Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

202401: Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention

Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202340: Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models

Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni and Rangan Gupta

202339: Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data

Afees Salisu and Rangan Gupta

202338: Governance and Debt Accumulation in Africa

Augustin Fosu and Dede Gafa

202337: Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks

Matteo Foglia, Vasilios Plakandaras, Rangan Gupta and Elie Bouri

202336: Energy-Related Uncertainty and International Stock Market Volatility

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Elie Bouri

202335: Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States

Rangan Gupta and Damien Moodley

202334: Examining the Interlinkage between CO2 Emissions and Inclusive Human Development: Unveiling the Significance of Effective Institutions

Alanda Venter and Roula Inglesi-Lotz

202333: Oil Price Uncertainty and Predictability of Multi-Scale Positive and Negative Bubbles in the BRICS: Evidence from a Nonparametric Causality-in-Quantiles Test

Rangan Gupta, Jacobus Nel and Joshua Nielsen

202332: Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty

Renee van Eyden, Rangan Gupta, Xin Sheng and Joshua Nielsen

202331: Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States

Chevaughn van der Westhuizen, Renee van Eyden and Goodness Aye

202330: Housing Market Variables and Predictability of State-Level Stock Market Volatility of the United States: Evidence from a GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta and Oguzhan Cepni

202329: Forecasting International Financial Stress: The Role of Climate Risks

Santino Del Fava, Rangan Gupta, Christian Pierdzioch and Lavinia Rognone

202328: Comparing Risk Profiles of International Stock Markets as Functional Data: COVID-19 versus the Global Financial Crisis

Ryan Shackleton, Sonali Das and Rangan Gupta

202327: Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta, Oguzhan Cepni and Petre Caraiani

202326: Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa

Kejin Wu, Sayar Karmakar, Rangan Gupta and Christian Pierdzioch

202325: Stock Market Bubbles and the Realized Volatility of Oil Price Returns

Rangan Gupta, Joshua Nielsen and Christian Pierdzioch

202324: Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202323: Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model

Afees Salisu, Wenting Liao, Rangan Gupta and Oguzhan Cepni

202322: Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data

Mehmet Balcilar, Zinnia Mukherjee, Rangan Gupta and Sonali Das

202321: The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020

Desiree Kunene, Renee van Eyden, Petre Caraiani and Rangan Gupta

202320: Financial Stress and Realized Volatility: The Case of Agricultural Commodities

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202319: Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

Rangan Gupta, Savanah Hall and Christian Pierdzioch

202318: Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023

Rangan Gupta, Qiang Ji, Christian Pierdzioch and Vasilios Plakandaras

202317: Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets

Riza Demirer, David Gabauer, Rangan Gupta and Joshua Nielsen

202316: Forecasting the Realized Volatility of Agricultural Commodity Prices: Does Sentiment Matter?

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202315: Poverty, Inequality, and Governance: A Global Perspective

Augustin Fosu and Dede Gafa

202314: Natural Resources, Institutions, and Economic Development in Africa

Augustin Fosu and Dede Gafa

202313: Progress on Poverty in Africa: The Importance of Growth and Inequality

Augustin Fosu

202312: Infrastructure and the Impact of Foreign Direct Investment (FDI) on Export Diversification: Evidence from Africa

Augustin Fosu

202311: Realized Stock-Market Volatility of the United States and the Presidential Approval Rating

Rangan Gupta, Yuvana Jaichand, Christian Pierdzioch and Renee van Eyden

202310: Stock Market Volatility and Multi-Scale Positive and Negative Bubbles

Rangan Gupta, Jacobus Nel, Joshua Nielsen and Christian Pierdzioch

202309: Fiscal Policy and Stock Markets at the Effective Lower Bound

Christophe André, Petre Caraiani and Rangan Gupta

202308: Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach

Afees Salisu, Riza Demirer and Rangan Gupta

202307: Quantifying the Economic Effects of Land Reform Policy in South Africa: A Computable General Equilibrium Analysis

Khumbuzile Mosoma, Heinrich Bohlmann, Sifiso Ntombela and Renee van Eyden

202306: Measuring Total Factor Productivity in the South African Agricultural Sector Using a Growth Accounting Framework

Khumbuzile Mosoma, Renee van Eyden and Heinrich Bohlmann

202305: Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India

Oguzhan Cepni, Rangan Gupta, Jacobus Nel and Joshua Nielsen

202304: Geopolitical Risk and Inflation Spillovers across European and North American Economies

Elie Bouri, David Gabauer, Rangan Gupta and Harald Kinateder

202303: Drivers of Realized Volatility for South Africa (and the BRIC Countries): Fundamentals versus Sentiment

Rangan Gupta, Jacobus Nel and Christian Pierdzioch

202302: The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States

Xin Sheng, Rangan Gupta and Qiang Ji

202301: Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?

Haohua Li, Elie Bouri, Rangan Gupta and Libing Fang

202259: Basic Needs (In)Security and Subjective Equivalence Scales

Steven Koch

202258: Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies

Jiawen Luo, Oguzhan Cepni, Riza Demirer and Rangan Gupta

202257: Electric Vehicles Market and Policy Conditions: Identifying South African Policy ``Potholes"

Jacobus Nel and Roula Inglesi-Lotz

202256: Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries

Renee van Eyden, Rangan Gupta, Joshua Nielsen and Elie Bouri

202255: Economic Disasters and Inequality

Bruno Ćorić and Rangan Gupta

202254: Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa

Chevaughn van der Westhuizen, Renee van Eyden and Goodness Aye

202253: The Role of Institutions on the Global Economy-Emissions Nexus

Alanda Venter and Roula Inglesi-Lotz

202252: Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models

Oguzhan Cepni, Christina Christou and Rangan Gupta

202251: Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States

Oguzhan Cepni, Rangan Gupta, Wenting Liao and Jun Ma