Working Papers

From University of Pretoria, Department of Economics
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202145: The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model

Afees Salisu, Rangan Gupta and Riza Demirer

202144: Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals

Afees Salisu and Rangan Gupta

202143: Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll

Afees Salisu, Elie Bouri and Rangan Gupta

202142: Household Debt and Consumption Dynamics: A Non-Developed World View following the Financial Crisis

Adel Bosch, Matthew Clance and Steven Koch

202141: Individual and Household Debt: Does Imputation Choice Matter?

Adel Bosch and Steven Koch

202140: Uncertainty Related to Infectious Diseases and Forecastability of the Realised Volatility of US Treasury Securities

Sisa Shiba and Rangan Gupta

202139: Social Capital and Protests in the United States

Carolyn Chisadza, Matthew Clance and Rangan Gupta

202138: El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements

Mehmet Balcilar, Elie Bouri, Rangan Gupta and Christian Pierdzioch

202137: Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns

Rangan Gupta and Christian Pierdzioch

202136: The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle

Afees Salisu, Rangan Gupta and Idris Adediran

202135: Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers

Rangan Gupta and Christian Pierdzioch

202134: Income Inequality and House Prices across US States

Edmond Berisha, John Meszaros and Rangan Gupta

202133: Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty

Afees Salisu, Rangan Gupta, Sayar Karmakar and Sonali Das

202132: The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model

Afees Salisu, Rangan Gupta, Jacobus Nel and Elie Bouri

202131: The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data

Renee van Eyden, Rangan Gupta, Christophe André and Xin Sheng

202130: Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks

Jiawen Luo, Riza Demirer, Rangan Gupta and Qiang Ji

202129: Gold and the Global Financial Cycle

Afees Salisu, Rangan Gupta, Siphesihle Ntyikwe and Riza Demirer

202128: The Impact of Oil Price Shocks on Income Inequality: Evidence from State-Level Data of the United States

Xin Sheng and Rangan Gupta

202127: Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks

Afees Salisu, Rangan Gupta and Christian Pierdzioch

202126: Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries

Oguzhan Cepni, Rangan Gupta and Qiang Ji

202125: The Economic Complexity Index (ECI) and Output Volatility: High vs Low Income Countries

Marthinus Breitenbach, Carolyn Chisadza and Matthew Clance

202124: Government Religious Preference and Intrastate Conflict

Eduard van der Merwe, Carolyn Chisadza and Matthew Clance

202123: Impact of technological progress on carbon emissions in different country income groups

Chris Milindi and Roula Inglesi-Lotz

202122: Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data

Afees Salisu, Christian Pierdzioch and Rangan Gupta

202121: Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model

Afees Salisu, Rangan Gupta and Riza Demirer

202120: Forecasting Oil Price over 150 Years: The Role of Tail Risks

Afees Salisu, Rangan Gupta and Qiang Ji

202119: Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices

Alex Plastun, Elie Bouri, Rangan Gupta and Qiang Ji

202118: Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning

Rangan Gupta, Jacobus Nel and Christian Pierdzioch

202117: Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data

Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna

202116: Exchange Rate Predictability with Nine Alternative Models for BRICS Countries

Afees Salisu, Rangan Gupta and Won Kim

202115: Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets

Geoffrey Ngene and Rangan Gupta

202114: Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202113: Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies

Vasilios Plakandaras, Rangan Gupta, Mehmet Balcilar and Qiang Ji

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 Maneejuk

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