Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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201848: Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress

Rangan Gupta, Patrick Kanda, Aviral Tiwari and Mark Wohar

201847: Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks

Vasilios Plakandaras, Rangan Gupta and Wing-Keung Wong

201846: Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

Riza Demirer, Rangan Gupta, Zhihui Lv and Wing-Keung Wong

201845: Monetary Policy and Bubbles in US REITs

Petre Caraiani, Adrian Cantemir Calin and Rangan Gupta

201844: Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence

Mehmet Balcilar, Rangan Gupta, Wei Ma and Philton Makena

201843: Uncertainty and Volatility Jumps in the Pound-Dollar Exchange Rate: Evidence from Over One Century of Data

Konstantinos Gkillas (Gillas), Rangan Gupta and Dimitrios Vortelinos

201842: The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model

Rangan Gupta, Chi Keung Lau, Vasilios Plakandaras and Wing-Keung Wong

201841: Time-Varying Impact of Geopolitical Risks on Oil Prices

Juncal Cuñado, Rangan Gupta, Chi Keung Lau and Xin Sheng

201840: Greek Economic Policy Uncertainty: Does it Matter for the European Union?

Nikolaos Antonakakis, David Gabauer and Rangan Gupta

201839: Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions

Christina Christou, Ruthira Naraidoo and Rangan Gupta

201838: Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data

Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller

201837: Bayesian Spatial Modeling for Housing Data in South Africa

Bingling Wang, Sudipto Banerjee and Rangan Gupta

201836: Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability

Rangan Gupta and Vasilios Plakandaras

201835: Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model

Ender Demir, Giray Gözgör, Rangan Gupta and Huseyin Kaya

201834: Herding Behaviour in the Cryptocurrency Market

Elie Bouri, Rangan Gupta and David Roubaud

201833: Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data

Yanele Nyamela, Vasilios Plakandaras and Rangan Gupta

201832: Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States

Goodness Aye and Rangan Gupta

201831: A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices

Aviral Tiwari, Zinnia Mukherjee, Rangan Gupta and Mehmet Balcilar

201830: Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings

Rangan Gupta, Patrick Kanda and Mark Wohar

201829: On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach

David Gabauer and Rangan Gupta

201828: Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests

Abdulnasser Hatemi-J, Chi-Chuan Lee, Chien-Chiang Lee and Rangan Gupta

201827: Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach

Goodness Aye

201826: Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models

Rangan Gupta, Florian Huber and Philipp Piribauer

201825: Oil Shocks and Volatility Jumps

Konstantinos Gkillas (Gillas), Rangan Gupta and Mark Wohar

201824: Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach

Aviral Tiwari, Goodness Aye and Rangan Gupta

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