Browsing Research Articles (Economics) by Title

Browsing Research Articles (Economics) by Title

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  • Ajmi, Ahdi Noomen; Gupta, Rangan; Babalos, Vassilios; Roulof, Hefer (Multi-Science Publishing, 2015)
    The relationship between oil and the price level has always garnered the attention from policy makers and researchers. Periods of high oil price volatility is thought to induce negative repercussions for domestic price ...
  • Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia (Elsevier, 2015-07)
    Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR ...
  • Kim, Won Joong; Hammoudeh, Shawkat; Hyun, Jun Seog; Gupta, Rangan (Elsevier, 2017-02)
    The paper empirically analyzes the effect of positive oil price shocks on China's economy, having special interest in the response of the Chinese interest rate to those shocks. Using different econometric models, i) a ...
  • Aye, Goodness Chioma; Dadam, Vincent; Gupta, Rangan; Mamba, Bonginkosi (Elsevier, 2014-05)
    Given the rapid rise and volatility of oil prices, the paper investigates the effect of oil price uncertainty on the South African manufacturing production using monthly observations covering the period 1974:02 to 2012:12. ...
  • Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, Mark E. (Elsevier, 2020-04)
    In this paper, we analyze the predictability of the movements of bond premia of US Treasury due to oil price uncertainty over the monthly period 1953:06 to 2016:12. For our purpose, we use a higher order nonparametric ...
  • Diksha, Dave; Aye, Goodness Chioma (Wiley, 2015-09)
    Oil prices have become increasingly important to determine indicators such as inflation; this in turn affects savings and investments. This paper investigates the impact of the volatility of oil prices on savings in South ...
  • Van Eyden, Renee; Difeto, Mamothoana; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2019-01)
    This paper uses a number of different panel data estimators, including fixed effects, bias-corrected least squares dummy variables (LSDVC), generalised methods of moments (GMM), feasible generalised least squares (FGLS), ...
  • Tiwari, Aviral Kumar; Cunado, Juncal; Hatemi-J, Abdulnasser; Gupta, Rangan (Elsevier, 2019-09)
    This paper analyzes the oil price-inflation pass-through by studying the relationship between oil prices and U.S. Consumer Price Index (CPI) over the period January 1871–June 2018, at different frequencies, using a wavelet ...
  • Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan (Elsevier, 2015-07)
    This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the ...
  • Fofana, Ismael; Chitiga-Mabugu, Margaret; Mabugu, Ramos (Elsevier, 2009-12)
    Three levels of analysis are used to track the channels by which South Africa and its people are impacted by an increase of oil prices, namely the macro-economic level, the meso-economic level and the micro-economic/household ...
  • Bos, Martijn; Demirer, Riza; Gupta, Rangan; Tiwari, Aviral K. (Elsevier, 2018-03)
    This paper provides a novel perspective to the oil-stock market nexus by examining the predictive ability of mergers and acquisitions (M&A) over West Texas Intermediate (WTI) oil returns and volatility using a nonparametric ...
  • Gkillas, Konstantinos; Gupta, Rangan; Wohar, Mark E. (Springer, 2020-01)
    In this paper, we analyse the role of oil price shocks, derived from expectations of consumers, economists, financial market, and policymakers, in predicting volatility jumps in the S&P500 over the monthly period of ...
  • Cakan, Esin; Demirer, Riza; Gupta, Rangan; Marfatia, Hardik A. (Springer, 2019-01)
    This paper explores the relationship between stock and commodity markets from a novel perspective by examining the relationship between speculation in the oil market and investor herding in stock markets. Using firm level ...
  • Mmopelwa, G.; Blignaut, James Nelson (Faculty of Economic and Management Sciences University of Pretoria, 2006-03)
    In Botswana, tourism is the second most important economic activity after diamond mining and trading. The Okavango Delta in northern Botswana is the largest single tourist centre in the country. This study estimates the ...
  • Bekiros, Stelios; Gupta, Rangan; Kyei, Clement (Elsevier, 2016-04)
    This paper uses a k-th order nonparametric Granger causality test to analyze whether firmlevel, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear ...
  • Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian (Springer, 2017-10)
    The links between exchange-rate movements and gold-price fluctuations have been extensively studied in earlier research using various econometric techniques. Our contribution to this research is that we apply a novel ...
  • Gupta, Rangan; Pierdzioch, Christian; Risse, Marian (Elsevier, 2016-06)
    We use the indexes of economic policy uncertainty (EPU) developed by Baker et al. (2015) for Canada and seven (China, France, Germany, Japan, Russia, United Kingdom, and United States) other countries to study international ...
  • Pierdzioch, Christian; Risse, Marian; Gupta, Rangan; Nyakabawo, Wendy (Elsevier, 2019-09)
    We use Bayesian Additive Regression Trees (BART) to study the comovement of REIT returns with expected and unexpected inflation. Our findings show that the two inflation components are not among the leading predictors of ...
  • Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan (Taylor and Francis, 2018)
    We study the information content of South African inflation survey data by determining the directional accuracy of both short-term and long-term forecasts. We use relative operating characteristic (ROC) curves, which have ...
  • Gibson, Heather D.; Hall, Stephen G.; Petroulas, Pavlos; Tavlas, George S. (Elsevier, 2020-04)
    The euro-area financial crisis that erupted in 2009 was marked by negative confidence effects that had significant ramifications for euro area banking systems. As a result, bank lending declined sharply. We investigate the ...