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).

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201705: Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks

Christophe André, Tsangyao Chang, Luis Gil-Alana and Rangan Gupta

201704: Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model

Elie Bouri, Rangan Gupta, Seyedmehdi Hosseini and Chi Keung Lau

201703: Openness and Growth: Is the Relationship Non-Linear?

Rangan Gupta, Lardo Stander and Andrea Vaona

201702: Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016

Nikolaos Antonakakis, Rangan Gupta, Christos Kollias and Stephanos Papadamou

201701: Perturbed Utility and General Equilibrium Analysis

Wei Ma

201690: Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions

Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud

201689: The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa

Pramod Naik, Rangan Gupta and Puja Padhi

201688: Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs

Omokolade Akinsomi, Yener Coskun, Rangan Gupta and Chi Keung Lau

201687: International Business Cycle and Financial Intermediation

Tamas Csabafi, Max Gillman and Ruthira Naraidoo

201686: The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach

Rangan Gupta, John Weirstrass Muteba Mwamba and Mark Wohar

201685: Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data

Vasilios Plakandaras, Juncal Cunado, Rangan Gupta and Mark Wohar

201684: Tax Competition, Policy Competition and the Strategic Use of Policy Restrictions on Foreign Direct Investments

Kaushal Kishore

201683: Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches

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

201682: The Relationship between the Inflation Rate and Inequality across US States: A Semiparametric Approach

Mehmet Balcilar, Shinhye Chang, Rangan Gupta and Stephen Miller

201681: The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model

Rangan Gupta, Chi Keung Lau and Mark Wohar

201680: Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty

Goodness Aye, Christina Christou, Luis Gil-Alana and Rangan Gupta

201679: The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests

Matteo Bonato, Riza Demirer and Rangan Gupta

201678: Chaos in G7 Stock Markets using Over One Century of Data: A Note

Aviral Tiwari, Rangan Gupta and Stelios Bekiros

201677: On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees

Christian Pierdzioch, Marian Risse, Rangan Gupta and Wendy Nyakabawo

201676: Dynamic Tax Competition, Home Bias and the Gain from Non-preferential Agreements

Kaushal Kishore

201675: Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach

Tahir Suleman, Rangan Gupta and Mehmet Balcilar

201674: Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models

Nikolai Sheung-Chi Chow, Juncal Cunado, Rangan Gupta and Wing-Keung Wong

201673: Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty

Rangan Gupta, Amine Lahiani, Chi-Chuan Lee and Chien-Chiang Lee

201672: Credit Constraints, Growth and Inequality Dynamics

Yoseph Getachew

201671: Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach

Nicholas Apergis, Matteo Bonato, Rangan Gupta and Clement Kyei

201670: The Depreciation of the Pound Post-Brexit: Could it have been Predicted?

Vasilios Plakandaras, Rangan Gupta and Mark Wohar

201669: The Impact of the COMESA-EAC-SADC Tripartite Free Trade Agreement on the South African Economy

Leone Walters, Heinrich Bohlmann and Matthew Clance

201668: Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Riza Demirer, Rangan Gupta and Mark Wohar

201667: Forecasting US GNP Growth: The Role of Uncertainty

Mawuli Segnon, Rangan Gupta, Stelios Bekiros and Mark Wohar

201666: Analysis of Herding in REITs of an Emerging Market: The Case of Turkey

Omokolade Akinsomi, Yener Coskun and Rangan Gupta

201665: Merger and Acquisitions in South African Banking: A Network DEA Model

Peter Wanke, Andrew Maredza and Rangan Gupta

201663: Is Inflation Persistence Different in Reality?

Nikolaos Antonakakis, Juncal Cuñado, Luis Gil-Alana and Rangan Gupta

201662: Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Elie Bouri, Rangan Gupta and David Roubaud

201661: Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model

Christina Christou, Juncal Cuñado, Rangan Gupta and Christis Hassapis

201660: Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies?

Xu Huang, Hossein Hassani, Mansi Ghodsi, Zinnia Mukherjee and Rangan Gupta

201659: Forecasting using a Nonlinear DSGE Model

Sergey Ivashchenko and Rangan Gupta

201658: Efficiency in South African Agriculture: A Two-Stage Fuzzy Approach

Goodness Aye, Rangan Gupta and Peter Wanke

201657: Impact of US Biofuel Policy on Food Price in South Africa: Implication for Health and Nutrition

Goodness Aye

201656: Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach

Helena Chuliá, Rangan Gupta, Jorge Uribe and Mark Wohar

201655: Near-Rational Expectations: How Far are Surveys from Rationality?

Sergey Ivashchenko and Rangan Gupta

201654: Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks

Elie Bouri, Luis Gil-Alana, Rangan Gupta and David Roubaud

201653: The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model

Goodness Aye, Mehmet Balcilar and Rangan Gupta

201652: The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa

Rangan Gupta, Hylton Hollander and Mark Wohar

201651: Social Rate of Return to R&D on Various Energy Technologies: Where Should We Invest More? A Study of G7 Countries

Roula Inglesi-Lotz

201650: South African Trends in Health Outcomes and Health-Related Behaviour: Evidence from Repeated Cross-Sectional Surveys

Kehinde Omotoso and Steven Koch

201649: Counting the Cost of Drought Induced Productivity Losses in an Agro-Based Economy: The Case of Uganda

Nicholas Kilimani, Jan van Heerden, Heinrich Bohlmann and Elizabeth Roos

201648: Geopolitical Risks and Stock Market Dynamics of the BRICS

Mehmet Balcilar, Matteo Bonato, Riza Demirer and Rangan Gupta

201647: Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach

Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller

201646: Does U.S. Macroeconomic News Make the South African Stock Market Riskier?

Esin Cakan and Rangan Gupta

201645: Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch