Working Papers

From University of Pretoria, Department of Economics
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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

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