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Browsing Research Articles (University of Pretoria) by Author "Gabauer, David"
Now showing items 1-20 of 22
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Antonakakis, Nikolaos; Gabauer, David; Gupta, Rangan; Plakandaras, Vasilios (Elsevier, 2018-05)Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between ...
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Gabauer, David; Gupta, Rangan; Marfatia, Hardik A.; Miller, Stephen M. (Elsevier, 2024-01)This paper investigates the dynamic connectedness of random shocks to housing prices between the 50 U.S. states and the District of Columbia. The paper implements a standard vector autoregressive (VAR) model as well as ...
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Bouri, Elie; Demirer, Riza; Gabauer, David; Gupta, Rangan (Elsevier, 2022-01)We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness has a significant effect on ...
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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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Bouri, Elie; Gabauer, David; Gupta, Rangan (Elsevier, 2023-10)In this paper, we examine the spillovers across monthly inflation rates (measured by the CPI) of advanced North American and European economies. Using data covering the period from May 1963 to November 2022 and a time-varying ...
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Antonakakis, Nikolaos; Gabauer, David; Gupta, Rangan (Elsevier, 2019-12)This study examines the propagation mechanism of economic policy uncertainty shocks within Greece and between Greece and Europe over the period of January, 1998 and May, 2018. Further insights about the Greek-internal and ...
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Chatziantoniou, Ioannis; Gabauer, David; Gupta, Rangan (Elsevier, 2023-07)In this study, we introduce a novel time-varying parameter vector autoregressive frequency connectedness approach to obtain refined measures of the frequency transmission mechanism and dynamic integration among six ...
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Antonakakis, Nikolaos; Gabauer, David; Gupta, Rangan (Elsevier, 2019-10)This study examines the transmission of international monetary policy spillovers across developed economies based on a Bayesian time-varying parameter vector autoregressive (TVP-VAR) connectedness methodology. The analysis ...
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Demirer, Riza; Gabauer, David; Gupta, Rangan; Ji, Qiang (Elsevier, 2021-04)This paper examines the role of monetary policy (MP) as a driver of connectedness patterns in speculative activities in financial markets. Examining measures of speculation in four major markets including gold, equities, ...
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Lesame, Keagile; Bouri, Elie; Gabauer, David; Gupta, Rangan (MDPI, 2021-08-14)In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. ...
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Cunado, Juncal; Gabauer, David; Gupta, Rangan; Lee, Chien-Chiang (Routledge, 2024)This article analyzes the real interest rate transmission mechanism across the United States, Japan, France, Germany, Holland, Italy, Spain and the United Kingdom over a period of more than 200 years. Based on a time-varying ...
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Gabauer, David; Subramaniam, Sowmya; Gupta, Rangan (Wiley, 2022-01)This study investigates the transmission mechanism of Asia‐Pacific sovereign bond yields using a monthly data set, which reaches over the period from January 2003 until December 2017. Sovereign bond yields are decomposed ...
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Gabauer, David; Gupta, Rangan (Elsevier, 2018-10)We investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach of Antonakakis and Gabauer (2017). ...
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Cunado, Juncal; Gabauer, David; Gupta, Rangan (SpringerOpen, 2024-01)This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis ...
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Bouri, Elie; Cepni, Oguzhan; Gabauer, David; Gupta, Rangan (Elsevier, 2021-01)In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 ...
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Spillovers across macroeconomic, financial and real estate uncertainties : a time-varying approach Gabauer, David; Gupta, Rangan (Elsevier, 2020-03)We investigate the spillover across real estate (REU), macroeconomic (MU) and financial uncertainties (FU) in the United States based on monthly data covering the period of July, 1970 to December, 2017. To estimate the ...
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Berisha, Edmond; Gabauer, David; Gupta, Rangan; Lau, Chi Keung Marco (Springer, 2021-10)The United Kingdom (UK) in terms of income inequality is ranked among the highest in Europe. Likewise, within the last four decades, UK is characterized with drastic increases in household debt. In this paper, we analyze ...
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Berisha, Edmond; Gabauer, David; Gupta, Rangan; Nel, Jacobus (Emerald, 2023-07)PURPOSE : Existing empirical evidence suggests that episodes of financial stress (crises) can act as driver of growth of inequality. Consequently, in this study, the authors explore the time-varying predictive power of an ...
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Gabauer, David; Gupta, Rangan; Nel, Jacobus; Yamaka, Woraphon (Springer, 2021-06)In this paper, we analyze time-varying predictability of labor productivity for growth in income (and consumption) inequality of the United Kingdom (UK) based on a high-frequency (quarterly) data set over 1975:Q1 to 2016:Q1. ...
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Andre, Christophe; Gabauer, David; Gupta, Rangan (Elsevier, 2021-10)This paper investigates spillovers between the housing sentiment index of Bork et al.(2020), common factors in US real housing returns and their volatility, GDP growth and real interest rates. We find that in contrast to ...
Now showing items 1-20 of 22