100, (1), 203-216 Downloads
  23. Time-varying linkages between tourism receipts and economic growth in South Africa
    Applied Economics, 2014, 46, (36), 4381-4398 Downloads View citations (5)
    See also Working Paper (2013)
  24. Using large data sets to forecast sectoral employment
    Statistical Methods & Applications, 2014, 23, (2), 229-264 Downloads View citations (1)
    See also Working Paper (2012)

2013

  1. A DSGE-VAR model for forecasting key South African macroeconomic variables
    Economic Modelling, 2013, 33, (C), 19-33 Downloads View citations (10)
  2. Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
    Energy Economics, 2013, 40, (C), 825-831 Downloads View citations (14)
    See also Working Paper (2013)
  3. Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes
    Empirical Economics, 2013, 44, (2), 387-417 Downloads View citations (1)
    See also Working Paper (2011)
  4. Forecasting house prices for the four census regions and the aggregate US economy in a data-rich environment
    Applied Economics, 2013, 45, (33), 4677-4697 Downloads View citations (9)
  5. Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model
    Economic Modelling, 2013, 32, (C), 161-171 Downloads View citations (12)
  6. Macroeconomic Variables and South African Stock Return Predictability
    Economic Modelling, 2013, 30, (C), 612-622 Downloads View citations (11)
    See also Working Paper (2011)
  7. Macroeconomic surprises and stock returns in South Africa
    Studies in Economics and Finance, 2013, 30, (3), 266-282 Downloads
    See also Working Paper (2012)
  8. Metropolitan House Prices In Regions of India: Do They Converge?
    Regional and Sectoral Economic Studies, 2013, 13, (1), 135-144 Downloads
  9. Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
    Contemporary Economics, 2013, 7, (1) Downloads View citations (10)
    See also Working Paper (2011)
  10. The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs
    Housing Studies, 2013, 28, (8), 1133-1154 Downloads View citations (4)
    See also Working Paper (2012)
  11. The Role of Asset Prices in Forecasting Inflation and Output in South Africa
    Journal of Emerging Market Finance, 2013, 12, (3), 239-291 Downloads View citations (17)
    See also Working Paper (2011)
  12. The causal relationship between exports and economic growth in the nine provinces of South Africa: evidence from panel-Granger causality test
    International Journal of Economic Policy in Emerging Economies, 2013, 6, (3), 296-310 Downloads View citations (3)
    See also Working Paper (2013)
  13. The long-run impact of inflation in South Africa
    Journal of Policy Modeling, 2013, 35, (5), 798-812 Downloads View citations (9)
    See also Working Paper (2010)
  14. The long-run relationship between house prices and inflation in South Africa: an ARDL approach
    International Journal of Strategic Property Management, 2013, 17, (2), 188-198 Downloads View citations (4)
  15. The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
    European Journal of Comparative Economics, 2013, 10, (1), 121-148 Downloads View citations (1)
    See also Working Paper (2013)
  16. ‘Ripple’ Effects in South African House Prices
    Urban Studies, 2013, 50, (5), 876-894 Downloads View citations (3)

2012

  1. Characterization of lentil (Lens culinaris M.) germplasm through phenotypic marker
    Journal of the Bangladesh Agricultural University, 2012, 10 Downloads
  2. Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application of Saphe Cracking
    Journal of Developing Areas, 2012, 46, (1), 45-54 Downloads View citations (4)
    See also Working Paper (2009)
  3. Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
    Applied Economics Quarterly (formerly: Konjunkturpolitik), 2012, 58, (1), 19-70 Downloads View citations (9)
    See also Working Paper (2012)
  4. Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
    Applied Econometrics and International Development, 2012, 12, (2) Downloads View citations (1)
    See also Working Paper (2012)
  5. South African stock return predictability in the context data mining: The role of financial variables and international stock returns
    Economic Modelling, 2012, 29, (3), 908-916 Downloads View citations (14)
  6. Structural breaks and GARCH models of stock return volatility: The case of South Africa
    Economic Modelling, 2012, 29, (6), 2435-2443 Downloads View citations (8)
    See also Working Paper (2010)
  7. THE EFFECTS OF MONETARY POLICY ON REAL FARM PRICES IN SOUTH AFRICA
    Regional and Sectoral Economic Studies, 2012, 12, (1), 147-158 Downloads
    See also Working Paper (2011)
  8. The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    The Journal of Real Estate Finance and Economics, 2012, 44, (3), 339-361 Downloads View citations (14)
    See also Working Paper (2009)
  9. Valuation Ratios and Stock Return Predictability in South Africa: Is It There?
    Emerging Markets Finance and Trade, 2012, 48, (1), 70-82 Downloads View citations (1)
    Also in Emerging Markets Finance and Trade, 2012, 48, (1), 70-82 (2012) Downloads View citations (2)
  10. “Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix
    The Annals of Regional Science, 2012, 48, (3), 763-782 Downloads View citations (8)
    See also Working Paper (2009)

2011

  1. A large factor model for forecasting macroeconomic variables in South Africa
    International Journal of Forecasting, 2011, 27, (4), 1076-1088 Downloads View citations (12)
    See also Working Paper (2009)
  2. An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa
    Economic Modelling, 2011, 28, (3), 891-899 Downloads View citations (11)
    See also Working Paper (2010)
  3. Currency Substitution and Financial Repression
    International Economic Journal, 2011, 25, (1), 47-61 Downloads
    See also Working Paper (2008)
  4. Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
    Indian Economic Review, 2011, 46, (1), 23-40 View citations (1)
    See also Working Paper (2009)
  5. Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
    Journal of Forecasting, 2011, 30, (2), 288-302 Downloads View citations (12)
  6. Forecasting the US real house price index: Structural and non-structural models with and without fundamentals
    Economic Modelling, 2011, 28, (4), 2013-2021 Downloads View citations (22)
    See also Working Paper (2010)
  7. Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
    Annals of Economics and Finance, 2011, 12, (1), 65-87 Downloads View citations (1)
    See also Working Paper (2006)
  8. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting&quest
    Eastern Economic Journal, 2011, 37, (2), 165-177 Downloads
  9. Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model
    International Journal of Strategic Property Management, 2011, 16, (1), 1-20 Downloads View citations (1)
    See also Working Paper (2009)
  10. The long-run relationship between inflation and real stock prices: empirical evidence from South Africa
    Journal of Business Economics and Management, 2011, 13, (4), 600-613 Downloads View citations (2)
    See also Working Paper (2010)

2010

  1. CONVERGENCE OF METROPOLITAN HOUSE PRICES IN SOUTH AFRICA: A RE-EXAMINATION USING EFFICIENT UNIT ROOT TESTS
    Applied Econometrics and International Development, 2010, 10, (1) Downloads View citations (10)
    See also Working Paper (2009)
  2. DYNAMIC TIME INCONSISTENCY AND THE SOUTH AFRICAN RESERVE BANK
    South African Journal of Economics, 2010, 78, (1), 76-88 Downloads View citations (5)
  3. 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)
  4. Financial Liberalization and the Effectiveness of Monetary Policy on House Prices in South Africa
    The IUP Journal of Monetary Economics, 2010, VIII, (4), 59-74 View citations (14)
    See also Working Paper (2008)
  5. Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
    Journal of Forecasting, 2010, 29, (1-2), 168-185 Downloads View citations (19)
    See also Working Paper (2008)
  6. Forecasting the South African economy: a hybrid-DSGE approach
    Journal of Economic Studies, 2010, 37, (2), 181-195 Downloads View citations (11)
  7. Has the SARB become more effective post inflation targeting?
    Economic Change and Restructuring, 2010, 43, (3), 187-204 Downloads View citations (8)
    See also Working Paper (2009)
  8. Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
    The African Finance Journal, 2010, 12, (2), 28-49 Downloads
  9. Optimal public policy with endogenous mortality
    Journal of Economic Policy Reform, 2010, 13, (3), 241-249 Downloads
    Also in Journal of Economic Policy Reform, 2010, 13, (3), 241-249 (2010) Downloads

    See also Working Paper (2008)
  10. Predicting Downturns in the US Housing Market: A Bayesian Approach
    The Journal of Real Estate Finance and Economics, 2010, 41, (3), 294-319 Downloads View citations (20)
    See also Working Paper (2008)
  11. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
    Annals of Economics and Finance, 2010, 11, (1), 139-153 Downloads View citations (5)
    See also Working Paper (2010)
  12. THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Defence and Peace Economics, 2010, 21, (2), 135-147 Downloads View citations (7)
    See also Working Paper (2009)
  13. The effect of monetary policy on house price inflation: A factor augmented vector autoregression (FAVAR) approach
    Journal of Economic Studies, 2010, 37, (6), 616-626 Downloads View citations (15)
    See also Working Paper (2009)
  14. The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach
    Economic Modelling, 2010, 27, (1), 315-323 Downloads View citations (43)
    See also Working Paper (2009)

2009

  1. A New-Keynesian DSGE model for forecasting the South African economy
    Journal of Forecasting, 2009, 28, (5), 387-404 Downloads View citations (20)
    See also Working Paper (2008)
  2. An Endogenous Growth Model of a Financially Repressed Small Open Economy
    International Economic Journal, 2009, 23, (1), 143-161 Downloads
    See also Working Paper (2006)
  3. BAYESIAN METHODS OF FORECASTING INVENTORY INVESTMENT
    South African Journal of Economics, 2009, 77, (1), 113-126 Downloads View citations (4)
  4. Could we have predicted the recent downturn in the South African housing market?
    Journal of Housing Economics, 2009, 18, (4), 325-335 Downloads View citations (27)
    See also Working Paper (2009)
  5. Financial Liberalization and a Possible Growth-Inflation Trade-Off
    Indian Economic Review, 2009, 44, (1), 1-19
    See also Working Paper (2006)
  6. Half-Life Deviations from PPP in the South African Development Community (SADC)
    Applied Econometrics and International Development, 2009, 9, (1) Downloads View citations (3)
  7. Linking global economic dynamics to a South African-specific credit risk correlation model
    Economic Modelling, 2009, 26, (5), 1000-1011 Downloads View citations (8)
    See also Working Paper (2007)
  8. Market Microstructure Approach to the Exchange Rate Determination Puzzle
    The IUP Journal of Monetary Economics, 2009, VII, (3-4), 101-115 View citations (1)
    See also Working Paper (2008)
  9. TESTING FOR FRACTIONAL INTEGRATION IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (4), 531-537 Downloads
  10. TESTING FOR PPP USING SADC REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (3), 351-362 Downloads View citations (5)
    See also Working Paper (2008)
  11. Tax evasion and financial repression: a reconsideration using endogenous growth models
    Journal of Economic Studies, 2009, 36, (6), 660-674 Downloads View citations (3)
    See also Working Paper (2008)

2008

  1. Costly Tax Enforcement and Financial Repression
    Economic Notes, 2008, 37, (2), 141-154 Downloads View citations (4)
    See also Working Paper (2008)
  2. Financial Liberalization: A Myth or a Miracle Cure?
    The IUP Journal of Monetary Economics, 2008, VI, (1), 6-33 View citations (2)
    See also Working Paper (2005)
  3. MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA
    South African Journal of Economics, 2008, 76, (1), 16-25 Downloads View citations (4)
    See also Working Paper (2008)
  4. Modeling and Forecasting the Metical-Rand Exchange Rate
    The IUP Journal of Monetary Economics, 2008, VI, (4), 63-90 View citations (4)
    See also Working Paper (2007)
  5. Modelling South African grain farmers’ preferences to adopt derivative contracts using discrete choice models
    Agrekon, 2008, 47, (2) Downloads View citations (2)
  6. SPATIAL BAYESIAN METHODS OF FORECASTING HOUSE PRICES IN SIX METROPOLITAN AREAS OF SOUTH AFRICA
    South African Journal of Economics, 2008, 76, (2), 298-313 Downloads View citations (15)
    See also Working Paper (2008)
  7. Tax evasion and financial repression
    Journal of Economics and Business, 2008, 60, (6), 517-535 Downloads View citations (6)
    See also Working Paper (2007)

2007

  1. A SMALL-SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2007, 75, (2), 179-193 Downloads View citations (28)
    See also Working Paper (2006)
  2. FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs
    South African Journal of Economics, 2007, 75, (4), 631-643 Downloads View citations (5)
    See also Working Paper (2007)
  3. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
    International Economic Journal, 2007, 21, (3), 335-360 Downloads
    See also Working Paper (2005)
  4. Financial Liberalization and the Dynamics of Inflation, Nominal Exchange Rate, and Terms of Trade
    Indian Economic Review, 2007, 42, (2), 165-176

2006

  1. A BVAR MODEL FOR THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2006, 74, (3), 391-409 Downloads View citations (15)
    See also Working Paper (2006)
  2. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
    The IUP Journal of Monetary Economics, 2006, IV, (1), 75 - 89 View citations (3)
    See also Working Paper (2005)
  3. FORECASTING THE SOUTH AFRICAN ECONOMY WITH VARs AND VECMs
    South African Journal of Economics, 2006, 74, (4), 611-628 Downloads View citations (22)
    See also Working Paper (2006)

2005

  1. Costly State Monitoring and Reserve Requirements
    Annals of Economics and Finance, 2005, 6, (2), 263-288 Downloads View citations (4)
    See also Working Paper (2005)
 
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