Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

201823: Is There a Role for Uncertainty in Forecasting Output Growth in OECD Countries? Evidence from a Time Varying Parameter-Panel Vector Autoregressive Model

Goodness Aye, Rangan Gupta, Chi Keung Lau and Xin Sheng

201822: Are BRICS Exchange Rates Chaotic?

Vasilios Plakandaras, Rangan Gupta, Luis Gil-Alana and Mark Wohar

201821: Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom

Goodness Aye, Giray Gözgör and Rangan Gupta

201820: Asymmetric Effects of Inequality on Per Capita Real GDP of the United States

Adnen Ben Nasr, Mehmet Balcilar, Rangan Gupta and Seyi Akadiri

201819: Growth Volatility and Inequality in the U.S.: A Wavelet Analysis

Shinhye Chang, Rangan Gupta, Stephen Miller and Mark Wohar

201818: The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa

Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams

201817: High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach

Wendy Nyakabawo, Rangan Gupta and Hardik Marfatia

201816: Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data

Juncal Cunado, Luis Gil-Alana and Rangan Gupta

201815: Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis

Qiang Ji, Hardik Marfatia and Rangan Gupta

201814: Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches

Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta

201813: Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data

Mamothoana Difeto, Renee van Eyden, Rangan Gupta and Mark Wohar

201812: Spillovers between Bitcoin and other Assets during Bear and Bull Markets

Elie Bouri, Mahamitra Das, Rangan Gupta and David Roubaud

201811: Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data

Riza Demirer and Rangan Gupta

201810: Persistence of Economic Uncertainty: A Comprehensive Analysis

Vasilios Plakandaras, Rangan Gupta and Mark Wohar

201809: The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests

Rangan Gupta, Christian Pierdzioch, Andrew Vivian and Mark Wohar

201808: Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities

Zintle Twala, Riza Demirer and Rangan Gupta

201807: Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data

Matthew Clance, Rangan Gupta and Mark Wohar

201806: International Monetary Policy Spillovers: Evidence from a TVP-VAR

Nikolaos Antonakakis, David Gabauer and Rangan Gupta

201805: Volatility Jumps: The Role of Geopolitical Risks

Konstantinos Gkillas (Gillas), Rangan Gupta and Mark Wohar

201804: Investor Sentiment and Crash Risk in Safe Havens

Adnen Ben Nasr, Matteo Bonato, Riza Demirer and Rangan Gupta

201803: Does Financial Development Affect Income Inequality in the U.S. States? A Panel Data Analysis

Manoel Bittencourt, Shinhye Chang, Rangan Gupta and Stephen Miller

201802: Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach

Nikolaos Antonakakis, David Gabauer, Rangan Gupta and Vasilios Plakandaras

201801: Insurance-Growth Nexus in Africa

Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams

201782: The Effectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of Uncertainty

Goodness Aye, Matthew Clance and Rangan Gupta

201781: Is Wine a Good Choice for Investment?

Elie Bouri, Rangan Gupta, Wing-Keung Wong and Zhenzhen Zhu

201780: Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains

Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar

201779: An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data

Vasilios Plakandaras, Rangan Gupta and Mark Wohar

201778: Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data

Patrick Kanda, Michael Burke and Rangan Gupta

201777: Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model

Christos Bouras, Christina Christou, Rangan Gupta and Tahir Suleman

201776: Economic Policy Uncertainty and Insurance

Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams

201775: Oil Returns and Volatility: The Role of Mergers and Acquisitions

Martijn Bos, Riza Demirer, Rangan Gupta and Aviral Tiwari

201774: The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions

Christina Christou, Rangan Gupta, Christis Hassapis and Tahir Suleman

201773: Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks

Nikolai Sheung-Chi Chow, Rangan Gupta, Tahir Suleman and Wing-Keung Wong

201772: Inflation Dynamics in Uganda: A Quantile Regression Approach

Francis Anguyo, Rangan Gupta and Kevin Kotze

201771: Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data

Lanouar Charfeddine, Karim Khediri, Goodness Aye and Rangan Gupta

201770: The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility

Rangan Gupta, Tahir Suleman and Mark Wohar

201769: Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Economies

Christian Tipoy, Marthinus Breitenbach and Mulatu Zerihun

201768: Redistributive Innovation Policy, Inequality and Efficiency

Parantap Basu and Yoseph Getachew

201767: Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks

Rangan Gupta, Tahir Suleman and Mark Wohar

201766: Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty

Rangan Gupta, Jun Ma, Marian Risse and Mark Wohar

201765: Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data

Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis and Mark Wohar

201764: Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note

Wilson Donzwa, Rangan Gupta and Mark Wohar

201763: Kuznets Curve for the US: A Reconsideration Using Cosummability

Adnen Ben Nasr, Mehmet Balcilar, Seyi Akadiri and Rangan Gupta

201762: Time-Varying Rare Disaster Risks, Oil Returns and Volatility

Riza Demirer, Rangan Gupta, Tahir Suleman and Mark Wohar

201761: A Note on the Technology Herd: Evidence from Large Institutional Investors

Esin Cakan, Riza Demirer, Rangan Gupta and Josine Uwilingiye

201760: Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices

Elie Bouri, Rangan Gupta, Amine Lahiani and Muhammad Shahbaz

201759: 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

Qiang Ji, BingYue Liu, Juncal Cunado and Rangan Gupta

201758: Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach

Adnen Ben Nasr, Juncal Cunado, Riza Demirer and Rangan Gupta

201757: The Effect of Economic Uncertainty on the Housing Market Cycle

Goodness Aye, Matthew Clance and Rangan Gupta

201756: Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio

Tsangyao Chang, Rangan Gupta, Anandamayee Majumdar and Christian Pierdzioch