Working Papers

From University of Pretoria, Department of Economics
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201568: Portfolio Flows in a Two-Country RBC Model with Financial Intermediaries

Haakon Kavli and Nicola Viegi

201567: Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve

Rangan Gupta, Hylton Hollander and Max Steinbach

201566: Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data

Mulatu Zerihun, Juncal Cuñado and Rangan Gupta

201565: Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers

Abdulnasser Hatemi-J, Tsangyao Chang, Wen-Yi Chen, Feng-Li Lin and Rangan Gupta

201564: The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk

Giovanni Bonaccolto, Massimiliano Caporin and Rangan Gupta

201563: The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework

Rangan Gupta, Charl Jooste and Omid Ranjbar

201562: Vulnerability to Climatic Variability: An Assessment of Drought Prevalence on Water Resources Availability and Implications for the Ugandan Economy

Nicholas Kilimani

201561: Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models

Hossein Hassani, Emmanuel Silva, Rangan Gupta and Sonali Das

201560: Energy Demand in South Africa: Is it Asymmetric?

Rangan Gupta, Roula Inglesi-Lotz and John Weirstrass Muteba Mwamba

201559: Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model

Goodness Aye, Tsangyao Chang and Rangan Gupta

201558: The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-Frequency Markov-Switching Vector Autoregressive Approach

Mehmet Balcilar, Rangan Gupta and Mawuli Segnon

201557: A New International Database on Financial Fragility

Svetlana Andrianova, Badi Baltagi, Thorsten Beck, Panicos Demetriades, David Fielding, Stephen Hall, Steven Koch, Robert Lensink, Johan Rewilak and Peter Rousseau

201556: The Demand for Reproductive Health Care

Gauthier Kashalala and Steven Koch

201555: Globalisation and Conflicts: A Theoretical Approach

Bonginkosi Mamba, Andre Jordaan and Matthew Clance

201554: Do Commodities Herd? Evidence from a Time-Varying Stochastic Volatility Model

Vassilios Babalos, Stavros Stavroyiannis and Rangan Gupta

201553: Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data

Luis Gil-Alana, Juncal Cuñado and Rangan Gupta

201552: Forecasting Accuracy Evaluation of Tourist Arrivals: Evidence from Parametric and Non-Parametric Techniques

Hossein Hassani, Emmanuel Silva, Nikolaos Antonakakis, George Filis and Rangan Gupta

201551: The South African Economic Response to Monetary Policy Uncertainty

Mehmet Balcilar, Rangan Gupta and Charl Jooste

201550: Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models

Mawuli Segnon, Thomas Lux and Rangan Gupta

201549: Social Rate of Return to R&D on Various Energy Technologies: Where Should We Invest More? A Study of G7 Countries

Roula Inglesi-Lotz

201548: The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach

Periklis Gogas, Theophilos Papadimitriou, Vasilios Plakandaras and Rangan Gupta

201547: Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models

Rangan Gupta

201546: Detection of Multiple Bubbles in South African Electricity Prices

Rangan Gupta and Roula Inglesi-Lotz

201545: Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis

Stelios Bekiros, Rangan Gupta and Anandamayee Majumdar

201544: Identifying Periods of US Housing Market Explosivity

Mehmet Balcilar, Nico Katzke and Rangan Gupta

201543: Forecasting Core Inflation: The Case of South Africa

Franz Ruch, Mehmet Balcilar, Mampho Modise and Rangan Gupta

201542: Convergence of Health Care Expenditures across the US States: A Reconsideration

Nicholas Apergis, Tsangyao Chang, Christina Christou and Rangan Gupta

201541: Trust and Quality of Growth: A Note

Simplice Asongu and Rangan Gupta

201540: An Economy-Wide Evaluation of New Power Generation in South Africa: The Case of Kusile and Medupi

Jessica Bohlmann, Heinrich Bohlmann and Roula Inglesi-Lotz

201539: Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States

Nicholas Apergis, Christina Christou, Rangan Gupta and Stephen Miller

201538: Hydroelectricity Consumption and Economic Growth Nexus: Evidence from a Panel of Ten Largest Hydroelectricity Consumers

Nicholas Apergis, Tsangyao Chang, Rangan Gupta and Emmanuel Ziramba

201537: Identifying Asymmetries between Socially Responsible and Conventional Investments

Nicholas Apergis, Vassilios Babalos, Christina Christou and Rangan Gupta

201536: A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices

Stelios Bekiros, Rangan Gupta and Clement Kyei

201535: Bayesian Learning with Multiple Priors and Non-Vanishing Ambiguity

Alexander Zimper and Wei Ma

201534: Income Inequality: A State-by-State Complex Network Analysis

Periklis Gogas, Rangan Gupta, Stephen Miller, Theophilos Papadimitriou and Georgios Sarantitis

201533: Debunking the Myth that a Legal Trade will Solve the Rhino Horn Crisis: A System Dynamics Model for Market Demand

Douglas Crookes and James Blignaut

201532: The Relationship between Healthcare expenditures and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis

Guglielmo Maria Caporale, Juncal Cuñado, Luis Gil - Alana and Rangan Gupta

201531: The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach

Rangan Gupta and Kevin Kotze

201530: Optimal Information Transmission

Wei Ma

201529: Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?

Mehmet Balcilar, Rangan Gupta, Charl Jooste and Omid Ranjbar

201527: The Short Term Economic Impact of Levying E-Tolls on Industries

Francois Stofberg and Jan van Heerden

201526: Education and Fertility: Panel Evidence from sub-Saharan Africa

Carolyn Chisadza and Manoel Bittencourt

201525: How Independent are the South African Reserve Bank’s Monetary Policy Decisions? Evidence from a Global New-Keynesian DSGE Model

Annari De Waal, Rangan Gupta and Charl Jooste

201524: International Stock Return Predictability: Is the Role of U.S. Time-Varying?

Goodness Aye, Mehmet Balcilar and Rangan Gupta

201523: Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices

Aviral Tiwari, Claudiu Albulescu and Rangan Gupta

201522: The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Mehmet Balcilar, Stelios Bekiros and Rangan Gupta

201521: Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy

Nikolaos Antonakakis, Christophe André and Rangan Gupta

201520: Productive Government Spending and its Consequences for the Growth–Inequality Tradeoff

Yoseph Getachew and Stephen J Turnovsky

201519: The Time-Series Linkages between US Fiscal Policy and Asset Prices

Ghassen El Montasser, Rangan Gupta, Charl Jooste and Stephen Miller

201518: Oil Price Forecastability and Economic Uncertainty

Stelios Bekiros, Rangan Gupta and Alessia Paccagnini