Browsing by Author "Sun, Xiaojin"

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Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs

Gupta, Rangan; Sun, Xiaojin (Elsevier, 2020-01)

This paper utilizes the recently developed methods of compressing the parameters and the data for a high-dimensional vector autoregression (VAR) to forecast economic policy uncertainty (EPU) of Brazil, China, India and ...
Housing market spillovers in South Africa : evidence from an estimated small open economy DSGE model

Gupta, Rangan; Sun, Xiaojin (Springer, 2020-05)

This paper evaluates the impact of housing market spillovers on a small open economy, namely South Africa, using a small open economy new Keynesian dynamic stochastic general equilibrium model which explicitly incorporates ...
The predictability of stock market volatility in emerging economies : relative roles of local, regional, and global business cycles

Bouri, Elie; Demirer, Riza; Gupta, Rangan; Sun, Xiaojin (Wiley, 2020-09)

This paper explores the role of business cycle proxies, measured by the output gap at the global, regional, and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe ...

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