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Browsing Research Articles (Economics) by Author "Lau, Chi Keung Marco"
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Christou, Christina; Gozgor, Giray; Gupta, Rangan; Lau, Chi Keung Marco
(Economics Bulletin, 2020-03)
We analyze the convergence of a news-based measure of uncertainty across 143 countries (spanning 99 percent of
world GDP) over the quarterly period of 1996Q1 to 2018Q3. We apply a panel data-based unit root test, ...
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Bouri, Elie; Gupta, Rangan; Lau, Chi Keung Marco; Roubaud, David; Wang, Shixuan
(Elsevier, 2018-08)
We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based ...
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Bouri, Elie; Gupta, Rangan; Hosseini, Seyedmehdi; Lau, Chi Keung Marco
(Elsevier, 2018-03)
We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and ...
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Gupta, Rangan; Lau, Chi Keung Marco; Wohar, Mark E.
(Springer, 2018-02)
We estimate a quantile structural vector autoregressive model for the Euro area to assess the real effects of uncertainty shocks in expansions and recessions using monthly data covering the period of 1999:02–2016:05. ...
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Aye, Goodness Chioma; Gupta, Rangan; Lau, Chi Keung Marco; Sheng, Xin
(Routledge, 2019)
This paper uses a time-varying parameter-panel vector autoregressive (TVP-PVAR) model to analyze the role played by domestic and US news-based measures of uncertainty in forecasting the growth of industrial production of ...
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Bonato, Matteo; Gupta, Rangan; Lau, Chi Keung Marco; Wang, Shixuan
(Elsevier, 2020-06)
In this paper, we use intraday futures market data on gold and oil to compute returns, realized volatility, volatility jumps, realized skewness and realized kurtosis. Using these daily metrics associated with two markets ...
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Gupta, Rangan; Lau, Chi Keung Marco; Nel, Jacobus; Sheng, Xin
(SpringerOpen, 2020-05)
We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency ...
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Gupta, Rangan; Lau, Chi Keung Marco; Yoon, Seong-Min
(Asia University, Taiwan, 2019-12)
This paper uses a nonparametric quantile-based methodology to analyse the predictive ability of OPEC meeting dates and production announcements on (Brent Crude and West Texas Intermediate) oil a measure of futures market ...
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Clance, M.W. (Matthew); Gozgor, Giray; Gupta, Rangan; Lau, Chi Keung Marco
(World Scientific Publishing, 2021-04)
This paper investigates the relationship between economic policy uncertainty and corporate tax rates in a panel dataset of 126 countries throughout 2003–2018. We use the so-called “World Uncertainty Index” to measure the ...
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Gupta, Rangan; Lau, Chi Keung Marco; Plakandaras, Vasilios; Wong, Wing-Keung
(Routledge, 2019)
Accurate forecasts of home sales can provide valuable information
for not only policymakers, but also financial institutions and real
estate professionals. Against this backdrop, the objective of our
article is to analyse ...
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Cunado, Juncal; Gupta, Rangan; Lau, Chi Keung Marco; Sheng, Xin
(Routledge, 2020)
This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying parameter structural vector autoregressive (TVP-SVAR) model. Besides ...
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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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Apergis, Nicholas; Gupta, Rangan; Lau, Chi Keung Marco; Mukherjee, Zinnia
(Elsevier, 2018-08)
This paper is the first to provide an empirical analysis of the short run and long run effects of carbon dioxide (CO2) emissions on health care spending across U.S. states. Accounting for the possibility of non-linearity ...
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Gupta, Rangan; Lau, Chi Keung Marco; Miller, Stephen M.; Wohar, Mark E.
(Wiley, 2019-12)
Fiscal policy shocks exert wide‐reaching effects, including movements in asset markets. US politics have been characterized historically by a high degree of partisan conflict. The combination of increasing polarization and ...