Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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202502: Supply Disruptions and Predictability of Oil Returns Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Luis Gil-Alana

202501: The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach

Jiawen Luo, Shengjie Fu, Oguzhan Cepni and Rangan Gupta

202450: Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data

Matteo Bonato, Rangan Gupta and Christian Pierdzioch

202449: Political ``Color" and the Impact of Climate Risks on Output Growth: Evidence from a Panel of US States

Xin Sheng, Rangan Gupta, Oguzhan Cepni and Masego Motsuenyane

202448: Does Climate Affect Investments? Evidence from Firms in the United States

Petre Caraiani, Carolyn Chisadza and Rangan Gupta

202447: Presidential Politics and Investor Behavior in the Stock Market: Evidence from a Century of Stock Market Data

Xolani Sibande, Vassilios Babalos, Riza Demirer and Rangan Gupta

202446: Time-Variation in the Persistence of Carbon Price Uncertainty: The Role of Carbon Policy Uncertainty

Oguzhan Cepni, Luis Gil-Alana, Rangan Gupta and Onur Polat

202445: Effects of Energy Consumption, Agricultural Trade and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach

Prosper E. Edoja, Goodness C. Aye and Rangan Gupta

202444: Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective

Afees Salisu, Ahamuefula Ogbonna, Elie Bouri and Rangan Gupta

202443: The Bank Lending Channel of Monetary Policy Transmission in South Africa

Ekaterina Pirozhkova and Nicola Viegi

202442: Trouble Every Day: Monetary Policy in an Open Emerging Economy

Ekaterina Pirozhkova, Giovanni Ricco and Nicola Viegi

202441: Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection

O-Chia Chuang, Rangan Gupta, Christian Pierdzioch and Buliao Shu

202440: Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility

Elie Bouri, Oguzhan Cepni, Rangan Gupta and Ruipeng Liu

202439: Prediction of the Conditional Distribution of Daily International Stock Returns Volatility: The Role of (Conventional and Unconventional) Monetary Policies

Oguzhan Cepni, Rangan Gupta, Jacobus Nel and Renee van Eyden

202438: Oil Price Shocks and the Connectedness of US State-Level Financial Markets

Onur Polat, Juncal Cunado, Oguzhan Cepni and Rangan Gupta

202437: Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis

Vincenzo Candila, Oguzhan Cepni, Giampiero Gallo and Rangan Gupta

202436: Climate Risks and Real Gold Returns over 750 Years

Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch and Onur Polat

202435: Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments

Elie Bouri, Rangan Gupta, Christian Pierdzioch and Onur Polat

202434: Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence

Afees Salisu, Ahamuefula Ogbonna, Elie Bouri and Rangan Gupta

202433: Effects of Climate Risks on Financial Stress: Evidence from Asia-Pacific Countries

Sarah Nandnaba, Rangan Gupta and Samrat Goswami

202432: Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis

Elie Bouri, Matteo Foglia, Sayar Karmakar and Rangan Gupta

202431: Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Sisa Shiba

202430: Role of Inflation and Exchange Rates in Shaping the Country's Food Security Landscape: Nigeria's Food Price Puzzle

Goodness Aye, Prosper Edoja, Sarah Enwa, Rangan Gupta and Emmanuel Eshoforen

202429: Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Ogbonna and Rangan Gupta

202428: Climate Policy Uncertainty and Financial Stress: Evidence for China

Rangan Gupta and Christian Pierdzioch

202427: Gasoline Prices and Presidential Approval Ratings of the United States

Rangan Gupta, Christian Pierdzioch and Aviral Tiwari

202426: Xenophobia and Quality of Life: Evidence From South Africa

Carolyn Chisadza

202425: GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables

Kejin Wu, Sayar Karmakar and Rangan Gupta

202424: Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks

Elie Bouri, Rangan Gupta, Asingamaanda Liphadzi and Christian Pierdzioch

202423: Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices

Rangan Gupta and Christian Pierdzioch

202422: Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets

Xuewei Zhou, Zisheng Ouyang, Rangan Gupta and Qiang Ji

202421: Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments

Thanoj K. Muddana, Komal S.R. Bhimireddy, Anandamayee Majumdar and Rangan Gupta

202420: Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging

Jiawen Luo, Shengjie Fu, Oguzhan Cepni and Rangan Gupta

202419: Can Municipal Bonds Hedge US State-Level Climate Risks?

Onur Polat, Rangan Gupta, Oguzhan Cepni and Qiang Ji

202418: Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Qiang Ji

202417: A Note on Oil Consumption and Growth: The Role of Greenhouse Gases Emissions

Sarah Nandnaba, Abebe Hailemariam, Rangan Gupta and Xin Sheng

202415: Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks

Matteo Foglia, Vasilios Plakandaras, Rangan Gupta and Qiang Ji

202414: Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes

Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch

202413: Health Gains Arising from Reduced Risk Consumption: South Africa's PRIME Example

Steven Koch

202412: Forecasting Real Housing Price Returns of the United States using Machine Learning: The Role of Climate Risks

Bruno Sales, Hudson Torrent and Rangan Gupta

202411: Presidential Approval Ratings and Stock Market Performance in Latin America

Yuvana Jaichand, Renee van Eyden and Rangan Gupta

202410: The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks

Xin Sheng, Rangan Gupta, Wenting Liao and Oguzhan Cepni

202409: Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Oghonna, Rangan Gupta and Oguzhan Cepni

202408: Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202407: Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks

Massimiliano Caporin, Petre Caraiani, Oguzhan Cepni and Rangan Gupta

202406: Modeling the Presidential Approval Ratings of the United States using Machine-Learning: Does Climate Policy Uncertainty Matter?

Elie Bouri, Rangan Gupta and Christian Pierdzioch

202405: How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence

Yunhan Zhang, Qiang Ji, David Gabauer and Rangan Gupta

202404: Climate Change and Growth Dynamics

Rangan Gupta, Sarah Nandnaba and Wei Jiang

202403: Socio-Spatial Features of Neighbourhoods Supporting Social Interaction between Locals and Migrants in Peri-Urban China

Linyan Dai, Xin Sheng and Rangan Gupta

202402: Extreme Weather Shocks and State-Level Inflation of the United States

Wenting Liao, Xin Sheng, Rangan Gupta and Sayar Karmakar