Working Papers

From University of Pretoria, Department of Economics
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201366: Biased Bayesian learning with an application to the risk-free rate puzzle

Alexander Ludwig and Alexander Zimper

201365: The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains

Tsangyao Chang, Xiao-lin Li, Stephen Miller, Mehmet Balcilar and Rangan Gupta

201364: The impact of statistical learning on violations of the sure-thing principle

Nicky Nicholls, Aylit Romm and Alexander Zimper

201363: Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa

Mehmet Balcilar, Renee van Eyden, Roula Inglesi-Lotz and Rangan Gupta

201362: Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012

Goodness Aye and Rangan Gupta

201361: Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests

Ahdi Noomen Ajmi, Rangan Gupta and Patrick Kanda

201360: Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test

Tsangyao Chang, Wen-Yi Chen, Rangan Gupta and Duc Khuong Nguyen

201359: Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach

Christophe André, Luis Gil-Alana and Rangan Gupta

201358: Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests

Ahdi Noomen Ajmi, Goodness Aye, Mehmet Balcilar, Ghassen El Montasser and Rangan Gupta

201357: Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model

Adnen Ben Nasr, Ahdi Noomen Ajmi and Rangan Gupta

201356: On the Welfare Equivalence of Asset Markets and Banking in Diamond Dybvig Economies

Alexander Zimper

201355: Research Output and Economic Growth in 34 OECD countries: A Bootstrap Panel Causality Exercise

Hamilton Ntuli, Roula Inglesi-Lotz, Tsangyao Chang and Anastassios Pouris

201354: Inflation and Economic Growth in the SADC: Some Panel Time-Series Evidence

Manoel Bittencourt, Renee van Eyden and Monaheng Seleteng

201353: Health Care Facility Choice and User Fee Abolition: Regression Discontinuity in a Multinomial Choice Setting

Steven Koch and Jeffrey Racine

201352: Debt sustainability and financial crises in South Africa

Ruthira Naraidoo and Leroi Raputsoane

201351: Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Rangan Gupta, Shawkat Hammoudeh, Mampho Modise and Duc Khuong Nguyen

201350: Time-Varying Causality between Research Output and Economic Growth in the US

Roula Inglesi-Lotz, Mehmet Balcilar and Rangan Gupta

201349: The Dynamic Relationship between House Prices and Output: Evidence from US Metropolitan Statistical Areas

Nicholas Apergis, Beatrice Desiree Simo-Kengne, Rangan Gupta and Tsangyao Chang

201348: Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors

Goodness Aye, Stephen Miller, Rangan Gupta and Mehmet Balcilar

201347: Water Resource Accounts for Uganda: Use and Policy Relevancy

Nicholas Kilimani

201346: Do we need a global VAR model to forecast inflation and output in South Africa?

Annari De Waal, Renee van Eyden and Rangan Gupta

201345: The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach

Xiao-lin Li, Mehmet Balcilar, Rangan Gupta and Tsangyao Chang

201344: Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa

Goodness Aye, Mehmet Balcilar, John Dunne, Rangan Gupta and Renee van Eyden

201343: Evolution of Monetary Policy in the US: The Role of Asset Prices

Beatrice Desiree Simo-Kengne, Stephen Miller and Rangan Gupta

201342: Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models

Goodness Aye, Pami Dua and Rangan Gupta

201341: Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach

Janneke Dlamini, Mehmet Balcilar, Rangan Gupta and Roula Inglesi-Lotz

201340: The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries

Wendy Cowan, Tsangyao Chang, Roula Inglesi-Lotz and Rangan Gupta

201339: Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests

Ahdi Noomen Ajmi, Goodness Aye, Mehmet Balcilar and Rangan Gupta

201338: Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty

Rangan Gupta, Shawkat Hammoudeh, Won Joong Kim and Beatrice Desiree Simo-Kengne

201337: Causality between Research Output and Economic Growth in BRICS

Roula Inglesi-Lotz, Tsangyao Chang and Rangan Gupta

201336: Social Status, Inflation and Endogenous Growth in a Cash-in-Advance Economy: A Reconsideration

Rangan Gupta and Lardo Stander

201335: Speculative Trade Equilibria with Incorrect Price Anticipations

Alexander Zimper

201334: Bank Deposit Contracts Versus Financial Market Participation in Emerging Economies

Alexander Zimper

201333: Identifying a financial conditions index for South Africa

Kirsten Thompson, Renee van Eyden and Rangan Gupta

201332: The 1996 User Fee Abolition in South Africa: A Difference-in-Difference Analysis

Anna Brink and Steven Koch

201331: User Fee Abolition in South Africa: Re-Evaluating the Impact?

Steven Koch

201330: Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach

Janneke Dlamini, Mehmet Balcilar, Rangan Gupta and Roula Inglesi-Lotz

201329: Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach

Wendy Nyakabawo, Stephen Miller, Mehmet Balcilar, Sonali Das and Rangan Gupta

201328: The impact of economic shocks in the rest of the world on South Africa: Evidence from a global VAR

Annari De Waal and Renee van Eyden

201327: Evolution of Monetary Policy Transmission Mechanism in Malawi: A TVP-VAR Approach

Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi

201326: The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data

Nicholas Apergis, Beatrice Desiree Simo-Kengne and Rangan Gupta

201325: Time-Varying Effects of Housing and Stock Prices on U.S. Consumption

Beatrice Desiree Simo-Kengne, Stephen Miller, Rangan Gupta and Goodness Aye

201324: Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function

Tsangyao Chang, Tsung-pao Wu and Rangan Gupta

201323: Housing and the Business Cycle in South Africa

Goodness Aye, Mehmet Balcilar, Adel Bosch and Rangan Gupta

201322: Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure

Nicholas Apergis, Beatrice Desiree Simo-Kengne and Rangan Gupta

201321: Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries

Christophe André, Luis Gil-Alana and Rangan Gupta

201320: The Causal Relationship between Imports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests

Tsangyao Chang, Beatrice Desiree Simo-Kengne and Rangan Gupta

201319: The Causal Relationship between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests

Tsangyao Chang, Beatrice Desiree Simo-Kengne and Rangan Gupta

201318: Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach

Rangan Gupta and Mampho Modise

201317: The Causal Relationship between House Prices and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests

Tsangyao Chang, Beatrice Desiree Simo-Kengne and Rangan Gupta