Working Papers

From University of Pretoria, Department of Economics
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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

202187: A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict

Xin Sheng and Rangan Gupta

202186: Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests

Nicholas Apergis, Konstantinos Gavriilidis and Rangan Gupta

202185: Equivalence Scales with Endogeneity and Base Independence

Steven Koch

202184: The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?

Xin Sheng, Won Kim Author-wjkim72@konkuk.ac.kr, Rangan Gupta and Qiang Ji

202183: Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century

Mehmet Balcilar, David Gabauer, Rangan Gupta and Christian Pierdzioch

202182: Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach

Yue-Jun Zhang, Han Zhang Author-hanalms@163.com and Rangan Gupta

202181: Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

Sisa Shiba, Juncal Cunado Author-jcunado@unav.es and Rangan Gupta

202180: Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach

Juncal Cunado, David Gabauer and Rangan Gupta

202179: El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202178: Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective

Ruipeng Liu, Mawuli Segnon, Rangan Gupta and Elie Bouri

202177: Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment

Rangan Gupta and Christian Pierdzioch

202176: Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk

Rangan Gupta and Christian Pierdzioch

202175: Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment

Rangan Gupta and Christian Pierdzioch

202174: The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence

Xin Sheng, Hardik Marfatia, Rangan Gupta and Qiang Ji

202173: Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty

Jiqian Wang, Rangan Gupta, Oguzhan Cepni and Feng Ma

202172: Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices

Rangan Gupta and Christian Pierdzioch

202171: Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint

Ahdi Noomen Ajmi and Roula Inglesi-Lotz

202170: Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data

Luis Gil-Alana, Sakiru Solarin and Rangan Gupta

202169: The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses

Hossein Hassani, Mohammad Yeganegi and Rangan Gupta

202168: The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom

Oguzhan Cepni, Hardik Marfatia and Rangan Gupta

202167: Financial Inclusion and Gender Inequality in sub-Saharan Africa

Tendai Zawaira, Matthew Clance, Carolyn Chisadza and Rangan Gupta

202166: Bitcoin Mining Activity and Volatility Dynamics in the Power Market

Sayar Karmakar, Riza Demirer and Rangan Gupta

202165: Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data

Afees Salisu, Christian Pierdzioch, Rangan Gupta and Renee van Eyden

202164: A robust approach for outlier imputation: Singular Spectrum Decomposition

Maryam Movahedifar, Hossein Hassani, Masoud Yarmohammadi, Mahdi Kalantari and Rangan Gupta

202163: Measuring Market Expectations

Christiane Baumeister

202162: Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility

Afees Salisu, Riza Demirer and Rangan Gupta

202161: Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Afees Salisu, Christian Pierdzioch, Rangan Gupta and David Gabauer

202160: The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model

Afees Salisu, Rangan Gupta and Riza Demirer

202159: High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests

Goodness Aye, Christina Christou, Rangan Gupta and Christis Hassapis

202158: A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Rangan Gupta, Christian Pierdzioch and Wing-Keung Wong

202157: Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic

Riza Demirer, Rangan Gupta, Afees Salisu and Renee van Eyden

202156: Slave Trades, Kinship Structures and Women Political Participation in Africa

Leone Walters, Carolyn Chisadza and Matthew Clance

202155: Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events

Renee van Eyden, Rangan Gupta, Jacobus Nel and Elie Bouri

202154: Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model

Afees Salisu, Taofeek Ayinde, Rangan Gupta and Mark Wohar

202153: The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach

Afees Salisu, Rangan Gupta and Abeeb Olaniran

202152: On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

Keagile Lesame, Elie Bouri, David Gabauer and Rangan Gupta

202151: Tracking Weekly State-Level Economic Conditions

Christiane Baumeister, Danilo Leiva-Leon and Eric Sims

202150: Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates

Rangan Gupta, Anandamayee Majumdar, Jacobus Nel and Sowmya Subramaniam

202149: A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model

Afees Salisu, Idris Adediran and Rangan Gupta

202148: Human Capital and the Timing of the First Birth

Jesse Naidoo

202147: Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach

Ioannis Chatziantoniou, David Gabauer and Rangan Gupta

202146: Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data

Afees Salisu, Christian Pierdzioch and Rangan Gupta