• Forecasting U.S. recessions using over 150 years of data : stock-market moments versus oil-market moments 

  Bouri, Elie; Gupta, Rangan; Pierdzioch, Christian; Polat, Onur (Elsevier, 2024-11)

  Using monthly data from 1871 to 2024 and logistic models with shrinkage estimators, we compare the contribution of stock and oil-market moments (returns, volatility, skewness, and kurtosis) to the accuracy of out-of-sample ...
• Realized stock market volatility of the United States : the role of employee sentiment 

  Gupta, Rangan; Hall, Savanah; Pierdzioch, Christian (World Scientific Publishing, 2024-06)

  Using data for the United States (US) stock market covering the sample period from 2008:06 to 2020:12, we study the incremental predictive value of employee sentiment for the realized volatility of stock returns. In doing ...
• Technological shocks and stock market volatility over a century 

  Salisu, Afees A.; Demirer, Riza; Gupta, Rangan (Elsevier, 2024-12)

  This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. ...
• Examining potential health gains arising from reduced risk consumption in South Africa via the PRIME model 

  Koch, Steven F. (Springer, 2024-07)

  OBJECTIVES : Non-communicable diseases (NCDs) account for over 30% of disability-adjusted life years in South Africa. In this research, we offer an estimate of the potential reduction in NCD incidence that would arise ...
• Stock market volatility and multi-scale positive and negative bubbles 

  Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua; Pierdzioch, Christian (Elsevier, 2025-01)

  We study whether booms and busts in the stock market of the United States (US) drives its volatility. Given this, first, we employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) ...
• Linear and threshold effect of CO2 emissions, economic development, clean fuel and technology on health expenditure in Central Asia 

  Inglesi-Lotz, Roula; Kuziboev, Bekhzod; Ibragimov, Jakhongir; Rajabov, Alibek; Liu, Jie; Abdullaev, Farkhod (EconJournals, 2024-07)

  The investigation is a pioneer in examining the joint impact of CO2 emissions, economic development, access to clean fuel and technology, and threshold effect on health expenditure in Central Asia. For this purpose, the ...
• Exploring the impact of women governance on CO2 emissions in the European Union and Central Asia 

  Inglesi-Lotz, Roula; Oosthuizen, Anna Maria; Jumaniyazova, Sharifa; Kuziboev, Bekhzod; Liu, Jie (EconJournals, 2024-05)

  The study is novel to contribute to the literature investigating the relationship among CO2 emissions, women governance, economic development, fossil fuel energy consumption and renewable energy consumption, using a balanced ...
• Climate risks and stock market volatility over a century in an emerging market economy : the case of South Africa 

  Wu, Kejin; Karmakar, Sayar; Gupta, Rangan; Pierdzioch, Christian (MDPI, 2024-05)

  Because climate change broadcasts a large aggregate risk to the overall macroeconomy and the global financial system, we investigate how a temperature anomaly and/or its volatility affect the accuracy of forecasts of stock ...
• Time-varying parameter four-equation DSGE model 

  Gupta, Rangan; Sun, Xiaojin (De Gruyter, 2024-05)

  We build the time-varying parameter feature into the (Sims, E., J. C. Wu, and J. Zhang. 2023. “The Four-Equation New Keynesian Model.” The Review of Economics and Statistics 105 (4): 931–47) four-equation Dynamic Stochastic ...
• Changing the inflation target in emerging markets : the reward of reducing risk 

  Pirozhkova, Ekaterina; Viegi, Nicola (Economics Bulletin, 2023-09-30)

  This paper analyses the effects of change by the South African Reserve Bank (SARB) in its preferred definition of inflation target in July 2017 from a range to a point target. We estimate the implications of this shift ...
• Modeling the presidential approval ratings of the United States using machine-learning : does climate policy uncertainty matter? 

  Bouri, Elie; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2024-12)

  In the wake of a massive thrust on designing policies to tackle climate change, we study the role of climate policy uncertainty in impacting the presidential approval ratings of the United States (US). We control for other ...
• Monetary policy implications of the new fiscal regime in Nigeria : a simulation study 

  Kure, Ezra; Salisu, Afees A. (Elsevier, 2024-06)

  In this policy research, we examine the effects of the new fiscal regime [the signing of the new Finance Act 2023, the setup of a tax reform committee, and the removal of fuel subsidy] on the Nigerian economy and its ...
• Tracking weekly state-level economic conditions 

  Baumeister, Christiane; Leiva-Leon, Danilo; Sims, Eric (MIT Press, 2024-03)

  This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover ...
• Financial stress and realized volatility : the case of agricultural commodities 

  Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian (Elsevier, 2024-08)

  Given recent debates about the financialization of commodity markets, we analyze the predictive power of financial stress for the realized volatility of agricultural commodity price returns. We estimate realized volatility ...
• Comparing risk profiles of international stock markets as functional data : COVID-19 versus the global financial crisis 

  Shackleton, Ryan Liam; Das, Sonali; Gupta, Rangan (Wiley, 2024-07)

  In this article, we aim to provide a detailed econometric analysis of the realized volatility in international stock markets of Brazil, China, Europe, India, the United Kingdom, and the United States, which represent a mix ...
• An evaluation of the inflation forecasting performance of the European Central Bank, the Federal Reserve, and the Bank of England 

  Argiri, Eleni; Hall, Stephen George; Momtsia, Angeliki; Papadopoulou, Daphne Marina; Skotida, Ifigeneia; Tavlas, George S.; Wang, Yongli (Wiley, 2024-07)

  We provide an overview of the formulation of the forecasts of the European Central Bank, the Federal Reserve, and the Bank of England. We also provide statistical assessments of the performance of the forecasting process ...
• Impact of higher-income countries on child health in lower-income countries from a climate change perspective. A case study of the UK and Malawi 

  Hannah, Eilish; Etter-Phoya, Rachel; Lopez, Marisol; Hall, Stephen George; O'Hare, Bernadette (Public Library of Science, 2024-01)

  Climate change is the number one threat to child health according to the World Health Organisation. It increases existing inequalities, and lower-income countries are disproportionately affected. This is unjust. Higher-income ...
• Forecasting in turbulent times 

  Giannellis, Nikolaos; Hall, Stephen George; Kouretas, Georgios P.; Tavlas, George S. (Wiley, 2024-07)

  Since the beginning of this century, the global economy has been hit by a series of unforeseen shocks, including the Global Financial Crisis, the euro area's sovereign debt crisis, and most recently, the global inflation ...
• Tax expenditures and progress to the Sustainable Development Goals 

  Masiya, Michael; Hall, Stephen George; Murray, Stuart; Etter-Phoya, Rachel; Hannah, Eilish; O'Hare, Bernadette (Wiley, 2024)

  This study reports the impact of governments having additional revenue equivalent to tax expenditures on achieving the Sustainable Development Goals in 97 countries. The study draws data on revenue foregone from the Global ...
• Inflation forecasting with rolling windows : an appraisal 

  Hall, Stephen George; Tavlas, George S.; Wang, Yongli; Gefang, Deborah (Wiley, 2024-07)

  We examine the performance of rolling windows procedures in forecasting inflation. We implement rolling windows augmented Dickey–Fuller (ADF) tests and then conduct a set of Monte Carlo experiments under stylized forms of ...

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