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Browsing Workspace (UPSpace) by UP Author "Salisu, Afees A."
Now showing items 1-20 of 29
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Salisu, Afees A.; Udeaja, Elias A.; Opuala-Charles, Silva (Bank Indonesia Institute, 2022-08-31)In this paper, we explore the connection between Central Bank Independence (CBI) and inflation under alternative political regimes. We formulate a predictive model that accommodates CBI in the analysis of inflation and ...
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Van Eyden, Renee (Wiley, 2023-06)We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, ...
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A comparative assessment of the global effects of US monetary and fiscal policy uncertainty shocks Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. (Hindawi, 2021-12)PURPOSE : We evaluate the comparative effectsof US monetary and fiscal policy uncertainty shockson real equity prices and real gross domestic productin developed and emerging economies. DESIGN/METHODOLOGY/APPROACH : We ...
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Salisu, Afees A.; Sikiru, Abdulsalam Abidemi; Omoke, Philip C. (Springer, 2023-08)This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations ...
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Tumala, Mohammed M.; Salisu, Afees A.; Gambo, Ali I. (Elsevier, 2023-06)In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using the Mixed Data Sampling variant of the Generalized Autoregressive Conditional ...
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Lawal, Adedoyin Isola; Salisu, Afees A.; Asaleye, Abiola John; Oseni, Ezeikel; Lawal-Adedoyin, Bukola Bose; Dahunsi, Samuel Olatunde; Omoju, Emmanuel Oluwasola; DickTonye, Abigail Oyeronke; Ogunwole, Elizabeth Bolatito; Babajide, Abiola Ayopo (MDPI, 2022-05-26)This paper examined the nexus between economic growth and exchange rate, remittances, trade, and agricultural output based on data sourced from 1980 to 2018 for 10 selected African economies. We employed both the Dumitrescu ...
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Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. (World Scientific Publishing, 2022-01)In this study, we quantify the propagation effects of the U.S. monetary policy uncertainty (MPU) shock on real equity prices of 33 advanced and emerging countries over the period 1980Q1 to 2019Q4. We employ a large-scale ...
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Salisu, Afees A.; Gupta, Rangan; Kim, Won Joong (Elsevier, 2022-03)This paper seeks to add to the literature on short-run exchange rate predictability by focusing on BRICS exchange rates. We utilize both time-varying and constant parameter models, and account for a variety of macro ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Wiley, 2022-12)This study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large-scale global vector autoregressive model of 33 ...
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Gabauer, David (Elsevier, 2022-10)We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks and their connectedness in eight major industrialized economies ...
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Salisu, Afees A.; Omoke, Philip C.; Sikiru, Abdulsalam Abidemi (Wiley, 2023-01)In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out-of-sample predictability of the latter. We utilize ...
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Salisu, Afees A.; Ogbonna, Ahamuefula E.; Lasisi, Lukman; Olaniran, Abeeb (Elsevier, 2022-11)In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Elsevier, 2022-04)This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil ...
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Salisu, Afees A.; Adediran, Idris; Omoke, Philip C.; Tchankam, Jean Paul (Elsevier, 2023-01)In this study, we consider as a predictor of gold return predictability, an alternative measure of systematic risk using the tail risk obtained from the four variants (Adaptive, Symmetric absolute value, Asymmetric slope ...
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Salisu, Afees A.; Lasisi, Lukman; Tchankam, Jean Paul (Routledge, 2022)In this study, we investigate the impact of global geopolitical risk (GPR) of different forms on the economies of advanced countries (G7 and Switzerland). We construct a predictive model, following the approach of Lewellen ...
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Tumala, Mohammed M.; Salisu, Afees A.; Atoi, Ngozi, V.; Yaaba, Baba N. (Elsevier, 2021-11)In this paper, we trace the transmission of monetary policy shocks from three prominent sources of global financial and trade shocks (US, Europe, and China) to the two largest emerging economies in Sub-Saharan Africa (SSA) ...
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Salisu, Afees A.; Shaik, Muneer (Elsevier, 2022-07)Motivated by the COVID-19 pandemic, we construct a single factor predictive model for stock returns that incorporates uncertainty index for pandemics and epidemics (UPE). Specifically, we examine whether Islamic stocks are ...
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Penzin, Dinci J.; Salisu, Afees A.; Akanegbu, Benedict N. (Bank Indonesia Institute, 2022-06-20)We examine the effect of public debt on private investment in selected emerging economies. Using a panel threshold regression model, we estimate a threshold value of about 3 percent, on average, below which public debt ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (World Scientific Publishing, 2022-04)Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (MDPI, 2022-08-09)This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows ...
Now showing items 1-20 of 29