Working Papers

From University of Pretoria, Department of Economics
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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

201485: Oil Price Uncertainty and Savings in South Africa

Diksha Dave and Goodness Aye

201484: Does Oil Price Uncertainty Matter for Stock Returns in South Africa?

Goodness Aye

201483: The Causal Relationship between Energy Consumption and Economic Growth in South Africa: New Evidence from Asymmetric Causality in Frequency Domain

Omid Ranjbar, Tsangyao Chang, Elmarie Nel and Rangan Gupta

201482: Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis

Hossein Hassani, Zara Ghodsi, Rangan Gupta and Mawuli Segnon

201481: Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks

Won Joong Kim, Shawkat Hammoudeh, Jun Seog Hyun and Rangan Gupta

201480: Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes

John Weirstrass Muteba Mwamba, Shawkat Hammoudeh and Rangan Gupta

201479: Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?

Ghassen El Montasser, Rangan Gupta, Andre Martins and Peter Wanke

201478: A Simple Method for Computing Equilibria when Asset Markets Are Incomplete

Wei Ma

201477: Energy Efficiency of Selected OECD Countries: A Slacks Based Model with Undesirable Outputs

Nicholas Apergis, Goodness Aye, Carlos Barros, Rangan Gupta and Peter Wanke

201476: Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries?

Abdulnasser Hatemi-J, Rangan Gupta, Axel Kasongo, Thabo Mboweni and Ndivhuho Netshitenzhe

201475: Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality

Christian Pierdzioch, Monique Reid and Rangan Gupta

201474: Are there Environmental Kuznets Curves for US State-Level CO2 Emissions?

Nicholas Apergis, Christina Christou and Rangan Gupta

201473: Monetary Integration in SADC: Assessment of Policy Coordination and Real Effective Exchange Rate Stability

Mulatu Zehirun, Marthinus Breitenbach and Francis Kemegue

201472: The Impact of the 2014 Platinum Mining Strike in South Africa: An Economy-Wide Analysis

Heinrich Bohlmann, Petor Dixon, Maureen Rimmer and Jan Van Heerden

201471: Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test

Vassilios Babalos, Mehmet Balcilar, Tumisang Loate and Shingie Chisoro

201470: The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis

Mehmet Balcilar, Renee van Eyden, Josine Uwilingiye and Rangan Gupta

201469: Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity

Rangan Gupta, Gbeada Seu Epse Kean, Mpho Tsebe, Nthabiseng Tsoanamatsie and João Sato

201468: The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach

Mehmet Balcilar, Shinhye Chang, Rangan Gupta, Vanessa Kasongo and Clement Kyei

201467: Causal Link between Oil Price and Uncertainty in India

Ghassen El Montasser, Kenza Aggad, Louise Clark, Rangan Gupta and Shannon Kemp

201466: Is there an Environmental Kuznets Curve for South Africa? A Co-Summability Approach Using a Century of Data

Adnen Ben Nasr, Rangan Gupta and Joao Sato

201465: A Life-Cycle Model with Ambiguous Survival Beliefs

Max Groneck and Alexander Ludwig

201464: Optimal Public Investment, Growth, and Consumption: Fresh Evidence from African Countries

Augustin Fosu, Yoseph Getachew and Thomas Ziesemer

201463: On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data

Christian Pierdzioch, Monique Reid and Rangan Gupta

201462: Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence

Furkan Emirmahmutoglu, Rangan Gupta, Stephen Miller and Tolga Omay

201461: The Nonparametric Relationship between Oil and South African Agricultural Prices

Ahdi Noomen Ajmi, Rangan Gupta, Monique Kruger, Nicola Schoeman and Leoné Walters

201460: The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model

Mehmet Balcilar, Rangan Gupta and Charl Jooste

201459: The Asymmetric Effect of Oil Price on Growth across US States

Nicholas Apergis, Alper Aslan, Goodness Aye and Rangan Gupta

201458: Persistence in Precious Metal Prices: A Fractional Integration Approach with Structural Breaks

Luis Gil-Alana, Shinhye Chang, Mehmet Balcilar, Goodness Aye and Rangan Gupta

201457: Time-Varying Persistence in US Inflation

Massimiliano Caporin and Rangan Gupta

201456: Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting

Amine Lahiani, Shawkat Hammoudeh and Rangan Gupta

201455: Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data

Christian Pierdzioch, Monique Reid and Rangan Gupta

201454: Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market

Omokolade Akinsomi, Goodness Aye, Vassilios Babalos, Fotini Economou and Rangan Gupta