- UPSpace Home
- →
- University of Pretoria: Research Output
- →
- Browsing University of Pretoria: Research Output by UP Author
JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing University of Pretoria: Research Output by UP Author "Salisu, Afees A."
Now showing items 1-20 of 44
-
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 ...
-
Salisu, Afees A.; Udeaja, Elias A.; Opuala-Charles, Silva (Bank Indonesia Institute, 2022-08-31)In this paper, we explore the connection between Central Bank Independence (CBI) and inflation under alternative political regimes. We formulate a predictive model that accommodates CBI in the analysis of inflation and ...
-
Tumala, Mohammed M.; Salisu, Afees A.; Nmadu, Yaaba B. (Elsevier, 2023-08)In this study, we investigate the connection between climate change and the volatility of fossil fuel prices using the GARCH-MIDAS framework which accommodates mixed data frequencies and by extension circumvents information ...
-
Salisu, Afees A.; Hammed, Yinka S.; Ouattara, Ibrahim Ngananga (MDPI, 2023-10-06)Given the renewed interest in Real Estate Investment Trusts (REITs), we are keenly focused on exploring the possible connection between climate change and return volatility of US equity REITs, as well as the role of ...
-
Salisu, Afees A.; Olaniran, Abeeb; Lasisi, Lukman (Elsevier, 2023-05)In this paper, we examine the predictive content of both transition and physical risks for the volatility of gold return as well as the utility gains of observing these risks. Our results offer the following distinct ...
-
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, ...
-
A comparative assessment of the global effects of US monetary and fiscal policy uncertainty shocks Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. (Hindawi, 2021-12)PURPOSE : We evaluate the comparative effectsof US monetary and fiscal policy uncertainty shockson real equity prices and real gross domestic productin developed and emerging economies. DESIGN/METHODOLOGY/APPROACH : We ...
-
Salisu, Afees A.; Salisu, Sulaiman; Salisu, Subair (Elsevier, 2023-11)We focus on computing the geopolitical risk index (GPRI) for Nigeria, the largest economy in Africa. The country has faced crises, including Boko Haram insurgency, banditry, kidnapping, EndSARS, and regional secession, ...
-
Salisu, Afees A.; Sikiru, Abdulsalam Abidemi; Omoke, Philip C. (Springer, 2023-08)This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations ...
-
Tumala, Mohammed M.; Salisu, Afees A.; Gambo, Ali I. (Elsevier, 2023-06)In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using the Mixed Data Sampling variant of the Generalized Autoregressive Conditional ...
-
Lawal, Adedoyin Isola; Salisu, Afees A.; Asaleye, Abiola John; Oseni, Ezeikel; Lawal-Adedoyin, Bukola Bose; Dahunsi, Samuel Olatunde; Omoju, Emmanuel Oluwasola; DickTonye, Abigail Oyeronke; Ogunwole, Elizabeth Bolatito; Babajide, Abiola Ayopo (MDPI, 2022-05-26)This paper examined the nexus between economic growth and exchange rate, remittances, trade, and agricultural output based on data sourced from 1980 to 2018 for 10 selected African economies. We employed both the Dumitrescu ...
-
Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. (World Scientific Publishing, 2022-01)In this study, we quantify the propagation effects of the U.S. monetary policy uncertainty (MPU) shock on real equity prices of 33 advanced and emerging countries over the period 1980Q1 to 2019Q4. We employ a large-scale ...
-
Salisu, Afees A.; Gupta, Rangan; Kim, Won Joong (Elsevier, 2022-03)This paper seeks to add to the literature on short-run exchange rate predictability by focusing on BRICS exchange rates. We utilize both time-varying and constant parameter models, and account for a variety of macro ...
-
Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Wiley, 2022-12)This study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large-scale global vector autoregressive model of 33 ...
-
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 ...
-
Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Gabauer, David (Elsevier, 2022-10)We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks and their connectedness in eight major industrialized economies ...
-
Salisu, Afees A.; Omoke, Philip C.; Sikiru, Abdulsalam Abidemi (Wiley, 2023-01)In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out-of-sample predictability of the latter. We utilize ...
-
Salisu, Afees A.; Ogbonna, Ahamuefula E.; Lasisi, Lukman; Olaniran, Abeeb (Elsevier, 2022-11)In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the ...
-
Salisu, Afees A.; Ayinde, Taofeek O.; Gupta, Rangan; Wohar, Mark (Elsevier, 2022-06)In this study, we offer a global perspective on the impacts of the COVID-19 pandemic on financial markets using a multi-country Threshold-Augmented Global Vector Autoregressive Model of Chudik et al. (2020). We document a ...
-
Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Elsevier, 2022-04)This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil ...
Now showing items 1-20 of 44