Gupta, Rangan; Ma, Jun; Risse, Marian; Wohar, Mark E.(Elsevier, 2018-09)
This paper analyses the role of a news-based measure of economic policy uncertainty (EPU) in explaining time-varying co-movements in economic activity and volatility of 48 US states and 51 largest MSAs. In this regard, we, ...
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 ...
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 ...
Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, Mark E.(Elsevier, 2019-01)
Given the existence of nonlinear relationship between equity premium and term spread, as well as pattern changes and the interaction of pattern changes with the term-spread and changes in the shape of the yield curve, we ...
