Working Papers

From University of Pretoria, Department of Economics
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201619: The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis

Nikolaos Antonakakis, Tsangyao Chang, Juncal Cuñado and Rangan Gupta

201618: An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure

Nicholas Apergis, Rangan Gupta, Chi Keung Lau and Zinnia Mukherjee

201617: Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach

Luis Gil-Alana, Rangan Gupta, Olanrewaju Shittu and Olaoluwa Yaya

201616: Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area

Nikolaos Antonakakis, Christina Christou, Juncal Cuñado and Rangan Gupta

201615: Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis

Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar

201614: Productive Efficiency of Connecticut Long Island Lobster Fishery Using a Finite Mixture Model

Rangan Gupta, Zinnia Mukherjee, Mike Tsionas and Peter Wanke

201613: The Term Premium as a Leading Macroeconomic Indicator

Vasilios Plakandaras, Periklis Gogas, Theophilos Papadimitriou and Rangan Gupta

201612: The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach

Rangan Gupta, Anandamayee Majumdar and Mark Wohar

201611: Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis

Lumengo Bonga-Bonga, Jean Luc Erero and Rangan Gupta

201610: The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches

Goodness Aye, Luis Gil-Alana, Rangan Gupta and Mark Wohar

201609: Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

Mehmet Balcilar, Riza Demirer and Rangan Gupta

201608: Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries

Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar

201607: Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013

Nikolaos Antonakakis, Juncal Cuñado, Rangan Gupta and Mawuli Segnon

201606: LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Ozdemir and Ibrahim Yetkiner

201605: Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries

Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari

201604: Emerging Multinational Corporations: Theoretical and Conceptual Framework

Mustafa Sakr and Andre Jordaan

201603: Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model

Mehmet Balcilar, Rangan Gupta and Kevin Kotze

201602: Dynamic Comovement between Social Infrastructure, Economic Growth and Inequality in South Africa

Sixolile Jafta and Goodness Aye

201601: Effect of Social Infrastructure Investment on Economic Growth and Inequality in South Africa: A SEM Approach

Itumeleng More and Goodness Aye

201599: Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta, Clement Kyei and Mark Wohar

201598: On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

201597: Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis

Shinhye Chang, Rangan Gupta and Stephen Miller

201596: Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model

Mehmet Balcilar, Rangan Gupta, Mampho Modise and John Weirstrass Muteba Mwamba

201595: Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach

Mehmet Balcilar, Rangan Gupta, Duc Khuong Nguyen and Mark Wohar

201594: On International Uncertainty Links: BART-Based Empirical Evidence for Canada

Rangan Gupta, Christian Pierdzioch and Marian Risse

201593: Contraceptive Use and Birth Intervals

Gauthier Kashalala and Steven Koch

201592: Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

201591: Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data

Claudiu Albulescu, Aviral Twari, Stephen Miller and Rangan Gupta

201590: Assessing the Impact of Just-in-Time Methodology, In-Lecture Activities, and Tutor-Assisted Post-Lecture Activities in the Course Experience of First Year Students in Economics at the University of Pretoria

Roula Inglesi-Lotz, Fritz Dresselhaus and Jessika Bohlmann

201589: Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data

Rangan Gupta and Mark Wohar

201588: A Historical Analysis of the US Stock Price Index using Empirical Mode Decomposition over 1791-2015

Aviral Tiwari, Arif Dar, Niyati Bhanja and Rangan Gupta

201587: Unconventional Monetary Policy Shocks in OECD Countries: How Important is the Extent of Policy Uncertainty?

Rangan Gupta and Charl Jooste

201586: The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Rangan Gupta, Won Joong Kim and Clement Kyei

201585: Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR

Rangan Gupta, Eric Olson and Mark Wohar

201584: The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014

Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari

201583: Development, Poverty and Inequality: A Spatial Analysis of South African Provinces

Carlos Barros and Rangan Gupta

201582: The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach

Christophe André, Lumengo Bonga-Bonga, Rangan Gupta and John Weirstrass Muteba Mwamba

201581: The US Real GNP is Trend-Stationary After All

Tolga Omay, Rangan Gupta and Giovanni Bonaccolto

201580: Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes

Luis Gil-Alana, Rangan Gupta, Olusanya Olubusoye and Olaoluwa Yaya

201579: Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note

Nikolaos Antonakakis, Rangan Gupta and John Weirstrass Muteba Mwamba

201578: Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis

Lei Chen, Rangan Gupta, Zinnia Mukherjee and Peter Wanke

201577: The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar

201576: Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test

Nikolaos Antonakakis, Vassilios Babalos and Clement Kyei

201575: Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta and Clement Kyei

201574: Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates

Luis Gil-Alana, Juncal Cuñado and Rangan Gupta

201573: Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States

Nikolaos Antonakakis and Rangan Gupta

201572: Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data

Mehmet Balcilar, Rangan Gupta and Mark Wohar

201571: Energy Efficiency Drivers in South Africa: 1965-2014

Goodness Aye, Rangan Gupta and Peter Wanke

201570: South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Rangan Gupta and Clement Kyei

201569: Labour Market and Monetary Policy in South Africa

Vincent Dadam and Nicola Viegi