Working Papers

From University of Pretoria, Department of Economics
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201304: The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

Goodness Aye, Mehmet Balcilar, Adel Bosch, Rangan Gupta and Francois Stofberg

201303: A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa

Rangan Gupta, Charl Jooste and Kanyane Matlou

201302: MACRO SHOCKS AND HOUSE PRICES IN SOUTH AFRICA

Beatrice Desiree Simo-Kengne, Rangan Gupta and Goodness Aye

201301: Economic Growth and Inequality: Evidence from the Young Democracies of South America

Manoel Bittencourt

201235: Predicting BRICS Stock Returns Using ARFIMA Models

Goodness Aye, Mehmet Balcilar, Rangan Gupta, Nicholas Kilimani, Amandine Nakumuryango and Siobhan Redford

201234: A Greek wedding in SADC? - Testing for structural symmetry towards SADC monetary integration

Marthinus Breitenbach, Francis Kemegue and Mulatu Zerihun

201233: Testing for Persistence with Breaks and Outliers in South African House Prices

Luis Gil-Alana, Goodness Aye and Rangan Gupta

201232: Monetary Policy Response to Capital Inflows in Form of Foreign Aid in Malawi

Chance Mwabutwa, Nicola Viegi and Manoel Bittencourt

201231: Monetary policy and inflation in South Africa: A VECM augmented with foreign variables

Annari De Waal and Renee van Eyden

201230: Was the Recent Downturn in US GDP Predictable?

Mehmet Balcilar, Rangan Gupta, Anandamayee Majumdar and Stephen Miller

201229: Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending

Renee van Eyden, Goodness Aye and Rangan Gupta

201228: Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Goodness Aye, Mehmet Balcilar, Rangan Gupta, Charl Jooste, Stephen Miller and Zeynel Ozdemir

201227: HOUSE PRICES AND BALANCE OF TRADE DYNAMICS IN SOUTH AFRICA: EVIDENCE FROM AN AGNOSTIC IDENTIFICATION PROCEDURE

Beatrice Desiree Simo-Kengne, Rangan Gupta and Goodness Aye

201226: The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US

Mehmet Balcilar, Rangan Gupta and Stephen Miller

201225: The sensitivity of the South African industrial sector�s electricity consumption to electricity price fluctuations

Roula Inglesi-Lotz

201224: Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Goodness Aye, Rangan Gupta and Mampho Modise

201223: A decision-theoretic model of asset-price underreaction and overreaction to dividend news

Alexander Ludwig and Alexander Zimper

201222: IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL

Beatrice Desiree Simo-Kengne, Mehmet Balcilar, Rangan Gupta, Monique Reid and Goodness Aye

201221: The emergence of "fifty-fifty" probability judgements in a conditional Savage world

Alexander Zimper

201220: METROPOLITAN HOUSE PRICES IN INDIA: DO THEY CONVERGE?

Goodness Aye, Samrat Goswami and Rangan Gupta

201219: The Abolition of User Fees and the Demand for Health Care: Re-Evaluating the Impact

Steven Koch

201218: Efficiency of Optimal Taxation in a Dynamic Stochastic Environment: Case of South Africa

Jacques Ngoie and Nicolaas Schoeman

201217: Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy

Jacques Ngoie and Arnold Zellner

201216: Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Vittorio Peretti, Rangan Gupta and Roula Inglesi-Lotz

201215: The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises

Greg Farrell, Shakill Hassan and Nicola Viegi

201214: Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment

Rangan Gupta

201213: Reducing illegal immigration to South Africa: A dynamic CGE analysis

Heinrich Bohlmann

201212: Macroeconomic Surprises and Stock Returns in South Africa

Rangan Gupta and Monique Reid

201211: THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs

Beatrice Desiree Simo-Kengne, Rangan Gupta and Manoel Bittencourt

201210: Financial Reforms and Consumption Behaviour in Malawi

Manoel Bittencourt, Chance Mwabutwa and Nicola Viegi

201209: Structural Breaks and Predictive Regressions Models of South African Equity Premium

Goodness Aye, Rangan Gupta and Mampho Modise

201208: Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"

Rangan Gupta and Roula Inglesi-Lotz

201207: Modeling and Policy Analysis for the U.S. Science Sector

Jacques Ngoie and Arnold Zellner

201206: Analysing the Effects of Fiscal Policy Shocks in the South African Economy

Charl Jooste, Guangling Liu and Ruthira Naraidoo

201205: Yet Another Look at the Modernisation Hypothesis: Evidence from Latin America

Manoel Bittencourt

201204: Real Interest Rate Persistence in South Africa: Evidence and Implications

Sonali Das, Rangan Gupta, Patrick Kanda, Monique Reid, Christian Tipoy and Mulatu Zerihun

201203: Economic Growth and Government Debt: Evidence from the Young Democracies of Latin America

Manoel Bittencourt

201202: Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach

Goodness Aye and Rangan Gupta

201201: SHOULD THE SOUTH AFRICAN RESERVE BANK RESPOND TO EXCHANGE RATE FLUCTUATIONS? EVIDENCE FROM THE COSINE-SQUARED CEPSTRUM

Rangan Gupta

201136: Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach

Goodness Aye, Mehmet Balcilar and Rangan Gupta

201135: Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production

Rangan Gupta, Yuxiang Ye and Christopher Sako

201134: Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

Riane de Bruyn, Rangan Gupta and Lardo Stander

201133: Intertemporal portfolio allocation and hedging demand: An application to South Africa

Esti van Wyk de Vries, Rangan Gupta and Renee van Eyden

201132: Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection

Mirriam Chama-Chiliba, Rangan Gupta, Nonophile Nkambule and Naomi Tlotlego

201131: Projecting the External Health Costs of a Coal-Fired Power Plant: The Case of Kusile

Johannes Riekert and Steven Koch

201130: Relationship between House Prices and Inflation in South Africa: An ARDL Approach

Roula Inglesi-Lotz and Rangan Gupta

201129: REMITTANCES AND THE DUTCH DISEASE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL APPROACH

Emmanuel Owusu-Sekyere, Renee van Eyden and Francis Kemegue

201128: What Drives Remittance Inflows to Sub-Saharan Africa? A Dynamic Panel Approach

Francis Kemegue, Emmanuel Owusu-Sekyere and Renee van Eyden

201127: Remittance Inflows to Sub-Saharan Africa: The Case of SADC

Renee van Eyden, Emmanuel Owusu-Sekyere and Francis Kemegue

201125: Coping with Fuel Wood Scarcity: Household Responses in Rural Ethiopia

Abebe Damte, Steven Koch and Alemu Mekonnen