Working Papers

From University of Pretoria, Department of Economics
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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

201517: Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa

Mehmet Balcilar, Rangan Gupta, Renee van Eyden, Kirsten Thompson and Anandamayee Majumdar

201516: The Macroeconomic Effects of Uncertainty Shocks in India

Lumengo Bonga-Bonga, Rangan Gupta and Charl Jooste

201515: Modeling Persistence of Carbon Emission Allowance Prices

Luis Gil-Alana, Fernando Pérez de Gracia and Rangan Gupta

201514: Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests

Vassilios Babalos, Clement Kyei and Evangelos Poutos

201513: A Categorisation and Evaluation of Rhino Management Policies

Douglas Crookes and James Blignaut

201512: Forecasting the US CPI: Does Nonlinearity Matter?

Marcos Álvarez-Díaz and Rangan Gupta

201511: Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data

Thomas Lux, Mawuli Segnon and Rangan Gupta

201510: Do Precious Metal Prices Help in Forecasting South African Inflation?

Mehmet Balcilar, Nico Katzke and Rangan Gupta

201509: Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

Nikolaos Antonakakis, Rangan Gupta and Christophe André

201508: On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects

Stelios Bekiros, Rangan Gupta and Clement Kyei

201507: Trends and Cycles in Historical Gold and Silver Prices

Luis Gil-Alana, Goodness Aye and Rangan Gupta

201506: The Macroeconomic Effects of Government Spending Under Fiscal Foresight

Charl Jooste and Ruthira Naraidoo

201505: Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach

Stelios Bekiros and Rangan Gupta

201504: Inflation-Growth Nexus in Africa: Evidence from a Pooled CCE Multiple Regime Panel Smooth Transition Model

Renee van Eyden, Tolga Omay and Rangan Gupta

201503: Uncertainty and Crude Oil Returns

Riadh Aloui, Rangan Gupta and Stephen Miller

201502: Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests

Mulatu Zehirun, Marthinus Breitenbach and Francis Kemegue

201501: The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach

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

201486: Causality between Oil and South Africa’s Food Price: Time Varying Approach

Goodness Aye