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Browsing Research Articles (Economics) by UP Author "Jooste, Charl"
Now showing items 1-15 of 15
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Tennessee State University College of Business, 2016)The successful conduct of monetary policy relies on accurately characterising inflation's data generating properties. Monetary policy errors that allow inflation to transition to a high inflation regime that is very ...
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Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; Gupta, Rangan; Babalos, Vassilios (Routledge, 2015)We compare a nonlinear (time-varying) cointegration test with the standard cointegration test in studying the long-run relationship of the Dow Jones Islamic finance index with three other conventional global equity ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Ranjbar, Omid (Chamber of Commerce of Genova, 2016-02)We test for a unit root in de-trended GDP in a two-state Markov switching specification using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP specification is preferred over the ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Emerald, 2016-01)PURPOSE : The authors analyse the relationship between the South African real exchange rate and economic fundamentals – demand, supply and nominal shocks. The paper aims to discuss these issues. DESIGN / METHODOLOGY / ...
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Aye, Goodness Chioma; Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Miller, Stephen M.; Ozdemir, Zeynel Abidin (Sage, 2014-07)This study assesses how fiscal policy affects the dynamics of asset markets, using Bayesian vector autoregressive models. We use sign restrictions to identify government revenue and government spending shocks, while ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Elsevier, 2017-05)We study the existence of a threshold level of inflation for the U.S. economy over 1801–2013, beyond which it has a negative effect on economic growth. A combination of nonparametric (NP) and instrumental variable ...
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Gupta, Rangan; Jooste, Charl (LLC “СPС “Business Perspectives”, 2014)This paper analyzes the extent to which the South African Reserve Bank (SARB) uses the repo rate in response to exchange rate depreciations. We use a vector autoregression to model the simultaneous linkage between the ...
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Long memory, economic policy uncertainty and forecasting US inflation : a Bayesian VARFIMA approach Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Routledge, 2017)We compare inflation forecasts of a vector fractionally integrated autoregressive moving average (VARFIMA) model against standard forecasting models. U.S. inflation forecasts improve when controlling for persistence and ...
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Bonga‐Bonga, Lumengo; Gupta, Rangan; Jooste, Charl (Camera di Commercio, Industria, Artigianato e, 2015)The macroeconomic response to uncertainty for India is studied in a structural model that decomposes uncertainty into negative and positive contributions. The results show that uncertainty shocks reduce industrial ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Wohar, Mark E. (Elsevier, 2016-09)This paper studies the existence and timing of bubbles in South Africa’s stock market. An empirical model of bubble formation is tested against three competing models of asset price returns that rule out the existence of ...
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Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Emerald, 2017)PURPOSE : The purpose of this paper is to study the evolution of monetary policy uncertainty and its impact on the South African economy. DESIGN/METHODOLOGY/APPROACH : The authors use a sign restricted SVAR with an endogenous ...
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Gupta, Rangan; Jooste, Charl; Ranjbar, Omid (Springer, 2017-11)We study inflation persistence in South Africa using a quantile regression approach. We control for structural breaks using a quantile structural break test on a long span of inflation data. Our study includes persistence ...
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De Waal, Annari; Gupta, Rangan; Jooste, Charl (Routledge, 2018)We study the response of South African monetary policy decisions to foreign monetary policy shocks. We estimate the extent of foreign monetary policy pass through by augmenting standard Taylor rules and comparing the results ...
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El Montasser, Ghassen; Gupta, Rangan; Jooste, Charl; Miller, Stephen M. (Sage, 2020-05)This article studies the interplay of fiscal policy and asset price returns of the United States in a time-varying parameter vector autoregressive (VAR) model. Using annual data from 1890 to 2013, we study the effects of ...
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Gupta, Rangan; Jooste, Charl; Matlou, Kanyane (Emerald, 2014)This paper studies the interplay of fiscal policy and asset prices in a time varying parameter VAR. Using South African data since 1966 we are able to study the dynamic shocks of both fiscal policy and asset prices on ...
Now showing items 1-15 of 15