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Browsing Economic and Management Sciences by Author "Gabauer, David"
Now showing items 1-20 of 24
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Balcilar, Mehmet; Gabauer, David; Gupta, Rangan; Pierdzioch, Christian (MDPI, 2023-04)In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms ...
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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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Demirer, Riza; Gabauer, David; Gupta, Rangan; Nielsen, Joshua (Elsevier, 2024-03)This paper examines the predictability of bubbles across global stock markets and whether or not synchronicity in bubble formation can be predicted via metrics of market risk that are readily available. Utilizing the gold ...
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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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Zhang, Yunhan; Gabauer, David; Gupta, Rangan; Ji, Qiang (Elsevier, 2024-08)By introducing a new generalized forecast error variance decomposition (GFEVD) approach that splits the same into its contemporaneous and lagged components, we investigate the risk spillover effects of different order ...
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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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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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Gabauer, David; Gupta, Rangan; Karmakar, Sayar; Nielsen, Joshua (Wiley, 2024)In this article, multi-scale LPPLS confidence indicator approach is used to detect both positive and negative bubbles at short-, medium-, and long-term horizons for the stock markets of the G7 and the BRICS countries. This ...
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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 ...
Now showing items 1-20 of 24