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Browsing Research Articles (Economics) by Author "Van Eyden, Renee"
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De Bruyn, Riané; Gupta, Rangan; Van Eyden, Renee
(Routledge, 2015-05)
Traditionally, the literature on forecasting exchange rates with many potential predictors have primarily only
accounted for parameter uncertainty using Bayesian Model Averaging (BMA). Though BMA-based models
of exchange ...
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De Wet, Albertus Hendrik; Van Eyden, Renee
(Blackwell, 2005-03)
In this paper we are primarily concerned with assessing the degree of capital mobility in sub-Saharan Africa. Using the methodology as proposed by Feldstein and Horioka (1980)-later termed the "Feldstein-Horioka puzzle"-we ...
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Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi Noomen; Aye, Goodness Chioma; Gupta, Rangan; Van Eyden, Renee
(Elsevier, 2015-09)
This study investigates the asymmetric and time-varying causalities between
inflation and inflation uncertainty in South Africa within a conditional
Gaussian Markov switching vector autoregressive (MS-VAR)
model framework. ...
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Van Eyden, Renee
(Wiley, 2023-06)
We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, ...
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Balcilar, Mehmet; Gupta, Rangan; Van Eyden, Renee; Thompson, Kirsten L.; Majumdar, Anandamayee
(Elsevier, 2018-08)
In this paper we test the forecasting ability of three estimated financial conditions indices (FCIs) with respect to key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the ...
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Van der Westhuizen, Chevaughn; Van Eyden, Renee; Aye, Goodness Chioma
(World Scientific Publishing, 2022-03)
The onset of the novel coronavirus pandemic (COVID-19) and previous financial and currency crises have heightened interest in understanding the nature of the interaction of stock market and exchange rate volatility. This ...
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De Waal, Annari; Van Eyden, Renee; Gupta, Rangan
(Routledge, 2015)
This study determines whether the global vector autoregressive (GVAR)
approach provides better forecasts of key South African variables than a
vector error correction model (VECM) and a Bayesian vector autoregressive
(BVAR) ...
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Inglesi-Lotz, Roula; Van Eyden, Renee; Du Toit, Charlotte Barbara
(Euro-American Association of Economic Development, 2014)
This study examines the importance of technological progress to aggregate economic
growth in South Africa. Quantifying the contribution of technological progress to
economic growth has become imperative, considering the ...
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Mokoena, Thabo Mishack; Gupta, Rangan; Van Eyden, Renee
(ICFAI Press, 2010)
This paper presents a comprehensive literature review of the theoretical and empirical
developments that have taken place over the last two decades in an attempt to address the
exchange rate puzzles. Specifically, we ...
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Demirer, Riza; Gupta, Rangan; Salisu, Afees A.; Van Eyden, Renee
(Elsevier, 2023-04)
In this paper, we analyze the predictive role of firm-level business expectations and uncertainties derived from a panel survey of U.S. 1750 business executives from 50 states for the realized variance (sum of daily squared ...
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Mokoena, Thabo Mishack; Gupta, Rangan; Van Eyden, Renee
(Euro-American Association of Economic Development, 2009-01)
This paper utilises various recently developed econometric methods to obtain better approximations to the half-life for real exchange rates of ten South African Development Community (SADC) countries and to generate ...
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Thompson, Kirsten L.; Van Eyden, Renee; Gupta, Rangan
(Emerald, 2015)
The global financial crisis that began in 2007-08 demonstrated how severe the impact of financial markets’ stress on real economic activity can be. In the wake of the financial crisis policy-makers and decision-makers ...
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Gupta, Rangan; Sheng, Xin; Van Eyden, Renee; Wohar, Mark E.
(Routledge, 2020-12)
We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level consumption of the United States (U.S.) over the period of 1975:Q1 to 2012:Q2. ...
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Gupta, Rangan; Sheng, Xin; Van Eyden, Renee; Wohar, Mark E.
(Elsevier, 2021-11)
We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level real housing returns of the United States (US) over the monthly period of 1975:02 ...
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De Waal, Annari; Van Eyden, Renee
(Routledge, 2016-03)
The substantial change in South Africa’s trade patterns over the past two decades has
affected the impact of economic shocks in major world economies on South Africa. To investigate the
effect, we use a global vector ...
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Van Eyden, Renee; Gupta, Rangan; Sheng, Xin; Wohar, Mark E.
(Sage, 2021-05)
In this study, we analyse the impact of oil price uncertainty (as measured by an observable
measure of oil price volatility, i.e. realised volatility) on United States state-level real consumption
by accounting for oil ...
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Balcilar, Mehmet; Demirer, Riza; Gupta, Rangan; Van Eyden, Renee
(Elsevier, 2017-11)
This paper examines the role of U.S. economic policy uncertainty on the effectiveness of monetary policy in the Euro area. Using a structural Interacted Vector Autoregressive (IVAR) model conditional on high and low levels ...
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Bittencourt, Manoel; Van Eyden, Renee; Seleteng, Monaheng
(Wiley, 2015-09)
In this paper we investigate the role of inflation rates in determining economic growth in fifteen sub-Saharan African countries, which are all members of the Southern African Development Community (SADC), between 1980 and ...
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Omay, Tolga; Van Eyden, Renee; Gupta, Rangan
(Springer, 2018-05)
This paper analyses the empirical relationship between inflation and growth using a panel data estimation technique, multiple-regime panel smooth transition regression, which takes into account the nonlinearities in the ...
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Van Wyk De Vries, Esti; Gupta, Rangan; Van Eyden, Renee
(Taylor & Francis, 2014)
This paper analyses the intertemporal hedging demand for stocks and bonds in South Africa, the United Kingdom
and the United States. The analysis is done using an approximate solution method for the optimal consumption ...