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Browsing by UP Author "Gupta, Rangan"
Now showing items 1-20 of 782
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Marfatia, Hardik A.; Gupta, Rangan; Miller, Stephen (Elsevier, 2020-11)This paper examines the effect of fiscal policy on financial markets over a long span of 125 years. Unlike existing studies that mainly focus on monetary policy shocks and model-based identification of fiscal policy shocks, ...
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Gupta, Rangan; Du Toit, Charlotte Barbara (University of Pretoria, Department of Economics, 2006-10)This paper develops a general equilibrium endogenous growth model in an overlapping generations framework, and compares, in terms of economic growth, a passive unemployment policy (unemployment insurance) with an ...
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Gupta, Rangan; Du Toit, Charlotte Barbara (Juta, 2009-03)This paper develops a general equilibrium endogenous growth model in an overlapping generations framework, and compares, in terms of economic growth, a passive unemployment policy (unemployment insurance) with an active ...
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Mangisa, Siphumlile; Das, Sonali; Gupta, Rangan (World Scientific Publishing, 2022-06)This paper studies the relationship between monthly economic uncertainty of 20 advanced and emerging markets, and two daily covariates, i.e., exchange rate and stock index, with particular emphasis on the relationship ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Tennessee State University College of Business, 2016)The successful conduct of monetary policy relies on accurately characterising inflation's data generating properties. Monetary policy errors that allow inflation to transition to a high inflation regime that is very ...
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Plakandaras, Vasilios; Gupta, Rangan; Gil-Alana, Luis A.; Wohar, Mark E. (Routledge, 2019)In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, ...
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Zerihun, Mulatu F.; Cunado, Juncal; Gupta, Rangan (Springer, 2017-03)This paper examines the asymmetric behaviour of health care expenditure and disposable income in the 50 US states over the period 1966-2009 using nonparametric Triples test techniques. The results suggest that for 23 US ...
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Chang, Tsangyao; Wu, Tsung-pao; Gupta, Rangan (Routledge, 2015-01)This study applies the sequential panel selection method (SPSM) to investigate the time-series properties of provincial house prices for entire, large, medium and small middle-segments of South Africa. Quarterly time-series ...
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Andre, Christophe; Gupta, Rangan; Muteba Mwamba, John W. (Vilnius Gediminas Technical University, 2019)This paper investigates asymmetry in US housing price cycles at the state and metropolitan statistical area (MSA) level, using the Triples test (Randles, Flinger, Policello, & Wolfe, 1980) and the Entropy test of Racine ...
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Segnon, Mawuli K.; Lau, Chi Keung; Wilfling, Bernd; Gupta, Rangan (De Gruyter, 2022)We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative ...
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Plakandaras, Vasilios; Gupta, Rangan; Karmakar, Sayar; Wohar, Mark (Elsevier, 2023-10)In this paper we examine the effect of permanent inflation shocks on real interest rates, based on a structural Time-Varying Parameter Vector Autoregression (TVP-VAR) model that accounts for parameter instability, using ...
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Chang, Tsangyao; Chen, Wen-Yi; Gupta, Rangan; Nguyen, Duc Khuong (Elsevier, 2015-06)This study applies the bootstrap panel causality test proposed by Ko´ nya (2006. Econ Modell 23, 978) to investigate the causal link between political uncertainty and stock prices for seven OECD countries over the monthly ...
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Tiwari, Aviral Kumar; Cunado, Juncal; Gupta, Rangan; Wohar, Mark E. (De Gruyter, 2019-06)This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We ...
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Apergis, Nicholas; Christou, Christina; Gupta, Rangan (Elsevier, 2017-03)The paper assesses the existence of the Environmental Kuznets Curve (EKC) hypothesis, across 48 contiguous states of the US, using recent advances in panel data techniques, given the existence of cross-sectional ...
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Chang, Tsangyao; Liu, Wen-Chi; Aye, Goodness Chioma; Gupta, Rangan (Inderscience, 2016-05)This study applies the panel KSS test with a Fourier function through the sequential panel selection method, proposed by Chortareas and Kapetanios (2009), to test whether housing bubbles exist in South Africa using the ...
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Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; Gupta, Rangan; Babalos, Vassilios (Routledge, 2015)We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity ...
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El Montasser, Ghassen; Gupta, Rangan; Martins, Andre Luis; Wanke, Peter (Elsevier, 2015-08)This paper tests for the existence of bubbles in the ethanol–gasoline price ratio in Brazil from 2000 to 2012 using right-tailed ADF tests. Results suggest the existence of two bubbles: one which has already burst (during ...
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Christou, Christina; Gozgor, Giray; Gupta, Rangan; Lau, Chi Keung Marco (Economics Bulletin, 2020-03)We analyze the convergence of a news-based measure of uncertainty across 143 countries (spanning 99 percent of world GDP) over the quarterly period of 1996Q1 to 2018Q3. We apply a panel data-based unit root test, ...
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An assessment of UK macroeconomic volatility: historical evidence using over seven centuries of data Plakandaras, Vasilios; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2018-04)Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks ...
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Asymmetric causality between military expenditures and economic growth in top six defense spenders Hatemi-J, Abdulnasser; Chang, Tsangyao; Chen, Wen-Yi; Lin, Feng-Li; Gupta, Rangan (Springer, 2018-05)This study applies asymmetric causality tests, proposed by Hatemi-J (Asymmetric panel causality tests with an application to the impact of fiscal policy on economic performance in Scandinavia, 2011; Empir Econ 43(1):447–456, ...
Now showing items 1-20 of 782