Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).

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202061: Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties

Hardik Marfatia, Christophe André and Rangan Gupta

202060: Time-Varying Spillover between Currency and Stock Markets in the United States: More than Two Centuries of Historical Evidence

Semei Coronado, Rangan Gupta, Besma Hkiri and Omar Rojas

202059: Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness

Elie Bouri, David Gabauer, Rangan Gupta and Aviral Tiwari

202058: Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States

Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna

202057: Technological Trade Composition and Performance in African Countries

Blessing Chipanda, Matthew Clance and Steven Koch

202056: Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting

Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller

202055: The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach

Oguzhan Cepni, Rangan Gupta and Yigit Onay

202054: Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality

Mehmet Balcilar, Edmond Berisha, Rangan Gupta and Christian Pierdzioch

202053: OPEC News and Jumps in the Oil Market

Konstantinos Gkillas, Rangan Gupta, Christian Pierdzioch and Seong-Min Yoon

202051: Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions

Afees Salisu, Rangan Gupta, Elie Bouri and Qiang Ji

202050: A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment

Afees Salisu, Rangan Gupta and Riza Demirer

202049: Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility

Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

202048: The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States

Rangan Gupta and Xin Sheng

202047: Return Connectedness across Asset Classes around the COVID-19 Outbreak

Elie Bouri, Oguzhan Cepni, David Gabauer and Rangan Gupta

202046: The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes

Mehmet Balcilar, Rangan Gupta and Theshne Kisten

202045: The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States

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

202044: The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note

Riza Demirer, Rangan Gupta, Christian Pierdzioch and Syed Jawad Hussain Shahzad

202043: The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta, Elie Bouri and Qiang Ji

202042: The Possible Effects of the Extended Lockdown Period on the South African Economy: A CGE Analysis

Jan van Heerden

202041: Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom

Afees Salisu and Rangan Gupta

202040: Interest Rate Uncertainty and the Predictability of Bank Revenues

Oguzhan Cepni, Riza Demirer, Rangan Gupta and Ahmet Sensoy

202039: Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment

Oguzhan Cepni and Rangan Gupta

202038: The Effects of Public Expenditures on Labour Productivity in Europe

Igor Fedotenkov and Rangan Gupta

202037: Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks

Christos Bouras, Christina Christou, Rangan Gupta and Keagile Lesame

202036: Oil Price Shocks and Yield Curve Dynamics in Emerging Markets

Oguzhan Cepni, Rangan Gupta, Cenk Karahan and Brian Lucey

202035: Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks

Rangan Gupta, Xin Sheng and Qiang Ji

202034: The Taylor Curve: International Evidence

Semih Çekin, Rangan Gupta and Eric Olson

202033: Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa

Alain Kabundi, Tumisang Loate and Nicola Viegi

202032: Monetary Policy and Speculative Spillovers in Financial Markets

Riza Demirer, David Gabauer, Rangan Gupta and Qiang Ji

202031: Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data

Syed Jawad Hussain Shahzad, Rangan Gupta, Riza Demirer and Christian Pierdzioch

202030: Time-Varying Predictability of Financial Stress on Inequality in United Kingdom

Edmond Berisha, David Gabauer, Rangan Gupta and Jacobus Nel

202029: Geopolitical Risks and Stock Market Volatility in the G7 Countries: A Century of Evidence from a Time-Varying Nonparametric Panel Data Model

Elie Bouri, Oguzhan Cepni, Rangan Gupta and Naji Jalkh

202028: Redistribution, Inequality, and Efficiency with Credit Constraints

Yoseph Getachew and Stephen J Turnovsky

202027: Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach

Yue-Jun Zhang, Elie Bouri, Shu-Jiao Ma and Rangan Gupta

202026: Democracy and Development in Africa

Augustin Fosu

202025: A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade

Selcuk Gul and Rangan Gupta

202024: The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 45 Countries

Xin Sheng, Rangan Gupta and Qiang Ji

202023: Is there a National Housing Market Bubble Brewing in the United States?

Rangan Gupta, Jun Ma, Konstantinos Theodoridis and Mark Wohar

202022: Sentiment and Financial Market Connectedness: The Role of Investor Happiness

Elie Bouri, Riza Demirer, David Gabauer and Rangan Gupta

202020: Dynamic Impact of Unconventional Monetary Policy on International REITs

Hardik Marfatia, Rangan Gupta and Keagile Lesame

202019: Uncertainty and Tourism in Africa

Carolyn Chisadza, Matthew Clance, Rangan Gupta and Peter Wanke

202018: Jumps in Energy and Non-Energy Commodities

Elie Bouri and Rangan Gupta

202017: Time-Varying Influence of Household Debt on Inequality in United Kingdom

Edmond Berisha, David Gabauer, Rangan Gupta and Chi Keung Lau

202016: Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar

202015: Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin

Elie Bouri, Rangan Gupta and Xuan Vo

202014: Modelling Required Energy Consumption with Equivalence Scales

Yuxiang Ye, Steven Koch and Jiangfeng Zhang

202013: Technical Efficiency of Provincial Public Healthcare in South Africa

Victor Ngobeni, Marthinus Breitenbach and Goodness Aye

202012: Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression with Point of Impact: The Role of Currency and Equity Markets

Siphumlile Mangisa, Sonali Das and Rangan Gupta

202011: A Financial Stress Index for South Africa: A Time-Varying Correlation Approach

Theshne Kisten

202010: A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility

Riza Demirer, Rangan Gupta, Christian Pierdzioch and Syed Jawad Hussain Shahzad