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Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.

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2015100: Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013
Nikolaos Antonakakis, Rangan Gupta and Aviral Twari
201975: The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach Downloads
Mehmet Balcilar, George Ike and Rangan Gupta
201974: What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data
Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar
201973: The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States
Oguzhan Cepni, I. Ethem Guney, Rangan Gupta and Mark Wohar
201972: Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests Downloads
Riza Demirer, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
201971: The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile
Elie Bouri, Rangan Gupta, Chi Keung Marco Lau and David Roubaud
201970: A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach Downloads
Shinhye Chang, Matthew Clance, Giray Gözgör and Rangan Gupta
201969: Decomposition of Income inequality in France: The Role of Inflation, Income Growth, and the Monetary Policy Rate Downloads
Edmond Berisha, Ram Sewak Dubey, Eric Olson and Rangan Gupta
201968: Threshold Effects of Inequality on Economic Growth in the US States: The Role of Human Capital to Physical Capital Ratio Downloads
Oguzhan Cepni, Rangan Gupta and Zhihui Lv
201967: Gold, Platinum and the Predictability of Bond Risk Premia Downloads
Elie Bouri, Riza Demirer, Rangan Gupta and Mark Wohar
201966: Moments-Based Spillovers across Gold and Oil Markets Downloads
Matteo Bonato, Rangan Gupta, Chi Lau and Shixuan Wang
201965: Spillovers in Higher-Order Moments of Bitcoin, Gold, and Oil Downloads
Konstantinos Gkillas (Gillas), Elie Bouri, Rangan Gupta and David Roubaud
201964: Giant Oil Discoveries and Conflicts Downloads
Carolyn Chisadza, Matthew Clance, Rangan Gupta and Mark Wohar
201963: Price Gap Anomaly in the US Stock Market: The Whole Story Downloads
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201962: Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data
Christina Christou, David Gabauer and Rangan Gupta
201960: Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting Downloads
Rangan Gupta and Philton Makena
201959: The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction Downloads
Abdulnasser Hatemi-J, Mohamed Hajji, Elie Bouri and Rangan Gupta
201958: Multi-Horizon Financial and Housing Wealth Effects across the U.S. States Downloads
Yener Coskun, Christos Bouras, Rangan Gupta and Mark Wohar
201957: Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages Downloads
Oguzhan Cepni, Rangan Gupta, I. Ethem Guney and M. Hasan Yilmaz
201956: 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets Downloads
Hardik Marfatia, Rangan Gupta and Stephen Miller
201955: Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty
Elie Bouri and Rangan Gupta
201954: Price and Volatility Linkages between International REITs and Oil Markets Downloads
Saban Nazlioglu, Rangan Gupta, Alper Gormus and Ugur Soytas
201953: Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment Downloads
Petre Caraiani, Rangan Gupta, Chi Lau and Hardik Marfatia
201952: Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States Downloads
Aviral Tiwari, Rangan Gupta, Juncal Cunado and Xin Sheng
201951: Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
Manabu Asai, Rangan Gupta and Michael McAleer
201950: Historical Evolution of Monthly Anomalies in International Stock Markets
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201949: Public Infrastructure Provision and Ethnic Favouritism: Evidence from South Africa Downloads
Leone Walters, Manoel Bittencourt and Carolyn Chisadza
201948: Trade Uncertainties and the Hedging Abilities of Bitcoin Downloads
Elie Bouri, Konstantinos Gkillas (Gillas) and Rangan Gupta
201947: Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains Downloads
Aviral Tiwari, Christophe André and Rangan Gupta
201946: How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
Afees Salisu and Rangan Gupta
201945: The Relationship between Economic Uncertainty and Corporate Tax Rates Downloads
Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Lau
201944: Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
David Gabauer and Rangan Gupta
201943: Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch
201942: Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
Rangan Gupta, Hardik Marfatia and Eric Olson
201941: Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data
Heni Boubaker, Juncal Cunado, Luis Gil-Alana and Rangan Gupta
201940: Preferences Over Rich Sets of Random Variables: Semicontinuity in Measure versus Convexity Downloads
Alexander Zimper and Hirbod Assa
201939: Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets Downloads
Elie Bouri, Konstantinos Gkillas (Gillas), Rangan Gupta and Clement Kyei
201938: The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles
Elie Bouri, Riza Demirer, Rangan Gupta and Xiaojin Sun
201937: Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows
Deven Bathia, Christos Bouras, Riza Demirer and Rangan Gupta
201936: The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach
Oguzhan Cepni, Rangan Gupta and Mark Wohar
201935: Movements in International Bond Markets: The Role of Oil Prices Downloads
Saban Nazlioglu, Rangan Gupta and Elie Bouri
201934: Is the Housing Market in the United States Really Weakly-Efficient?
Aviral Tiwari, Rangan Gupta and Mark Wohar
201933: Fisher Variables and Income Inequality in the BRICS
Edmond Berisha, Rangan Gupta and John Meszaros
201932: International Consumption Risk Sharing and Trade Transaction Costs Downloads
Matthew Clance, Wei Ma and Ruthira Naraidoo
201931: Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
Samrat Goswami, Rangan Gupta and Mark Wohar
201930: Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment
Qiang Ji, Walid Bahloul, Jiang-bo Geng and Rangan Gupta
201929: Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule Downloads
Christina Christou, Ruthira Naraidoo, Rangan Gupta and Christis Hassapis
201928: Monetary policy in a Model with Commodity and Financial Markets Downloads
Vo Phuong Mai Le and Ruthira Naraidoo
201927: Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets
Elie Bouri, Rangan Gupta, Chi Keung Lau and David Roubaud
201926: Does U.K.’s Real GDP have a Unit Root? Evidence from a Multi-Century Perspective
Giorgio Canarella, Rangan Gupta, Stephen Miller and Tolga Omay
Page updated 2019-10-22
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