Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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202112: Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models

Riza Demirer, Rangan Gupta, He Li and Yu You

202111: Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning

Mehmet Balcilar, David Gabauer, Rangan Gupta and Christian Pierdzioch

202110: Fostering Human Empowerment through Education: The Road to Progressive Political Institutions

Carla Peyper, Renee van Eyden and Sansia Blackmore

202109: The Transmission of Monetary Policy via the Banks' Balance Sheet - Does Bank Size Matter?

Tumisang Loate and Nicola Viegi

202108: Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model

Woraphon Yamaka, Rangan Gupta, Sukrit Thongkairat and Paravee Paravee

202107: Estimating a New Keynesian Wage Phillips Curve

Vincent Dadam and Nicola Viegi

202106: Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries

Rangan Gupta, Xin Sheng, Christian Pierdzioch and Qiang Ji

202105: El Nino and Forecastability of Oil-Price Realized Volatility

Elie Bouri, Rangan Gupta, Christian Pierdzioch and Afees Salisu

202104: Government Effectiveness and Covid-19 Pandemic

Carolyn Chisadza, Matthew Clance and Rangan Gupta

202103: Forecasting US Output Growth with Large Information Sets

Afees Salisu, Umar Ndako and Rangan Gupta

202102: Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis

Afees Salisu, Rangan Gupta, Ahamuefula Ogbonna and Mark Wohar

202101: OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning

Xin Sheng, Rangan Gupta, Afees Salisu and Elie Bouri

202099: Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202098: Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates

Elie Bouri, Rangan Gupta, Anandamayee Majumdar and Sowmya Subramaniam

202097: Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data

Shixuan Wang, Rangan Gupta and Yue-Jun Zhang

202096: The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence

Rangan Gupta, Xin Sheng, Renee van Eyden and Mark Wohar

202095: Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data

Rangan Gupta, Christian Pierdzioch and Afees Salisu

202094: Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar

202093: The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective

Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller

202092: Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty

Xin Sheng, Rangan Gupta and Qiang Ji

202091: Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States

Christophe André, David Gabauer and Rangan Gupta

202090: Investors' Uncertainty and Forecasting Stock Market Volatility

Ruipeng Liu and Rangan Gupta

202089: COVID-19 Pandemic and Investor Herding in International Stock Markets

Elie Bouri, Riza Demirer, Rangan Gupta and Jacobus Jacobus

202088: Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data

Xolani Sibande, Rangan Gupta, Riza Demirer and Elie Bouri

202087: Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?

Joao Caldeira, Rangan Gupta and Hudson Torrent

202086: Stock Markets and Exchange Rate Behaviour of the BRICS

Afees Salisu, Juncal Cuñado, Kazeem Isah and Rangan Gupta

202085: High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty

Elie Bouri, Rangan Gupta, Clement Kyei and Sowmya Subramaniam

202084: Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom

David Gabauer, Rangan Gupta, Jacobus Nel and Woraphon Yamaka

202083: Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data

Deven Bathia, Riza Demirer, Rangan Gupta and Kevin Kotze

202082: Effect of Fiscal and Monetary Policies on Economic Activities in South Africa: The Role of Policy Uncertainty

Goodness Aye

202081: Examining the Determinants of Electricity Demand by South African Households per Income Level

Jessika Bohlmann and Roula Inglesi-Lotz

202080: A Sequence to Reverse Poverty: Institutions, State Capacity and Human Empowerment

Sansia Blackmore and Renee van Eyden

202079: Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks

Aviral Tiwari, Micheal Boachie, Tahir Suleman and Rangan Gupta

202078: Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities

Rangan Gupta, Sowmya Subramaniam, Elie Bouri and Qiang Ji

202077: Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty

Rangan Gupta, Hardik Marfatia, Christian Pierdzioch and Afees Salisu

202076: House Price Synchronization across the US States: The Role of Structural Oil Shocks

Xin Sheng, Hardik Marfatia, Rangan Gupta and Qiang Ji

202075: Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?

Hossein Hassani, Mohammad Yeganegi and Rangan Gupta

202074: Economic Neoliberalism and African Development

Augustin Fosu and Dede Gafa

202073: Development Strategies for the Vulnerable Small Island Developing States (SIDS)

Augustin Fosu and Dede Gafa

202072: A Fiscus for Better Economic and Social Development in South Africa

Francois Stofberg, Jan van Heerden and Heinrich Bohlmann

202071: Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test

Elie Bouri, Rangan Gupta, Clement Kyei and Rinsuna Shivambu

202070: The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange

Zhuhua Jiang, Rangan Gupta, Sowmya Subramaniam and Seong-Min Yoon

202069: The U.S. Term Structure and Return Volatility in Global REIT Markets

Riza Demirer, Rangan Gupta, Asli Yuksel and Aydin Yuksel

202068: Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin

Konstantinos Gkillas, Elie Bouri, Rangan Gupta and David Roubaud

202067: Optimal Social Distancing in SIR based Macroeconomic Models

Yoseph Getachew

202066: High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment

Mehmet Balcilar, Elie Bouri, Rangan Gupta and Clement Kyei

202065: Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models

David Gabauer, Rangan Gupta, Hardik Marfatia and Stephen Miller

202064: Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century

Afees Salisu, Juncal Cuñado, Kazeem Isah and Rangan Gupta

202063: The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States

Rangan Gupta, Syed Jawad Hussain Shahzad, Xin Sheng and Sowmya Subramaniam

202062: Time-Varying Impact of Pandemics on Global Output Growth

Rangan Gupta, Xin Sheng, Mehmet Balcilar and Qiang Ji