Working Papers

From University of Pretoria, Department of Economics
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202250: Climate Shocks and Wealth Inequality in the United Kingdom: Evidence from Monthly Data

Xin Sheng, Carolyn Chisadza, Rangan Gupta and Christian Pierdzioch

202249: Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty

Sisa Shiba, Goodness Aye, Rangan Gupta and Samrat Goswami

202248: Carbon Tax and its Impact on South African Households

Jessika Bohlmann, Roula Inglesi-Lotz and Heinrich Bohlmann

202247: Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202246: Climate Risks and State-Level Stock-Market Realized Volatility

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202245: Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data

Vasilios Plakandaras, Rangan Gupta, Sayar Karmakar and Mark Wohar

202244: Climate Change and Inequality

Carolyn Chisadza, Matthew Clance, Xin Sheng and Rangan Gupta

202243: US Monetary Policy and BRICS Stock Market Bubbles

Rangan Gupta, Jacobus Nel and Joshua Nielsen

202242: Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data

Jacobus Nel, Rangan Gupta, Mark Wohar and Christian Pierdzioch

202241: Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model

Sayar Karmakar, Rangan Gupta, Oguzhan Cepni and Lavinia Rognone

202240: Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach

Elie Bouri, Rangan Gupta, Hardik Marfatia and Jacobus Nel

202239: On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal

Xolani Sibande, Riza Demirer, Mehmet Balcilar and Rangan Gupta

202238: Forecasting More than Three Centuries of Economic Growth of the United Kingdom: The Role of Climate Risks

Hardik Marfatia, Rangan Gupta, Goodness Aye and Christian Pierdzioch

202237: Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks

Rangan Gupta, Jacobus Nel, Afees Salisu and Qiang Ji

202236: The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States

Renee van Eyden, Geoffrey Ngene, Oguzhan Cepni and Rangan Gupta

202235: Family, External Environment and Gender Attitudes: Evidence from Students' Survey

Tendai Zawaira, Matthew Clance and Carolyn Chisadza

202234: Time-Varying Parameter Four-Equation DSGE Model

Rangan Gupta and Xiaojin Sun

202233: Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions

Elie Bouri, Rangan Gupta, Jacobus Nel and Sisa Shiba

202232: Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality

Afees Salisu, Riza Demirer and Rangan Gupta

202231: Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions

Mehmet Balcilar, Rangan Gupta and Jacobus Nel

202230: Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach

Petre Caraiani, Rangan Gupta, Jacobus Nel and Joshua Nielsen

202229: The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index

Elie Bouri, Rangan Gupta and Luca Rossini

202228: Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)

David Gabauer, Rangan Gupta, Sayar Karmakar and Joshua Nielsen

202227: Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500

Imran Yousaf, Vasilios Plakandaras, Elie Bouri and Rangan Gupta

202226: Revisiting International House Price Convergence Using House Price Level Data

Christophe André, Christina Christou and Rangan Gupta

202225: Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility

Sisa Shiba, Juncal Cunado, Rangan Gupta and Samrat Goswami

202224: Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns

Elie Bouri, Afees Salisu and Rangan Gupta

202223: Climate Change and Child Health: A Nigerian Perspective

Eduard van der Merwe, Matthew Clance and Eleni Yitbarek

202222: Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets

Alex Plastun, Xolani Sibande, Rangan Gupta and Qiang Ji

202221: Financial Development and Income Inequality: Evidence from Advanced, Emerging and Developing Economies

Carolyn Chisadza and Mduduzi Biyase

202220: The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests

Goodness Aye, Riza Demirer, Rangan Gupta and Jacobus Nel

202219: The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks

Shixuan Wang, Rangan Gupta, Matteo Bonato and Oguzhan Cepni

202218: Herding in International REITs Markets around the COVID-19 Pandemic

Keagile Lesame, Geoffrey Ngene, Rangan Gupta and Elie Bouri

202217: Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

202216: Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach

Rangan Gupta and Christian Pierdzioch

202215: Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks

Serda Ozturk, Riza Demirer and Rangan Gupta

202214: Symmetric and Asymmetric Effects of Financial Deepening on Income Inequality in South Africa

Mduduzi Biyase and Carolyn Chisadza

202213: Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models

Elie Bouri, Christina Christou and Rangan Gupta

202212: On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data

Juncal Cunado, David Gabauer, Rangan Gupta and Chien-Chiang Lee

202211: Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta and Elie Bouri

202210: Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202209: Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend

Luis Gil-Alana, Rangan Gupta, Laura Sauci and Nieves Carmona-Gonzalez

202208: Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202207: The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202206: Inflation-Inequality Puzzle: Is it Still Apparent?

Edmond Berisha, Orkideh Gharehgozli and Rangan Gupta

202205: Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?

Oguzhan Cepni, Rangan Gupta, Daniel Pienaar and Christian Pierdzioch

202204: Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form

Sergey Ivashchenko, Semih Çekin, Rangan Gupta and Chien-Chiang Lee

202203: Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks

Mawuli Segnon, Rangan Gupta and Bernd Wilfling

202202: Institutions and African Economic Development

Augustin Fosu

202201: Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data

Rangan Gupta, Sayar Karmakar and Christian Pierdzioch