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Browsing Research Articles (Economics) by UP Author "Nel, Jacobus"
Now showing items 1-13 of 13
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Salisu, Afees A.; Gupta, Rangan; Nel, Jacobus; Bouri, Elie (Elsevier, 2022-09)Recent studies show that El Niño episodes are generally inflationary because they tend to increase the prices of agricultural commodities and crude oil. Given this, in this paper we examine the inflation-hedging property ...
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Bouri, Elie; Gupta, Rangan; Nel, Jacobus; Shiba, Sisa (Elsevier, 2022-12)We investigate the effect of the probability of fatality due to contagious diseases on real gold returns over the period 1258–2020 using a predictive quantile regression model, which is justified by the features of ...
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Bouri, Elie; Demirer, Riza; Gupta, Rangan; Nel, Jacobus (MPDI, 2021-09)The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated ...
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Demirer, Riza; Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian (Springer, 2022-01)We extend the literature on the effect of rare disaster risks on commodities by examining the effect of the El Niño-Southern Oscillation (ENSO) on crude oil via the recently developed kth order nonparametric causality-in-quantile ...
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Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian (Routledge, 2023)Using a machine-learning technique known as random forests, we analyze the role of investor confidence in forecasting monthly aggregate realized stock-market volatility of the United States (US), over and above a wide-array ...
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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; Nel, Jacobus; Salisu, Afees A.; Ji, Qiang (Elsevier, 2023-06)We analyze the predictive content of climate risks, proxied by change in global temperature anomaly and its volatility, on a dummy variable capturing periods of zero and negative growth rates of eight industrialized ...
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Aye, Goodness Chioma; Demirer, Riza; Gupta, Rangan; Nel, Jacobus (Elsevier, 2023-04)This paper examines the causal interactions between energy consumption due to cryptocurrency mining activity and electricity return and volatility patterns across the power markets in the U.S., U.K. and Europe. We find ...
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Balcilar, Mehmet; Gupta, Rangan; Nel, Jacobus (Elsevier, 2022-12)Using annual data on real gold returns and measures of rare disaster risks over the period of 1280–2016, we show the existence of nonlinearity and regime changes in the relationship between the two variables of concern, ...
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Van Eyden, Renee; Gupta, Rangan; Nel, Jacobus; Bouri, Elie (Springer, 2022-04)The purpose of this paper is to determine the impact of rare disaster risks, captured by the El Niño-Southern Oscillation (ENSO) cycle, on the volatility of Treasury securities of the United States (US) involving 1- to ...
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Berisha, Edmond; Gabauer, David; Gupta, Rangan; Nel, Jacobus (Emerald, 2023-07)PURPOSE : Existing empirical evidence suggests that episodes of financial stress (crises) can act as driver of growth of inequality. Consequently, in this study, the authors explore the time-varying predictive power of an ...
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Gabauer, David; Gupta, Rangan; Nel, Jacobus; Yamaka, Woraphon (Springer, 2021-06)In this paper, we analyze time-varying predictability of labor productivity for growth in income (and consumption) inequality of the United Kingdom (UK) based on a high-frequency (quarterly) data set over 1975:Q1 to 2016:Q1. ...
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Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua (Elsevier, 2023-01)We use the multi-scale Log-Periodic Power Law Singularity (LPPLS) confidence indicator approach to detect both positive and negative bubbles at short-, medium- and long-run for the stock markets of the BRICS countries. ...
Now showing items 1-13 of 13