Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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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

202009: Investor Happiness and Predictability of the Realized Volatility of Oil Price

Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

202008: Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach

Syed Jawad Hussain Shahzad, Clement Kyei, Rangan Gupta and Eric Olson

202007: Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty

Matthew Clance, Riza Demirer, Rangan Gupta and Clement Kyei

202006: Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data

Semei Coronado, Rangan Gupta, Saban Nazlioglu and Omar Rojas

202005: Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains

Rangan Gupta, Chi Keung Lau, Jacobus Nel and Xin Sheng

202004: A Note on Investor Happiness and the Predictability of Realized Volatility of Gold

Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

202003: Forecasting Realized Volatility of Bitcoin: The Role of the Trade War

Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

202002: Time-Varying Spillover of US Trade War on the Growth of Emerging Economies

Oguzhan Cepni, David Gabauer, Rangan Gupta and Khuliso Ramabulana

202001: The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach

Oguzhan Cepni, Wiehan Dul, Rangan Gupta and Mark Wohar

201982: Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory

Aviral Tiwari, Micheal Boachie and Rangan Gupta

201981: The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis

Mehmet Balcilar, Edmond Berisha, Oguzhan Cepni and Rangan Gupta

201980: Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?

Vasilios Plakandaras, Elie Bouri and Rangan Gupta

201979: Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram

Riza Demirer, Rangan Gupta, Hossein Hassani and Xu Huang

201978: A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data

Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna

201977: High-Frequency Volatility Forecasting of US Housing Markets

Mawuli Segnon, Rangan Gupta, Keagile Lesame and Mark Wohar

201976: Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach

Afees Salisu and Rangan Gupta

201975: The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach

Mehmet Balcilar, George Ike and Rangan Gupta

201974: What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar

201973: The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States

Oguzhan Cepni, I. Ethem Guney, Rangan Gupta and Mark Wohar

201972: Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests

Riza Demirer, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

201971: The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile

Elie Bouri, Rangan Gupta, Chi Keung Lau and David Roubaud

201970: A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach

Shinhye Chang, Matthew Clance, Giray Gözgör and Rangan Gupta

201969: Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence

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

201968: Threshold Effects of Inequality on Economic Growth in the US States: The Role of Human Capital to Physical Capital Ratio

Oguzhan Cepni, Rangan Gupta and Zhihui Lv

201967: Gold, Platinum and the Predictability of Bond Risk Premia

Elie Bouri, Riza Demirer, Rangan Gupta and Mark Wohar