Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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201966: Moments-Based Spillovers across Gold and Oil Markets

Matteo Bonato, Rangan Gupta, Chi Keung Lau and Shixuan Wang

201965: Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains

Besma Hkiri, Juncal Cuñado, Mehmet Balcilar and Rangan Gupta

201964: Giant Oil Discoveries and Conflicts

Carolyn Chisadza, Matthew Clance, Rangan Gupta and Mark Wohar

201963: Price Gap Anomaly in the US Stock Market: The Whole Story

Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar

201962: Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data

Christina Christou, David Gabauer and Rangan Gupta

201960: Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting

Rangan Gupta and Philton Makena

201959: The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction

Abdulnasser Hatemi-J, Mohamed Hajji, Elie Bouri and Rangan Gupta

201958: Multi-Horizon Financial and Housing Wealth Effects across the U.S. States

Yener Coskun, Christos Bouras, Rangan Gupta and Mark Wohar

201957: Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages

Oguzhan Cepni, Rangan Gupta, I. Ethem Guney and M. Hasan Yilmaz

201956: 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets

Hardik Marfatia, Rangan Gupta and Stephen Miller

201955: Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty

Elie Bouri and Rangan Gupta

201954: Price and Volatility Linkages between International REITs and Oil Markets

Saban Nazlioglu, Rangan Gupta, Alper Gormus and Ugur Soytas

201953: Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment

Petre Caraiani, Rangan Gupta, Chi Keung Lau and Hardik Marfatia

201952: Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States

Aviral Tiwari, Rangan Gupta, Juncal Cuñado and Xin Sheng

201951: Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks

Manabu Asai, Rangan Gupta and Michael McAleer

201950: Historical Evolution of Monthly Anomalies in International Stock Markets

Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar

201949: Public Infrastructure Provision and Ethnic Favouritism: Evidence from South Africa

Leone Walters, Manoel Bittencourt and Carolyn Chisadza

201948: Trade Uncertainties and the Hedging Abilities of Bitcoin

Elie Bouri, Konstantinos Gkillas (Gillas) and Rangan Gupta

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