Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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201947: Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains

Aviral Tiwari, Christophe André and Rangan Gupta

201946: How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch

Afees Salisu and Rangan Gupta

201945: The Relationship between Economic Uncertainty and Corporate Tax Rates

Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau

201944: Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach

David Gabauer and Rangan Gupta

201943: Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?

Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch

201942: Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data

Rangan Gupta, Hardik Marfatia and Eric Olson

201941: Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data

Heni Boubaker, Juncal Cunado, Luis Gil-Alana and Rangan Gupta

201940: Preferences Over Rich Sets of Random Variables: Semicontinuity in Measure versus Convexity

Alexander Zimper and Hirbod Assa

201939: Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets

Elie Bouri, Konstantinos Gkillas (Gillas), Rangan Gupta and Clement Kyei

201938: The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles

Elie Bouri, Riza Demirer, Rangan Gupta and Xiaojin Sun

201937: Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows

Deven Bathia, Christos Bouras, Riza Demirer and Rangan Gupta

201936: The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach

Oguzhan Cepni, Rangan Gupta and Mark Wohar

201935: Movements in International Bond Markets: The Role of Oil Prices

Saban Nazlioglu, Rangan Gupta and Elie Bouri

201934: Is the Housing Market in the United States Really Weakly-Efficient?

Aviral Tiwari, Rangan Gupta and Mark Wohar

201933: Fisher Variables and Income Inequality in the BRICS

Edmond Berisha, Rangan Gupta and John Meszaros

201932: International Consumption Risk Sharing and Trade Transaction Costs

Matthew Clance, Wei Ma and Ruthira Naraidoo

201931: Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises

Samrat Goswami, Rangan Gupta and Mark Wohar

201930: Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment

Qiang Ji, Walid Bahloul, Jiang-bo Geng and Rangan Gupta

201929: Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule

Christina Christou, Ruthira Naraidoo, Rangan Gupta and Christis Hassapis

201928: Monetary policy in a Model with Commodity and Financial Markets

Vo Phuong Mai Le and Ruthira Naraidoo

201927: Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets

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

201926: Does U.K.’s Real GDP have a Unit Root? Evidence from a Multi-Century Perspective

Giorgio Canarella, Rangan Gupta, Stephen Miller and Tolga Omay

201925: The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

Manabu Asai, Rangan Gupta and Michael McAleer

201924: Domestic Credit and Export Diversification: Africa from a Global Perspective

Augustin Fosu and Abdul Abass

201923: Short and Long Run Asymmetric Effects of Monetary and Fiscal Policy Uncertainty on Economic Activity in the U.S

Goodness Aye

201922: Fiscal Policy Uncertainty and Economic Activity in South Africa: An Asymmetric Analysis

Goodness Aye

201921: Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market

Esin Cakan, Riza Demirer, Rangan Gupta and Josine Uwilingiye

201920: Inflation Aversion and the Growth-Inflation Relationship

Rangan Gupta and Philton Makena

201919: Oil Price Uncertainty and Movements in the US Government Bond Risk Premia

Mehmet Balcilar, Rangan Gupta, Shixuan Wang and Mark Wohar

201918: Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model

Aviral Tiwari, Goodness Aye, Rangan Gupta and Konstantinos Gkillas (Gillas)

201917: Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach

Elie Bouri, Rangan Gupta and Shixuan Wang

201916: Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility

Hardik Marfatia, Rangan Gupta and Esin Cakan

201915: The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach

Mehmet Balcilar, Riza Demirer, Rangan Gupta and Mark Wohar

201914: Halloween Effect in Developed Stock Markets: A US Perspective

Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar

201913: Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach

Massimiliano Caporin, Rangan Gupta and Francesco Ravazzolo

201912: Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold

Oguzhan Cepni, Rangan Gupta and Mark Wohar

201911: Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis

Joao Caldeira, Rangan Gupta, Tahir Suleman and Hudson Torrent

201910: Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model

Rangan Gupta, Chi Keung Lau and Xin Sheng

201909: Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains

Vasilios Plakandaras, Aviral Tiwari, Rangan Gupta and Qiang Ji

201908: The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis

Sonali Das, Riza Demirer, Rangan Gupta and Siphumlile Mangisa

201907: Are Uncertainties across the World Convergent?

Christina Christou, Giray Gözgör, Rangan Gupta and Chi Keung Lau

201906: Time-Varying Risk Aversion and the Predictability of Bond Premia

Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch

201905: Forecasting Realized Volatility of Bitcoin Returns: Tail Events and Asymmetric Loss

Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch

201904: The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains

Semih Çekin, Besma Hkiri, Aviral Tiwari and Rangan Gupta

201903: Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss

Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch

201902: Rise and Fall of Calendar Anomalies over a Century

Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar

201901: Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors

Oguzhan Cepni, Selcuk Gul and Rangan Gupta

201883: Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?

Petre Caraiani and Rangan Gupta

201882: Tuition Grant and Equity-Efficiency Tradeoff in Stages of Higher Education Development

Yoseph Getachew

201881: Time-Varying Risk Aversion and Realized Gold Volatility

Riza Demirer, Rangan Gupta and Christian Pierdzioch